Probability: A Graduate Course (Springer Texts in Statistics)
From the reviews: "It is an excellent text. It is written in a beautiful style, with proper emphasis on the topics necessary for students to be successful in dealing with probability at the highest level." James Kuelbs, University of Wisconsin. "This is more substantial than the usual graduate course in probability; it contains many useful and interesting details that previously were scattered around the literature and gives clear evidence that the writer has a great deal of experience in the area." Short Book Reviews of the International Statistical Institute,  December 2005 "...This book is a readable, comprehensive, and up-to-date introductory textbook to probability theory with emphasis on limit theorems for sums and extremes of random variables. The purchase is worth its price." Journal of the American Statistical Association, June 2006 "Allan Gut is a probabilist specializing in limit theorems. … One judges a book both by content—selection of material—and by how well this material is expounded. I think that the book stands up well on both counts. I suspect that Gut’s real motivation in writing it was his love of the material, and enthusiasm for writing about it. The book forms a valuable and worthy addition to the literature, in my opinion." (N. H. Bingham, Journal of the Royal Statistical Society, Series A: Statistics in Society, Vol. 169 (1), 2006) "The book is nicely written and contains numerous examples and exercises. The author shows many applications, mostly to random walks, extremes, and statistics. The book is valuable for detailed but concise and well readable treatment of the main topics … ." (Dalibor Volný, Mathematical Reviews, Issue 2006 a) "The book under review is an excellent addition to the literature. It contains material that every graduate student ought to know, which is presented in a user friendly style. … There are more than 250 references … which the readers will find to be useful. There are enough examples and exercises. Motivations are amply provided throughout and are illuminating. It is a pleasure to read the book and, in the opinion of the reviewer, every graduate student of probability would find it so.” (B. V. Rao, Sankhya, Vol. 68 (2), 2006)