A Tanaka formula for the derivative of intersection local time in \reals^1

Publication date: 3 September 2006

Abstract: Let

B_{t}

be a one dimensional Brownian motion, and let

a l p h a^{'}

denote the derivative of the intersection local time of

B_{t}

as defined in Jay Rosen's work (see references). The object of this paper is to prove the following formula

(1 / 2) a l p h a'_{t} (x) + (1 / 2) s g n (x) t = i n t_{0}^{t} L_{s}^{B_{s} - x} d B_{s} - i n t_{0}^{t} s g n (B_{t} - B_{u} - x) d u

which was given as a formal identity by Rosen without proof.

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