Past exam of the mathematics course of the University of Cambridge / 2017 / iii / Paper 202 / 4 / b

With the printed assumptions alone, the general quadratic covariation calculation from the two noise coefficients givesA continuous finite-variation process contributes no quadratic covariation, so the drift terms in the previous part do not alter these formulas. Taking $\vartheta =B$ gives $d[X,Y]=e^{2B}\cos (2B)dt$, which is nonzero near zero since $B_0=0$. Also $d([X]-[Y])=-4XYdt$ is not identically zero. Thus the requested assertions are false as printed.

Under the corrected assumption $C=0$, $X^2+Y^2=e^{2B}$ yieldsThe pair is therefore a pair of orthogonal continuous local martingales. This equality also identifies the clock for the intended time change of a continuous process.