I'm looking for a selection of problem books on probability theory, at the level of student olympiads in mathematics. I've already looked at Albert N. Shiryaev Problems in Probability, but maybe you can suggest some more interesting options. Many thanks!
2026-04-03 06:01:56.1775196116
High level Problems on probability theory
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Shiryaev's problem book is a high-quality source. Note that a 650-page solution manual has been published in Russian (although it only covers the first two chapters of the problem book, out of eight!).
For challenging problem books that do not require knowledge of measure theory, see my other answer.
Similarly challenging books to Shiryaev's include
You can also find challenging problems in past instances of the Kolmogorov probability olympiad.