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Definition (Mutual Variation)
Let M,NM,NM,N be continuous local martingales. We define the mutual variation of MMM and NNN as follows: [M,N]t=14([M+N]t−[M−N]t)∀t≥0[M,N]_{t}=\frac{1}{4}([M+N]_{t}-[M-N]_{t})\quad\forall t\ge 0[M,N]t=41([M+N]t−[M−N]t)∀t≥0
Remark
[M,M]=[M][M,M]=[M][M,M]=[M]