Best book:
I need a 'Measure Theory for Complete rtards' book

It's been a month and I can't understand anything. What's the real difference between fields and sigmafields? Why do we even want do define everything on them? What's the relationship between Borel sets and real numbers? What the hell did Radon and his pal really prove?
I just don't get anything. For Christ's sake, I was a business studies major.You must prove that you are a complete rettttard before you can hope to get advice from us. What is your Machine Learning grade?

OP
There is a playlist on YouTube by an IIT prof (MIT EECS PhD so quality is great)
https://youtube.com/playlist?list=PLbMVogVj5nJQqGHrpAloTec_lOKsGfoc
He has lecture notes as well. I am just afraid it doesn't precisely cater to econfin needs. Nonetheless, its a solid place to look for of you are a visual learner.

OP
There is a playlist on YouTube by an IIT prof (MIT EECS PhD so quality is great)
https://youtube.com/playlist?list=PLbMVogVj5nJQqGHrpAloTec_lOKsGfoc
He has lecture notes as well. I am just afraid it doesn't precisely cater to econfin needs. Nonetheless, its a solid place to look for of you are a visual learner.Fascinating. How much do these people earn relative to local standards?

Sigma fields are just what probability is defined on. If you think carefully of what kinds of combinations of sets you can compute the probability on, you get a sigma field.
You should see it at least once because some papers use that language. Once you learn the language it's not a big deal. You need the full generality in continuoustime finance.
Borel sets are sets of real numbers (or sometimes something more general, like balls in metric spaces). They're exactly the sets you want to assign probabilities to. There are other kinds of sets, but you can ignore them.
Radon and Nikodym proved a theorem that is so easy that the proof is on Wikipedia.

Sigma fields are just what probability is defined on. If you think carefully of what kinds of combinations of sets you can compute the probability on, you get a sigma field.
You should see it at least once because some papers use that language. Once you learn the language it's not a big deal. You need the full generality in continuoustime finance.
Borel sets are sets of real numbers (or sometimes something more general, like balls in metric spaces). They're exactly the sets you want to assign probabilities to. There are other kinds of sets, but you can ignore them.
Radon and Nikodym proved a theorem that is so easy that the proof is on Wikipedia.Use von Neumanns proof that uses Hilbert space methods (i.e. lebesgue decomposition follows as a corollary of the Hilbert space version of the riesz representation theorem)