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Iosif Pinelis
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The answer is no.

Indeed, if a martingale is a.s. everywhere differentiable, then its quadratic variation is a.s $0$. So, by the Burkholder–Davis–Gundy inequality, the martingale is a.s. constant.

Iosif Pinelis
  • 127.7k
  • 8
  • 107
  • 229