From Tanaka's formula to Ito's formula: The fundamental theorem of stochastic calculus
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- 作者：B Rajeev (1)
- 关键词：Semi ; martingales ; Ito formula ; Tanaka formula ; local times
- 刊名：Proceedings Mathematical Sciences
- 出版时间：August 1997
- 出版年：1997
- 期刊代码：157_0973-7685
- 类别：mat
- 卷：107
- 期：3
- 页码：319-327
- 数据来源：sp
摘要
In this article we give a new proof of Ito's formula inR n starting from the one-dimensional Tanaka formula. The proof is algebraic and does not use any limiting procedure. It uses the integration by parts formula, Fubini's theorem for stochastic integrals and essential properties of local times.