"Williams, who writes as though he were reading the reader's mind, does a brilliant job of leaving it all in. And well that he does, since the bridge from basic probability theory to measure theoretic probability can be difficult crossing. Indeed, so lively is the development from scratch of the needed measure theory, that students of real analysis, even those with no special interest in probability, should take note." D.V. Feldman, Choice
"...a nice textbook on measure-theoretic probability theory." Jia Gan Wang, Mathematical Reviews
The author adopts the martingale theory as his main theme in this introduction to the modern theory of probability, which is, perhaps, at a practical level, one of the most useful mathematical theories ever devised.