Past exam of the continuous martingales and stochastic calculus course of the University of Oxford / 2023 / 2 / c / i

Put $M_t=B_t^3-3t{B}_t$. It is an adapted process and is integrable at every finite time, because normal random variables have finite absolute moments of every order. Fix $0\le s<t$ and let $D=B_t-B_s$. Then $D$ is independent of ${\mathcal{F}}_s$, has mean zero, variance $t-s$, and third moment zero. Expanding the cube inside the conditional expectation givesAlso $\mathbb{E}[B_t\mid {\mathcal{F}}_s]=B_s$. ThereforeThese are exactly the defining conditions for a martingale.