In Michaelmas term 2013 I am teaching the first half of the Part III
Advanced Probability course.
Part II Probability and Measure notes by James Norris
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
The second half will be taught by Alan Sola.
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
Please feel free to send comments and corrections to p.sousi@statslab.cam.ac.uk
Other sources
D. Williams, Probability with Martingales, Cambridge University Press 1991 (Part B)