Here is a small selection of the many textbooks on probability.

• D. Khoshnevisan, Probability, American Mathematical Society, 2007. A nice and readable introduction to measure theoretic foundations of probability.
• D. Williams, Probability with Martingales, Cambridge Univerist Press, 1991. One of the best books on the topics. Clearly written with excellent proofs and examples.
• R. Durrett, Probability: Theory and Examples, Second Edition, Duxbury Press, 1995. A classic graduate level text on probability. Well written with good examples..
• A. N. Shiryaev, Probability, Springer, 1980. An older text but still excellent for its mathematical rigour and clarity.