Abstract
Let $M = \{M(z), z \in \lbrack 0, 1\rbrack^2\}$ be a two-parameter square integrable continuous martingale. We prove the sample continuity of the quadratic variation of $M$ using an Ito's differentiation formula for $M^2$.
Citation
D. Nualart. "On the Quadratic Variation of Two-Parameter Continuous Martingales." Ann. Probab. 12 (2) 445 - 457, May, 1984. https://doi.org/10.1214/aop/1176993300
Information
