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

被引：3

作者：

Rajeev, B ^{[1
]}

机构：

[1] INDIAN STAT INST,CALCUTTA 700035,W BENGAL,INDIA

来源：

PROCEEDINGS OF THE INDIAN ACADEMY OF SCIENCES-MATHEMATICAL SCIENCES | 1997年 / 107卷 / 03期

关键词：

semi-martingales; Ito formula; Tanaka formula; local times;

D O I：

10.1007/BF02867261

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

In this article we give a new proof of Ito's formula in R-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.

引用

页码：319 / 327

页数：9

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