I need a good rigorous book to learn probability theory. So far, I’ve been suggested
Gnedenko’s Theory of Probability;
Feller’s An Introduction to Probability Theory and Its Applications.
. Which one would you reccomend the most and why? Are there other books worth mentioning?
As an introductory course, you can look into “Probability and Statistics in Engineering”, by Hines, Montgomery, Goldman and Borror. It covers basic probability axioms, discrete and continuous distributions, before introducing statistics and data description techniques.
It depends on the topics you want to do also, but I found Applied Stochastic Processes by Lefebvre pretty decent for some probability theory topics.