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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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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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This link is useful also. One complete video course is there.

http://nptel.ac.in/courses/111101005/

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    $\begingroup$ These are lectures by Prof. Inder Rana, who is the author of the book "An Introduction to Measure and Integration" Second Edition, Published by American Mathematical Society. (Graduate Studies in Mathematics Series.) $\endgroup$ – Wishwas Jun 13 '15 at 14:07
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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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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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