 Solution

Take a standard Brownian motion $B$ and defineThe Itô formula gives $N_t=2{\int }_0^{t\wedge 1}{B}_{s}d{B}_s$, so both are continuous martingales starting at zero. Their second moments are $\mathbb{E}{M}_t^2=t\wedge 1$ and $\mathbb{E}{N}_t^2=2(t\wedge 1{)}^2$, making them L2-bounded continuous martingales. At equal times, the odd moments of a centered normal random variable vanish, soThey are consequently weakly orthogonal continuous martingales by solution.

Their product, for $t<1$, is $B_t^3-t{B}_t$. The Itô formula givesThe continuous finite-variation term $2{\int }_0^t{B}_{s}ds$ is not identically zero: it has variance $4t^3/3$ at every $t>0$. Uniqueness of the continuous semimartingale decomposition therefore shows that $MN$ is not even a local martingale. Equivalently $[M,N{]}_t=2{\int }_0^{t\wedge 1}{B}_{s}ds$ is not zero, so the pair is not orthogonal continuous local martingales.