教我们概率的老师强烈推荐
probability theory and example  作者原来在cornell现在去duke了。
另外几本经典的;
<probability and measure  > wiley 出的。作者是芝加哥大学的大牛。

Probability and Measure Theory, Second EditionDec 20, 1999
by Robert B. Ash and Catherine A. Doléans-Dade

Measure Theory and Probability Theory (Springer Texts in Statistics)Jul 27, 2006
by Krishna B. Athreya and Soumendra N. Lahiri


Probability EssentialsOct 4, 2013
by Jean Jacod and Philip Protter


Probability Theory: A Comprehensive Course (Universitext)Aug 30, 2013
by Achim Klenke

I Suggest

For Measure Theory

Real Analysis -Royden
Measure Theory- Halmos.