I learned a lot from prof Tao's notes and books because unlike many authors, he seems to prefer writing more words, explanations and intuitions rather than just mathematical formulae. His approach is also very pedagogical, and quite often, when talking about one concept, he also talks about similar concept in other fields, like group theory, differential geometry, etc. (due to his very broad areas of expertise). This makes me understand (superfically) how mathematical concepts are related to each other.
I would like to know if there are some books or blogs on probability theory, stochastic processes, Monte Carlo and convex optimisation, with similar writing style and approach.