好教材多得是，你需要什么难度的？本科？研究生？博士？哪个方向？中文的还是英文的？

Sorry, I can not type Chinese on this computer.
The best book in measure theory : Measure theory by cohn
(Or you can choose the real analysis by royden for a more basic level)
The best book for probability if you don't have any background in measure theory, probability and measure by Billingsley (You can buy it in China).
A good and clear book for probability: probability by Kai lai Chung
A more advanced book in probability: probability: theory and examples by Durrett
I have ebooks for all these books. If you want any of them, I can send it to you. Hope it helps.

直接把这些书的电子版发上来多好啊 3# semidefinite

厉害了

谢谢分享