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komponisto comments on The Best Textbooks on Every Subject - Less Wrong
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Huh. I've always liked Kolmogorov and Fomin. (And shouldn't it be under "Real Analysis and Measure Theory"?)
Have you looked at Jost's Postmodern Analysis, by chance? (I found the title irresistibly curiosity-provoking, and the book itself rather good, at least if memory serves.)