Complex exponential of two orthogonal Brownian motions ($M_t=e^{B_t+i{\vartheta }_t}$)

For orthogonal continuous local martingales $B,\vartheta$ that are standard Brownian motions, the real part $X=e^B\cos \vartheta$ and imaginary part $Y=e^B\sin \vartheta$ are continuous local martingales. The Itô formula gives $dX=XdB-Yd\vartheta$ and $dY=YdB+Xd\vartheta$, since the two diagonal second-order terms cancel. Their quadratic variations equal ${\int }_0^t{e}^{2B_s}ds$ and their quadratic covariation is zero. If $C=[B,\vartheta ]$ is nonzero, the omitted drift terms are respectively $-YdC$ and $XdC$, so the orthogonality hypothesis is essential.