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)