Orthogonal continuous local martingales

ID: orthogonal-continuous-local-martingales

Two continuous local martingales are orthogonal when their quadratic covariation is zero. With zero initial values, the martingale product identity says that their product is a local martingale. For two Brownian motions in a common filtration, orthogonality and the Lévy characterization of multidimensional Brownian motion make the pair a two-dimensional Brownian motion and imply independence. Merely having the two marginal Brownian motion laws on the same space does not imply orthogonality.

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