  The covariance function of a Gauss-Markov process evaluated at points $(s,t)$
admits a representation as a product of a function of $\min(s,t)$ and a
function of $\max(s,t)$. We call these functions the covariance factors of a
Gauss-Markov process, and give the expression of the quadratic variation of a
Gauss-Markov semimartingale in terms of its covariance factors.
