The classic reference book is:

[Hayes & Pauc][1], *Derivation and Martingales*


  [1]: https://www.amazon.com/Derivation-Martingales-Ergebnisse-Mathematik-Grenzgebiete/dp/3642861822/ref=sr_1_1?s=books&ie=UTF8&qid=1485874644&sr=1-1&keywords=derivation%20hayes