Probability Library
Updated: Jan 10, 2020 by Pradeep Gowda.
Dr Harry Crane asked for recommendations for a “Probability Library”.
These are some of the recommendations:
Harry Crane:
 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.
Nassim Taleb:
 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 NonGaussian 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.
Misc:
via https://twitter.com/BristOliver
 Feller vol 1
 Kolmogorov/Gnedenko
 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