Localized isometry proof of stochastic-integral quadratic variation
ID: localized-isometry-proof-of-stochastic-integral-quadratic-variation
For a continuous local martingale and a locally bounded predictable process, stop at a localizing time, an integrand bound, a time bound, and level bounds for the centered martingale and its bracket. The stopped martingale is bounded and its bracket and integrand are deterministically bounded. The Itô isometry, applied to for , gives the conditional second-moment identity. Expanding the square proves that is a martingale after stopping. Uniqueness of an increasing square compensator identifies the bracket, and increasing stopping times patch the identities into the displayed local result.
New to topics? Read the docs here!