M345P6 (Advanced) Probability Theory

Lectures Spring 2019

Thu 11:00 - 13:00 / 341 HXLY/ & Fri 13:00 - 14:00/ HXLY 342 /

Office Hours (Room: 6M55 )

M345P6&7 : Mo 12:00-13:00 , Tue 13:00-14:00


A rigorous approach to the fundamental properties of probability:

Probability measures. Random variables. Independence. Sums of independent random variables; Weak and Strong Laws of Large Numbers. Weak convergence, characteristic functions, Central Limit Theorem. Elements of Brownian motion.

Problem Sets

PS.1 ; PS.2 ; PS.3 ; PS.4 ; PS.5 ;

PS.1slns ; PS.2slns ; PS.3slns ; PS.4slns ;

Content 2019 :



2018: notes.1 ; notes.2 ;


Imperial College Library Electronic Resources

Kolmogorov, A. N. Foundations of the theory of probability (+pdf)

Kac, Mark, Statistical Independence in Probability, Analysis and Number Theory.

Stroock, Daniel W., Probability Theory: An analytic view (Ch. I)

Leonid Koralov, Yakov G. Sinai, Theory of Probability and Random Processes(+pdf)

Sinai, Y.G., Probability theory : an introductory course (Google Books)

Schilling, Rene L., Measures, integrals and martingales

Stroock, Daniel W., Mathematics of Probability

Feller, William , An Introduction to Probability Theory and Its Applications,

Williams, D., Probability with Martingales.

Patrick Billingsley Probability and Measure (pdf)

Stroock, Daniel W., A concise introduction to the theory of integration


Rademacher Functions, etc..

History of Mathematics :

A Simple Pole in Ithaca, NY” by Daniel W. Stroock

Théorie analytique des probabilités; by Laplace, Pierre Simon, marquis de, 1749-1827


Özlem Kart, A Historical Survey of the Development of Classical Probability Theory


Mikhail Lifshits, Lectures on Gaussian Processes

Roland Speicher, Free Probability Theory, And Its Avatars in Representation Theory, Random Matrices,and Operator Algebras; also Featuring: Non-commutative Distributions

Math Info

Vitali nonmeasurable set

M.G. Nadkarni and V.S. Sunder
Hamel bases and measurability

Gaussian Random Variables

Gibbs Random Fields

Mid-term lecture feedback questions