I am looking for a book with good collection of exercises in Martingale theory. So far I know Durrett and Billingsley, but I am looking for an even better collection of problems. Particularly on Optional Stopping theorem, Backward martingales, martingale convergence theorems, exchangeability, etc.
2026-04-01 05:17:02.1775020622
Good problem books on martingales
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Have a look at Probability with Martingales by David Williams.