TITLE: What are some easier books for studying martingale?
QUESTION [16 upvotes]: What are some easier books for studying martingale?
They are defined to be comprehensive but easier than Roger and William's martingale book. For example, to study Q and F martingales?
It should cover continuous-time martingale, stochastic integrals and most other basic topics for martingle

REPLY [4 votes]: Samual Cohen, Robert Elliott: Stochastic Calculus and Applications
Nice book to start with. It begins with Measure Theoretic Probability, then considers Discrete and Continuous time Martingales (Optional Stopping, Inequalities, Convergence), proceeds to Stochastic Integration, and, finally, ends with Stochastic DE.