Martingale difference ($\mathbb{E}(D_j\mid {\mathcal{F}}_{j-1})=0$)

A time-indexed increment $D_j$ with $\mathbb{E}(D_j\mid {\mathcal{F}}_{j-1})=0$ is a martingale difference relative to its history. Square-integrable differences at different indices are orthogonal, allowing their conditional variances to accumulate. They need not be independent.