Lectures can be handled in different ways. You can choose to cite them as you would any other type of source and include them in the reference list. If you do, it could be a good idea to list them under a separate heading ("In the author's possession" for example) to make it clear to the reader that it is unpublished material
Since lectures in many cases aren't available to the reader, it is commonly thought that this type of source shouldn't be in the reference list at all. Another way to handle lectures is to only refer to them in a footnote on the same page as the in-text citation. Please check with your supervisor, teacher or department what applies to you.