Math Books and Lecture Notes

Probability in Banach Spaces by M. Ledoux and M. Talagrand at M. Talagrand's home page

Markov Chains and Stochastic Stability by S.P. Meyn and R. L. Tweedie

An Introduction to Random Matrices by G. Anderson, A. Guionnet and O. Zeitouni at O. Zeitouni's home page

Expander Graphs and their Applications by S. Hoory, N. Linial and A. Wigderson at A. Wigderson's web page

Martingales in Banach Spaces by G. Pisier

Riemann-Hilbert Problems and Multiple Orthogonal Polynomials by Arno Kuijlaars

Video lectures

Winning the DARPA Grand Chalenge by Sebastian Thrun
How to write mathematics badly by Jean-Pierre Serre
Pattern Classification and Large Margin Classifiers by Peter L. Bartlett
Various video lectures at the ENS, Paris