MA321      Half Unit
Measure Theoretic Probability

This information is for the 2021/22 session.

Teacher responsible

Dr Albina Danilova


This course is available on the BSc in Financial Mathematics and Statistics, BSc in Mathematics and Economics and BSc in Mathematics with Economics. This course is available as an outside option to students on other programmes where regulations permit. This course is available with permission to General Course students.


Students must have completed Real Analysis (MA203).

Course content

This is a first course in measure-theoretic probability. It covers the following topics. Abstract probability spaces: sample spaces, sigma-algebras, probability measures, examples. Borel sigma-algebra, Lebesgue measure. Random variables: distribution functions, discrete and absolutely continuous distributions, examples. Expectation and the Lebesgue integral: convergence theorems and properties. Different modes of convergence of random variables. Conditional expectation: definition, properties, examples. Changes of probability measure, Bayes' theorem.


This course is delivered through a combination of classes and lectures totalling a minimum of 30 hours across Michaelmas Term. This year, apart from pre-recorded lecture videos, there will be a weekly live online session of an hour. Depending on circumstances, classes might be online.

Formative coursework

Written answers to set problems will be expected on a weekly basis. 

Indicative reading

Comprehensive lecture notes will be provided.

The following books may prove useful: 

D Williams, Probability with Martingales.

J. Jacod & P. Protter, Probability Essentials; A. Klenke Probability Theory. A Comprehensive Course


Exam (100%, duration: 2 hours) in the summer exam period.

Course selection videos

Some departments have produced short videos to introduce their courses. Please refer to the course selection videos index page for further information.

Important information in response to COVID-19

Please note that during 2021/22 academic year some variation to teaching and learning activities may be required to respond to changes in public health advice and/or to account for the differing needs of students in attendance on campus and those who might be studying online. For example, this may involve changes to the mode of teaching delivery and/or the format or weighting of assessments. Changes will only be made if required and students will be notified about any changes to teaching or assessment plans at the earliest opportunity.

Key facts

Department: Mathematics

Total students 2020/21: 53

Average class size 2020/21: 25

Capped 2020/21: No

Value: Half Unit

Guidelines for interpreting course guide information

Personal development skills

  • Self-management
  • Problem solving
  • Communication
  • Application of numeracy skills
  • Specialist skills