I'm not sure why, but I personally find martingales quite unintuitive. Even the most fundamental results like martingale convergence theorem or $L^p$ convergence theorem are hard to visualize. I feel like I'm constantly memorizing the necessary assumptions and conclusions, and it's really frustrating me. I think I have sufficient real analysis background because I understand the proofs. The problem is that I can't seem to develop intuition for these results. Does anyone have tips on studying martingales, especially on getting intuition for them?
I'm sorry if the post is vague. I'm not sure how to articulate the issue without being more confusing. And just to be clear, I did already read the post talking about easier books for studying martingale:What are some easier books for studying martingale? But my question pertains more to studying approach than books.
