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I recently began to study "probability theory" in the sense of a rigorous mathematical treatment of probability in terms of measures,and etc.

But, my background in probability is really elementary, no more than a basic discrete probability, so whenever I encounter concepts like random variables, I understand the definitions, theorems and etc, but I do not really "see" them as I do not have an intuitive feel for what they really are.

Can you recommend a good book which can help me develop intuition for probability theory, possibly at the cost of being sloppy in mathematical rigour?

user74261
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1 Answers1

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My personal favourite is David Williams' Probability with Martingales. It is a rather short and self-contained introduction to measure-theoretic Probability theory.

user13243542345452
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