I am looking for Wald's Identity for non-i.i.d. case as discussed in the following links:
https://en.wikipedia.org/wiki/Wald%27s_equation
What are the assumptions for applying Wald's equation with a stopping time
Can someone please refer me to a book where I can find discussion about the Wald's Identity for non-i.i.d. case. Also, from assumptions mentioned on Wikipedia page it is not clear to me that for what level of dependence between random variables the general version of Wald's identity will not hold.