November 6th, 2012, 7:03 am
I would also recommend Ash's book. More than 10% of the total page count is devoted to concise worked solutions.It's at about the same level as Williams but Williams is shorter/briefer and keeps a faster pace so its easier to keep motivated and complete. Ash's book has a wider coverage and includes for instance stable distributions and infinitely divisible distributions which I thought was good.My first peak at Measure theory was in Pugh's book on real analysis. I then read Capinski & Kopp, Williams and lastly Ash. All books have been good for self study.