From Tanaka's formula to Itô's formula: The fundamental theorem of stochastic calculus

DOI10.1007/BF02867261MaRDI QIDQ1386780zbMATH OpenOpenAlexFDO

Authors B. Rajeev

Publication date 18 February 1999

Published in Proceedings of the Indian Academy of Sciences. Mathematical Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02867261

zbMATH Keywords

Itô's formulalocal time

Mathematics Subject Classification ID

Stochastic integrals (60H05)

Review text

The question is stated and solved: Can one deduce the (multidimensional) Itô formula from properties of local times? The answer is ``yes. The proof uses Fubini's theorem for stochastic integrals. A general case of vector semimartingales not necessarily continuous is considered. The second order derivatives arise naturally after integration by parts and because of connections of local times with quadratic characteristics. In turn, Tanaka's formula was deduced by the author earlier [in: Séminaire de probabilités XXX. Lect. Notes Math. 1626, 261-287 (1996; Zbl 0870.60050)] without using of Itô's one.

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Cites work

• Calcul stochastique d�pendant d'un param�tre
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Cited in

(4)

• An Itō formula in the space of tempered distributions
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• The It{\^o}-Tanaka Trick: a non-semimartingale approach
• Itô's stochastic calculus: its surprising power for applications

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