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Can you advise some good books covering areas which are required for serious probability theory studies (e.g. measure theory, functional analysis)? Preferably this book should have some problem sets to work on. Thanks!

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    Should be community wiki.2010-09-26
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    The answers should be cw as well. Or do they become automatically?2010-09-26
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    Apparently only answers that appeared after the question was made cw become cw automatically.2010-09-26

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