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.