Concerning this fact, the paper by Carmona et al. refers (on p. 28) to "Example 2 of Section 4.9.13 of Liptser and Shyriaev [19]".
A proof of this fact can also be found e.g. in Section 9.3 of this project, p. 66.
Concerning this fact, the paper by Carmona et al. refers (on p. 28) to "Example 2 of Section 4.9.13 of Liptser and Shyriaev [19]".
A proof of this fact can also be found e.g. in Section 9.3 of this project, p. 66.