Lectures
Chapter I - Conditional expectations, conditional distributions.
Chapter II - Martingales.
Chapter III- Markov Chains.
Main reference:
- J.-F. Le Gall, "Measure Theory, Probability, and Stochastic Processes". Graduate texts in Mathematics, Springer (2022).
Complementary reference:
- T. Duquesne, "Probabilités approfondies" (Lecture notes, Sorbonne Université).
The pdf (in french) can be found here under Documents pédagogiques.
You can find here an old video from Analysis III on Pi sytems/Dynkin systems/Monotone classes.
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