What is the next probability theory book after baby Rudin, statistical inference Casella, and intro to measure theory Tao? I have a few options, 
Feller-An Introduction to Probability Theory and its Applications - Vol 1, 2
Probability with Martingales
Probability and Stochastics
Which one should I get started? Other recommendations are welcome. 
Thanks,
 A: I think Probability with Martingales is always a good choice. You seem to have a good foundation in statistics and measure theory so I think you have enough background to go for the harder books like Feller's Probability theory (or for another klenke's probability book). However, much of probability, especially those on the stochastic process side have a particular way of thinking and phrasing questions and I think Probability with Martingales does a great job explaining to start thinking with probability. Once you get a quick sense of how to think with it, you can jump into any book you like. 
A: Since you seem to have decent background and motivation I would suggest you to try Cinlar's Probability and Stochastics first, which I absolutely love for its modern and fresh way to get into the subject; although a little more abstract and involved than other books at first.
I also recommend to have a look at Shiryaev's Probability, which is good reference full of detailed proofs and examples, perfect for self-study.
