Further reading: Here is a good collection of other books. If the library carries them, then these books will be on reserve at the math. library. Use them!

1. Patrick Billingsley, Probability and Measure, Wiley, Third Edition (1995). Sadly, our library does not own a copy.
2. Leo Breiman, Probability, Addison-Wesley (1968).
3. Kai Lai Chung, A Course in Probability Theory, Academic Press, Second Edition (1974).
4. Richard Durrett, Probability: Theory and Examples, Duxbury Press, Second Edition (1996). Sadly, our library does not own a copy.
5. William Feller, An Introduction to Probability Theory and Its Applications (Vol. 1), Wiley, Third Edition (1967). Excellent source for elementary probability.
6. Bert Fristedt and Lawrence Gray, A Modern Approach to Probability Theory, Birkhäuser (1997).
7. Sidney I. Resnick, A Probability Path, Birkhäuser (1999). Highly recommended.
8. S.R.S. Varadhan, Probability Theory, American Mathematical Society (2001). Highly recommended.
9. David Williams, Probability with Martingales, Cambridge University Press (2001). Highly recommended reading. Sadly, our library does not own a copy.
10. Michael Woodroofe, Probability with Applications, McGraw-Hill (1974). Highly recommended.