Dyadic power variation of a continuous local martingale (${\sum }_i|{\Delta }_{i}M{|}^p$)

Along the dyadic partitions of an interval of $[0,1]$, the sums ${\sum }_i|{\Delta }_{i}M{|}^p$ of a continuous local martingale tend to zero in probability for $p>2$. If $0<p<2$ and these sums are eventually bounded almost surely, then $M$ is constant on $[0,1]$: compare them with the sums defining quadratic variation, using the maximum increment, which tends to zero by uniform continuity.