The longer a list of books is, the fewer will actually be referred to. The lists below have been kept short, in the hope that in this case less choice is more.
• A first course in probability, Sheldon Ross, Macmillan (4th edition 1994, 420 pages)
• Probability and random processes, Geoffrey Grimmett and David Stirzaker, Oxford University Press (2nd edition 1992, 540 pages)
• Probability with martingales, David Williams, Cambridge University Press (1991, 250 pages)
• Continuous martingales and Brownian motion, Daniel Revuz and Mark Yor, Springer (2nd edition 1994, 550 pages)
• Diffusions, Markov processes, and martingales: vol. 2 Itô calculus, Chris Rogers and David Williams, ...