Mathematics Stack Exchange is a question and answer site for people studying math at any level and professionals in related fields. Join them; it only takes a minute:

Sign up
Here's how it works:
  1. Anybody can ask a question
  2. Anybody can answer
  3. The best answers are voted up and rise to the top

I'm looking for a clear way to learn measure theoretic probability theory. Any suggestions?

share|cite|improve this question

I would recommend Erhan Çinlar's Probability and Stochastics (Amazon link).

share|cite|improve this answer

Probability With Martingales by David Williams is a very enjoyable book.

share|cite|improve this answer

You can try the lecture notes here: They're very good.

share|cite|improve this answer

Noel Vaillant's online Probability Tutorials are an excellent introduction to the real analysis, general topology and measure theory foundations of probability theory.

share|cite|improve this answer

Kallenberg - Foundations of Modern Probability.

share|cite|improve this answer
It is a great book, but certainly not for learning about measure theoretic probability for the first time. – Michael Greinecker Dec 24 '11 at 16:48

A really comprehensive, easy to read book would be "An Introduction to measure and probability" by J.C Taylor (Amazon). Lots of examples, exercises, and really nice geometric view of conditional expectation via Hilbert spaces.

share|cite|improve this answer

Your Answer


By posting your answer, you agree to the privacy policy and terms of service.

Not the answer you're looking for? Browse other questions tagged or ask your own question.