Yang, Ming - In: Stochastic Processes and their Applications 97 (2002) 1, pp. 77-93
Let Xt be a continuous local martingale satisfying X0=0 and K1q(t)[less-than-or-equals, slant]<X>t[less-than-or-equals, slant]K2q(t) a.s. for a nondecreasing function q with constants K1 and K2. Define for a Borel function and Mt*=sup0[less-than-or-equals, slant]s[less-than-or-equals, slant]t Ms....</x>