 Lévy characterization of multidimensional Brownian motion

A continuous vector-valued local martingale $M$ starting at zero is standard multidimensional Brownian motion if its quadratic covariations satisfy $[M^i,M^j{]}_t={\delta }_{ij}t$. For each deterministic vector $\xi$, the Itô formula makes $\exp (i\xi \cdot M_t+|\xi {|}^{2}t/2)$ a complex local martingale. Its absolute value is bounded on each finite horizon, so it is a true martingale. Its conditional expectation identity givesThis conditional characteristic function identifies a centered multivariate normal distribution with covariance $(t-s)I$, independent of the past. Thus the coordinates are independent Brownian motions. The converse follows immediately from the standard coordinate quadratic covariations.