Quadratic covariations of an analytic Brownian image

ID: quadratic-covariations-of-an-analytic-brownian-image

For an analytic function and planar Brownian motion with independent standard coordinates, the Cauchy-Riemann equations make harmonic. The Itô formula gives and . Localizing the derivatives proves both coordinates are local martingales. Squaring their diffusion coefficients and multiplying the two rows gives the displayed quadratic variations and zero quadratic covariation.

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