Summary: In this article, we define a new class of function spaces \(L_{p, q), \theta}\) which unify and generalize the Iwaniec-Sbordone spaces with \(q = p\), grand Lorentz spaces \(\theta = 1\) and classical Lorentz spaces \(\theta = 0\). Based on the new space, we introduce a kind of Hardy-type space, \(H_{p, q), \theta}^s\), via the martingale operators and then develop a theory of these martingale Hardy spaces. More specifically, the atomic decompositions of \(H_{p, q), \theta}^s\) (\(0 < p \leq 1\), \(1 < q < \infty\)) are established. As applications, the dual theorems for the new framework are provided. We also obtain a new John-Nirenberg-type inequality by the duality. The results extend the very recent work of \textit{Y.~Jiao} et al. [Trans. Am. Math. Soc. 369, No.~1, 537--553 (2017; Zbl 1353.60043)] to the case of generalized grand Lorentz spaces. Our results are new, even for the grand Lorentz spaces.
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