The most general statement for a discontinuous local martingale "M" is that if ("H"2 · ["M"])1/2 is locally integrable then "H" · "M" exists and is a local martingale.
The most general statement for a discontinuous local martingale "M" is that if ("H²" · ["M"])"1/2" is locally integrable then "H" · "M" exists and is a local martingale.