Learn Probability Theory: Find a Book to Self-Study

[ehrenfest]

What book should I get to learn probability theory by self-study? I bought Shiryaev's Graduate Text in Mathematics and the problem is that it just develops so much theory but then provides few exercises, making it really hard to self-study. I probably should have expected this though. So, I am looking for something a little less advanced than Shiryaev but still rigorous since I have a pretty strong math background (I have completed all the math major requirements). Something at the level of Rudin's "Principles of Mathematical Analysis" would be good. It would be nice if it had answers or solutions in the back of the book or somewhere on the internet also.

 

[las3rjock]

I suggest (2 volumes) by William Feller. The exposition of the theory is clear and concise, and it contains many insightful worked examples and problems (with answers to selected problems in the back).

 

[CompuChip]

When I did a course on probability theory, we used the book by Meester, A natural introduction to probability theory. I liked it because of the clear explanations and the heap of examples and exercises. Sample chapters also available for viewing in the link.

 

[ehrenfest]

Has anyone used "A Probability Path" by Sidney Resnick?