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

by: B. Rajeev
Proceedings Mathematical Sciences, Vol. 107, No. 3. (1997), pp. 319-327.

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formula tanaka

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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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