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