Doob, J. L. (1971). What is a martingale?. The American Mathematical Monthly, 78(5), 451-463. [PDF]
Harrison, J. M., & Kreps, D. M. (1979). Martingales and arbitrage in multiperiod securities markets. Journal of Economic theory, 20(3), 381-408. [PDF]
Harrison, J. M., & Pliska, S. R. (1981). Martingales and stochastic integrals in the theory of continuous trading. Stochastic processes and their applications, 11(3), 215-260. [PDF]
Textbooks
Ross, S. M. (1995). Stochastic processes. John Wiley & Sons. [PDF]
Williams, D. (1991). Probability with martingales. Cambridge university press. [PDF]
Steele, J. M. (2001). Stochastic calculus and financial applications (Vol. 1, p. 722). New York: Springer. [PDF]
Capinski, M., & Zastawniak, T. (2003). Mathematics for finance. An Introduction, 118-124. [PDF]
Blyth, S. (2014). An introduction to quantitative finance. Oxford University Press. [PDF]