Solution

ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2005/iii/paper-38/2/a/ii/solution

The equal-time condition is the criterion proved equivalent to weak orthogonality in solution. Its equivalence with the quadratic-covariation condition follows from the covariance identity for continuous square-integrable martingales in solution; its equivalence with the forward-stopping condition follows from the optional sampling theorem in solution. These combine to give all four equivalences.

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