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The first major treatise blending calculus with probability theory, originally in French: Théorie Analytique des Probabilités.

An English translation by Nathan Morrison appeared under the title Foundations of the Theory of Probability (Chelsea, New York) in 1950, with a second edition in 1956.

Olav Kallenberg; Foundations of Modern Probability, 2nd ed. Springer Series in Statistics. (2002). 650 pp.

A lively introduction to probability theory for the beginner.

Olav Kallenberg; Probabilistic Symmetries and Invariance Principles. Springer -Verlag, New York (2005). 510 pp.