Solution

ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2022/iii/paper-211/4/a/solution

Localize when the predictable integrand first exceeds level , just before that increment is taken. The resulting stopped integrand is bounded, so its martingale transform is a martingale by the stated result. The localization times increase to infinity because each finite collection of is finite almost surely. Hence is a local martingale.

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