The renowned mathematician, Paul Erdős, has published more than 1500 papers in various branches of mathematics including discrete mathematics, graph theory, number theory, mathematical analysis, approximation theory, set theory, and probability theory. A complete list of his published works is available in an archive organized by Jerrold Grossman.
Besides the published papers, it is quite likely for a very active mathematician like Erdős to have a long list of unpublished/unfinished papers as well. Just like a treasure trove, these notes may contain incredibly valuable mathematical stuff such as conjectures, lemmas, proof ideas, etc., which can easily be expanded to full papers or at least, give rise to some interesting piece of research as a source of inspiration. They could be of some historical significance too.
Question. Is there an archive of (even a portion of) Erdős' unpublished/unfinished works? I am particularly interested in those unpublished notes of him which are related to set theory and infinitary combinatorics.
Update. Thanks to Ron Graham the question is now fully answered with the identification of the exact location of Erdős' mathematical diaries. Unfortunately, it seems these diaries aren't currently available for public (and even for close friends and colleagues of Erdős). See my below answer for further details.