Past exam of the mathematics course of the University of Cambridge / 2024 / iii / Paper 202 / 1 / a / i

The integrand $\mathrm{sign}({\beta }_s)$ is a bounded previsible process, so $B$ is a continuous local martingale. The quadratic variation of a stochastic integral isbecause the Brownian zero set has zero Lebesgue measure. Since $B_0=0$, the Lévy characterization of Brownian motion shows that $B$ is a standard Brownian motion.