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.