I have tried a number of textbooks but I still cannot find one that
combines intuition with mathematical rigour in a satisfactory way. The
best I have seen so far is 'Probability and Measure" by Billingsley,
and the last one I have tried is "Probability for Statisticians" by
Shorack which is great and provides a lot of details but too dry,
and does not care much about developing intuition .
What's your favorite textbook on Probability Measure Theory?
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