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I am looking for lecture videos on Measure Theory. I am not able to find any. Looking forward for your response.

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3 Answers 3

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You might want to take a look at this. And here are some lecture notes (no video) you might find useful.

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I'm not sure how much of the subject you know already, but mathematicalmonk's youtube channel has some nice videos introducing the subject and moving into a proper treatment of probability.

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Maybe this link is also of interest in relation to the question http://www.youtube.com/playlist?list=PLD4489A54EA4C7C1D

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