Textbook suggestion for studying martingales

Question

I've been studying probability from Davar Khoshnevisan's graduate textbook since the beginning of the semester. A month ago, I came to the chapter of "Martingales". Since it's my first encounter with martingales, I found it a little confusing and hard to grasp. I totally understand the definitions and the theorems, but I feel like I am not seeing the big picture of it. I mean I need to digest it a little more.

In such times, reading the same concept from different textbook or from a different perspective of view may help you to complete some missing pieces. My question is: Can you please suggest me a textbook or an article about martingales to read to supplement my textbook?

Answer 1

I am not sure what kind of book you are looking but I can suggest you one of the good ones that i like, David Williams- Probability with Martingales , Olav Kallenberg - Foundations of Modern Probability, Patrick Billingley - Probability and Measure,and Varadhan's lecture notes.. Good luck.