Preface In these notes we explain the measure theoretic foundations of modern probability. The notes are used during a course that had as one of its principal aims a swift introduction to measure theory as far as it is needed in modern probability, e.g. to define concepts as conditional expectation and to prove limit theorems for martingales. Everyone with a basic notion of mathematics and prob...

1 Sigma-Algebra: Describing measurable sets 6 1.1 Families of sets . . . . . . . . . . . . . . . . . . . . . . . . . . 7 1.1.1 Semiring of sets . . . . . . . . . . . . . . . . . . . . . . 7 1.1.2 Restricted algebras . . . . . . . . . . . . . . . . . . . . 10 1.1.3 Sigma Algebras . . . . . . . . . . . . . . . . . . . . . . 10 1.1.4 Binary Unions . . . . . . . . . . . . . . . . . . . . . . 12 1.1...

1 Describing measurable sets 8 1.1 Families of sets . . . . . . . . . . . . . . . . . . . . . . . . . . 9 1.1.1 Semiring of sets . . . . . . . . . . . . . . . . . . . . . . 9 1.1.2 Restricted algebras . . . . . . . . . . . . . . . . . . . . 12 1.1.3 Sigma Algebras . . . . . . . . . . . . . . . . . . . . . . 12 1.1.4 Binary Unions . . . . . . . . . . . . . . . . . . . . . . 14 1.1.5 Initial Sigm...