Probability with martingales

About this book

The purpose of this chapter is threefold: to take something which is probably well known to you from books such as the immortal Feller (1957) or Ross (1976), so that you start on familiar ground; to make you start to think about some of the problems involved in making the elementary treatment into rigorous mathematics; and to indicate what new results appear if one applies the somewhat more advanced theory developed in this book.