Loeve is terrific. The stuff there hasn't changed or been much improved on. Some people regard Loeve's book as French that sounds like English or English written as French. But Loeve students Neveu and Breiman are easier starts.

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.

If you're referring to Jacques Neveu, his Wikipedia page lists him as having died in May 2016 [1].

[1] https://en.wikipedia.org/wiki/Jacques_Neveu