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I am looking for lecture videos on Measure Theory. I am not able to find any. Looking forward for your response.

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    The link Michael provided is dead now. Here is a replacement: http://courses.bilkent.edu.tr/course_videos.php?courseid=122017-10-19

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

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

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

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    These are lectures by Prof. Inder Rana, who is the author of the book ["An Introduction to Measure and Integration"](http://http://www.ams.org/bookstore-getitem/item=GSM-45) Second Edition, Published by American Mathematical Society. (Graduate Studies in Mathematics Series.)2015-06-13
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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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Maybe this link is also of interest in relation to the question http://www.youtube.com/playlist?list=PLD4489A54EA4C7C1D