A User's Guide to Measure Theoretic Probability (Cambridge Series in Statistical and Probabilistic Mathematics)
"Unlike technical books of a previous generation, here we have an author admitting that a reader might find the subject difficult and even offering a window on the pedagogical considerations by which he shapes his exposition.  Pollard does not just explain and clarify abstractions; he really sells them to a presumably skeptical reader.  Thus he bridges a gap in the literature, between elementary probability texts and advanced works that presume a secure prior knowledge of measure theory...The nice layout and occasional useful diagram further amplify the friendliness of this book."   Choice"The book ... can be recommended as an excellent source in measuring theoretic probability theory as well as a handbook for everybody who studies stochastic processes in the real world."   Mathematical Reviews