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

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Abstract

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.

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  1. Indian Statistical Institute, 700 035, Calcutta, India

    B Rajeev

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  1. B Rajeev
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Rajeev, B. From Tanaka's formula to Ito's formula: The fundamental theorem of stochastic calculus. Proc. Indian Acad. Sci. (Math. Sci.) 107, 319–327 (1997). https://doi.org/10.1007/BF02867261

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  • DOI: https://doi.org/10.1007/BF02867261

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