Introduction to the Modern Martingale Theory and Applications

Martingale theory is a cornerstone of modern probability, offering a natural extension of the study of sums of independent random variables. Although its roots can be traced back to the work of Paul Lévy in 1937, it was Joseph L. Doob in the 1940s who formally developed the theory, culminating in his landmark book Stochastic Processes in 1953. Since then, martingale theory has evolved significantl...