Yu. V. Borovskikh & V. S. Korolyuk 
Martingale Approximation [PDF ebook] 

Frontmatter — Contents — Preface — 1. Basic notions — 2. Semimartingales — 3. Inequalities — 4. Laws of large numbers — 5. Central limit theorem — 6. Convergence of semimartingales — 7. Rate of weak convergence — 8. Applications of martingales — Appendix — Bibliographic notes — Bibliography — Subject index