Tanaka formula for multidimensional Brownian motions (Q1827448)

Considering the function \(x\mapsto | x| \) as twice the one-dimensional Newtonian potential by analogy, the multidimensional Tanaka formula which is shown by the author reads \[ U(B_{T} - x) = U(-x) + \int_{0}^{T}\langle \nabla U(B_{t}-x), dB_{t}\rangle + L(T,x), \quad 0 \neq x\in{\mathbb R}^N, \] where \(U\) is twice the kernel of the Newtonian potential in \(\mathbb R^N\) \((N\geq 3)\) or twice the logarithmic potential \((N=2)\). The formula holds in \(D_{2}^{\alpha}\) for \(\alpha < 1-N/2\) where \(D_{p}^{\alpha}\) \((1<p<\infty)\) are the Meyer-Watanabe spaces. The integrals in the formula are Skorokhod integrals instead of Itô integrals. In Section 2 results from \textit{P. Imkeller} and \textit{F. Weisz} [Probab. Theory Relat. Fields 98, No. 1, 47--75 (1994; Zbl 0794.60046)] and the author [J. Math. Kyoto Univ. 39, No. 2, 365--375 (1999; Zbl 0951.60082)] on the existence and the Itô-Wiener expansion of the multidimensional Brownian local time \(L(T,x)\) are recalled. The proof of Tanaka's formula is presented in Section 3 and finally Section 4 contains a discussion of the Doob-Meyer decomposition of \(U(B_{t}-x)\) in the framework of Meyer-Watanabe spaces.