Mutual Variation

Definition (Mutual Variation)

Let M,NM,N be continuous local martingales. We define the mutual variation of MM and NN as follows: [M,N]t=14([M+N]t[MN]t)t0[M,N]_{t}=\frac{1}{4}([M+N]_{t}-[M-N]_{t})\quad\forall t\ge 0

Remark

[M,M]=[M][M,M]=[M]