Martingale difference sequence

A martingale difference sequence is an adapted sequence of integrable random variables $D_n$, $n\ge 1$, with $\mathbb{E}[D_n\mid {\mathcal{F}}_{n-1}]=0$. Its partial sums are a martingale, and martingale increments give such sequences. If the differences are square-integrable, they are uncorrelated random variables: for $j<k$, conditioning on ${\mathcal{F}}_{k-1}$ gives $\mathbb{E}{D}_j{D}_k=0$.