Let θ ≥ 0 and p · be a variable exponent, and we introduce a new class of function spaces L p · , θ in a probabilistic setting which unifies and generalizes the variable Lebesgue spaces with θ = 0 and grand Lebesgue spaces with p · ≡ p and θ = 1 . Based on the new spaces, we introduce a kind of Hardy-type spaces, grand martingale Hardy spaces with variable exponents, via the martingale operators. The atomic decompositions and John-Nirenberg theorem shall be discussed in these new Hardy spaces.

In this paper, we introduce the generalized grand Morrey spaces in the framework of probability space setting in the spirit of the martingale theory and grand Morrey spaces. The Doob maximal inequalities on the generalized grand Morrey spaces are provided. Moreover, we present the boundedness of fractional integral operators for regular martingales in this new framework.