 Solution

For every $m$, $D_m$ is a continuous square-integrable vector martingale. Its norm is a submartingale, so the Doob L2 maximal inequality and the estimate from part (c) giveThe Cauchy-Schwarz inequality now showsBy Tonelli's theorem, the random sum of these suprema is finite almost surely. Therefore the telescoping series $a+{\sum }_m{D}_m(t)$ converges absolutely and uniformly on $[0,T]$ outside one null event. Its limit is continuous and agrees at each fixed time with the $L^2$ limit from part (c). Taking the intersection of the probability-one events for integer $T$ provides a single version on the whole half-line. HenceThis also gives the requested pointwise almost-sure convergence of the full sequence.