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Because $K$ is continuous, adapted, and strictly positive, $K^{-1/2}$ is predictable and locally integrable against $M$. DefineThe quadratic variation of a stochastic integral isThus $W$ starts at zero and is a continuous local martingale with bracket $t$. The Lévy characterization of Brownian motion makes it a Brownian motion in the original filtration.

The process $H$ is continuous and adapted, and ${\int }_0^t{H}_s^{2}ds={\int }_0^t{K}_{s}ds<\infty$ almost surely. The associativity of stochastic integration givesThis is the stochastic-integral representation from absolutely continuous quadratic variation.