We know that for a continuous local martingale $M$ the quadratic variation $\left<M \right>$ is such that $M^2- \left< M \right>$ is a continuous local martingale. Is it true that if $M$ is a true martingale then $M^2- \left< M \right>$ is a true martingale?
2026-04-01 06:07:24.1775023644
Quadratic variation of true martingale
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