Earlier quoted context omitted.
In most academic fields, work that mathematizes the field is regarded as the best. Neveu is elegant beyond belief. I keep my copy close. I was aimed at Neveu by a star student of E. Cinlar, long at Princeton and before that at Northwestern -- long editor in chief of Mathematics of Operations Research . Neveu was a student of M. Loeve at Berkeley. So was the current darling of machine learning, L. Breiman, because of…
Did Neveu ever take a detour into physics? There is a well-known QFT model with his name on it. Incidentally, I have a copy of Loeve's old probability textbook - I wonder if it is too out of date to be any use.
Basically we're talking graduate probability based heavily on measure theory and some on functional analysis.
Last I heard of Neveu he was back in France and at least in part working on probability for stock markets.
There are other more recent authors. It seems that a big fraction of the best researchers sometimes take out a year and write yet another book comparable with Neveu. Personally, I did enough with Loeve, Neveu, Breiman, and Chung and for more attention to such material want to use that background to move on. For now, I'm concentrating on my startup; it's based one some applied math I derived, but I've done that and programmed it. Tonight I got four hard disks installed in my first server. Three of them are partitioned and formatted, and as I type this the fourth is being partitioned and formatted.