In Michaelmas term 2011 I taught the Part III
Advanced Probability course.
Part II Probability and Measure notes by James Norris
Please feel free to send comments and corrections to p.sousi@statslab.cam.ac.uk
P. Mörters and Y. Peres, Brownian motion, Chapters 1,2,3,5, Cambridge University Press 2010
R. Durrett, Probability: Theory and Examples, Wadsworth 1991
L.C.G. Rogers and D. Williams, Diffusions, Markov processes and Martingales Vol. I
(2nd edition), Chapters I & II, Wiley 1994
Lecture notes on Advanced Probability by James Norris
Background material
D. Williams, Probability with Martingales, Cambridge University Press 1991 (Part A)
Lecture notes and examples sheets
Here you can find lecture notes for the course as well as example sheets.
Lecture notes
Example sheet 1
Example sheet 2
Example sheet 3
Other sources
D. Williams, Probability with Martingales, Cambridge University Press 1991 (Part B)
