Dyadic quadratic variation of a bounded continuous martingale ($\mathbb{E}{\sup }_{t\le 1}|A_t^{(n)}-A_t^{(m)}{|}^2\to 0$)

Let $X$ be a continuous martingale on $[0,1]$ with $X_0=0$ and $|X_t|\le C$. For the dyadic squared-increment sums, including the unfinished increment at time $t$, set $A_t^{(n)}={\sum }_k(X_{k{2}^{-n}\wedge t}-X_{(k-1)2^{-n}\wedge t}{)}^2$. The associated martingale transform $M_t^{(n)}=(X_t^2-A_t^{(n)})/2$ satisfies $\mathbb{E}(M_1^{(n)}{)}^2\le C^4$ and $\mathbb{E}(A_1^{(n)}{)}^2\le 10C^4$. Discrete martingale orthogonality, the path modulus of continuity and the Cauchy-Schwarz inequality show that the terminal transforms are Cauchy in $L^2$. The Doob L2 maximal inequality then gives $\mathbb{E}{\sup }_{t\le 1}|A_t^{(n)}-A_t^{(m)}{|}^2\to 0$. The sums need not be increasing in time before taking the limit. This provides an elementary construction of quadratic variation under boundedness.