Uniqueness of an increasing square compensator

ID: uniqueness-of-an-increasing-square-compensator

For a continuous local martingale , at most one continuous adapted increasing process starting at zero makes a local martingale. The difference of two candidates is a continuous finite-variation process and a local martingale, hence constant; its initial value is zero. Without the initial-value normalization only uniqueness up to an initial constant is possible.

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