Online videos on Measure theory.

You might want to take a look at this. And here are some lecture notes (no video) you might find useful.


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

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


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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