Under what condition on $\sigma$ is $dM_t = \sigma(M_t,t) dW_t$ a martingale?

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Let $(W_t)$ be a Brownian motion. Under what minimal condition on the function $\sigma$ can we say that the solution of

$$dM_t = \sigma(M_t,t) dW_t$$

is a martingale with regard to its own filtration?

Same question if $(W_t)$ was a generic martingale, not necessarily a Brownian motion.