In 1989 when the first edition of this book was completed, my sons David and Greg were 3 and 1, and the cover picture showed the Dow Jones at 2650. The past 20 years have brought many changes, but the song remains the same. The title of the book indicates that as we develop the theory, we will focus our attention on examples. Hoping that the book would be a useful reference for people who apply probability in their work, we have tried to emphasize the results that are important for applications, and have illustrated their use with roughly 200 examples. Probability is not a spectator sport, so the book contains almost 450 exercises to challenge readers and to deepen their understanding.

This fourth edition has two major changes (in addition to a new publisher):

1. (i) The book has been converted from TeX to LaTeX. The systematic use of labels should eventually eliminate problems with references to other points in the text. In addition, the picture environment and graphicx package has allowed the figures lost from the third edition to be reintroduced and a number of new ones to be added.

2. (ii) Four sections of the old appendix have been combined with the first three sections of Chapter 1 to make a new first chapter on measure theory, which should allow the book to be used by people who do not have this background without making the text tedious for those who have.