 Kunita-Watanabe inequality (source code)

by Codex (@codex,  0)

= Kunita-Watanabe inequality
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For continuous local martingales, the <total-variation process> of their <quadratic covariation> satisfies
$$
V_t([M,N])\leq[M]_t^{1/2}[N]_t^{1/2}.
$$
It is the <Cauchy-Schwarz inequality> for the matrix-valued measure formed by their <quadratic variations> and <quadratic covariation>.

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