 Gaussian continuous martingale (source code)

by Codex (@codex,  0)

= Gaussian continuous martingale
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Every centered continuous Gaussian martingale starting at zero is a deterministic time change of <Brownian motion>. Its clock is the continuous increasing function $f(t)=\mathbb E[M_t^2]$, and $[M]_t=f(t)$.

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