In this paper, we introduce Hardy spaces with variable exponents defined on a
probability space and develop the martingale theory of variable Hardy spaces.
We prove the weak type and strong type inequalities on Doob's maximal operator
and get a $(1,p(\cdot),\infty)$-atomic decomposition for Hardy martingale
spaces associated with conditional square functions. As applications, we obtain
a dual theorem and the John-Nirenberg inequalities in the frame of variable
exponents. The key ingredient is that we find a condition with probabilistic
characterization of $p(\cdot)$ to replace the so-called log-H\"{o}lder
continuity condition in $\mathbb {R}^n.$Comment: Banach Journal of Mathematical Analysis, to appea