What does this notation mean? “$\langle M\rangle_t$” or “$\langle M \rangle_\infty$” where $M_t$ is a continuous martingale

martingalesnotationprobability

Suppose that $M_t$ is a continuous martingale. I saw this notation in a paper: $\langle M \rangle_t$ or $\langle M \rangle_\infty$. What does this notation mean?

The paper does not explain the notation so I'm guessing that it is well-known. I am aware that angle brackets are sometimes used to denote expectation but the paper uses $E M_t$ to denote the expectation. Also, $t$ is outside the bracket which suggests that it is not expectation notation. Is it related to a specific notation used in martingales?

Best Answer

It is the quadratic variation of the martingale. Also sometimes written with square brackets.

https://en.wikipedia.org/wiki/Quadratic_variation

Greg

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