Best measure theoretic probability theory book?
I'm looking for a clear way to learn measure theoretic probability theory. Any suggestions?
Solution 1:
I would recommend Erhan Çinlar's Probability and Stochastics (Amazon link).
Solution 2:
You can try the lecture notes here: http://www.statslab.cam.ac.uk/~beresty/teach.html They're very good.
Solution 3:
Probability With Martingales by David Williams is a very enjoyable book.