Past exam of the mathematics course of the University of Cambridge / 2005 / iii / Paper 38 / 2 / a / Solution

Use the standard global convention that ${\mathcal{M}}_c^2$ consists of L2-bounded continuous martingales, here starting at zero. This matters for arbitrary unbounded stopping times in part (iv); square-integrability at each separate deterministic time alone is weaker. Such martingales have terminal $L^2$ limits and satisfy the optional sampling theorem at arbitrary finite stopping times. Infinite stopping times can also be included by evaluating at the terminal limit. The weakly orthogonal continuous martingales condition compares cross-time expectations. The following four parts prove its equivalence with the equal-time, bracket-mean and forward-stopping tests.