What is a martingale $(X_n)$ index by the finite set $(0,1,...,N)$?

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In the book of Yor and Revuz : "Continuous martingale and Brownian motion" third edition, proposition 1.5 page 53 : it's written : If $(X_n)$ is an integrable submartingale indexed by the finite set $(0,1,...,N)$... what does it mean exactly ? First $(0,1,...,N)$ is not really a set, so what does he mean by that ?