In stochastic calculus, the **Kunita–Watanabe inequality** is a generalization of the Cauchy–Schwarz inequality to integrals of stochastic processes.

## Statement of the theorem

Let *M*, *N* be continuous local martingales and *H*, *K* measurable processes. Then

where the brackets indicates the quadratic variation and quadratic covariation operators. The integrals are understood in the Lebesgue–Stieltjes sense.

## References

- Rogers, L. C. G.; Williams, D. (1987).
*Diffusions, Markov Processes and Martingales*. II, Itô; Calculus. Cambridge University Press. p. 50. doi:10.1017/CBO9780511805141. ISBN 0-521-77593-0.