 Solution

Take an increasing localizing sequence ${\tau }_n$ for $X$ and define the stopping timesThe predictable process condition $K_{u+1}\in {\mathcal{F}}_u$ makes $R_n$ a stopping time. For each fixed finite time range, the finitely many coefficients $K_1,\dots ,K_t$ are finite almost surely; hence $T_n\uparrow \infty$ almost surely.

The stopped martingale transform can be writtenIts coefficient is ${\mathcal{F}}_{s-1}$-measurable and bounded in absolute value by $n$. Each summand is consequently integrable with zero conditional expectation given ${\mathcal{F}}_{s-1}$, since $X^{{\tau }_n}$ is a true martingale. Thus $M^{T_n}$ is a true martingale andThe original PDF fixes $M_0=0$; the TeX extraction omits this equality.