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I was going through this book after a gap of 3 years, reason being, I had conveniently forgotten some important stuff relating to martingale theory. Now that my work demanded a thorough application of this theory, I had to go over it again. In order to refresh my memory, I thought I should go over this book by Jacod & Protter where I had read about Martingales for the first time.

This book has a nice collection of problems related to Modern Probability. Unlike the classical problems which are related to discrete variables, the problems in the book are related to variables whose measure is a combination of discrete , absolute continuous and singular measures. My motivation in going through this book was Chapter 10 which is on Conditional Expectation. Martingales are very important mathematical objects , as far as math-fin stuff is concerned.

Every one of us is touched in some way or the other by the problems of mathematical communication. Every one of us can make some contribution, great or small, with in his own proper sphere of activity. And every contribution is needed if mathematics is to grow healthily and usefully and beautifully. - E.J.McShane