# Probability Library - Page: https://shared.btbytes.com/p/probability-library - Date: 2020-01-10 [Dr Harry Crane](https://x.com/HarryDCrane/status/1215680156913762304) asked for recommendations for a "Probability Library". These are some of the recommendations: Harry Crane: 1. Technical: [An Introduction to Probability Theory and Its Applications, Vol. 1, 3rd Edition](https://amzn.to/2QITBed) 2. Classic: [Foundations of the Theory of Probability: Second English Edition (Dover Books on Mathematics) by Kolmogorov](https://amzn.to/2R4FLSn) 3. Real World: [Antifragile](https://amzn.to/2TbnxkN). NNTaleb recommended [Statistical Consequences of Fat Tails](https://www.fooledbyrandomness.com/FatTails.html) (book in the works) instead over Antifragile. 4. Application: [Beyond Counting : Exploiting Casino Games from Blackjack to Video Poker](https://amzn.to/30aLQRa) by James Grosjean. 5. Biography: [A man for all ages](https://amzn.to/2sgQqRE) by Ed Thorpe. Nassim Taleb: 1. [Probability Theory I, 4th Edition](https://amzn.to/2QIURxX) and [Vol 2](https://amzn.to/39WWj7x) by Loeve 2. [Methods of Mathematical Finance ](https://amzn.to/2TcniGk) by Karatzas and Shreve 3. [Elements of Information Theory 2nd Edition](https://amzn.to/2tQGIFK) by Cover and Thomas 4. [Probability and measure, 3rd edition](https://amzn.to/2Td8uXG) by Patrick Billingsley 5. [Chance and Stability, Stable Distributions and Their Applications](https://amzn.to/2NeEaZ7) by Uchaikin, Vladimir V. / Zolotarev, Vladimir M. [PDF](http://web.archive.org/web/20220617174316/http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.117.6505&rep=rep1&type=pdf) 6. [Stable Non-Gaussian Random Processes: Stochastic Models with Infinite Variance](https://books.google.com/books/about/Stable_Non_Gaussian_Random_Processes.html?id=wTTUfYwjksAC) by Gennady Samorodnitsky, M.S. Taqqu 7. [Stochastic Processes](https://amzn.to/2FPVf7L) by J. L. Doob 8. Limit distributions for sums of independent random variables by B.V.Gnedenko and A.N.Kolmogorov. 9. [Extreme Value Theory](https://link.springer.com/book/10.1007/0-387-34471-3) by Laurens de Haan and Ana Ferreira 10. [Extreme Value Theory](https://www.casact.org/library/studynotes/Embrechts_ExtremeValue.pdf) (PDF) by Embrechts et. al. ---- Misc: via