Dr Harry Crane asked for recommendations for a “Probability Library”.
These are some of the recommendations:
- Technical: An Introduction to Probability Theory and Its Applications, Vol. 1, 3rd Edition
- Classic: Foundations of the Theory of Probability: Second English Edition (Dover Books on Mathematics) by Kolmogorov
- Real World: Antifragile. NNTaleb recommended Statistical Consequences of Fat Tails (book in the works) instead over Antifragile.
- Application: Beyond Counting : Exploiting Casino Games from Blackjack to Video Poker by James Grosjean.
- Biography: A man for all ages by Ed Thorpe.
- Probability Theory I, 4th Edition and Vol 2 by Loeve
- Methods of Mathematical Finance by Karatzas and Shreve
- Elements of Information Theory 2nd Edition by Cover and Thomas
- Probability and measure, 3rd edition by Patrick Billingsley
- Chance and Stability, Stable Distributions and Their Applications by Uchaikin, Vladimir V. / Zolotarev, Vladimir M. PDF
- Stable Non-Gaussian Random Processes: Stochastic Models with Infinite Variance by Gennady Samorodnitsky, M.S. Taqqu
- Stochastic Processes by J. L. Doob
- Limit distributions for sums of independent random variables by B.V.Gnedenko and A.N.Kolmogorov.
- Extreme Value Theory by Laurens de Haan and Ana Ferreira
- Extreme Value Theory (PDF) by Embrechts et. al.
- Feller vol 1
- Petrov Sums of Independent RVs
- Grimmett Percolation
David Williams Martingales
Kallenberg’s Foundations of Modern Probability
- Ten Great Ideas about Chance by Persi Diaconis and Brian Skyrms