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

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    • Keywords


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

    • Abstract


      In this article we give a new proof of Ito's formula inRn 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.

    • Author Affiliations


      B Rajeev1

      1. Indian Statistical Institute, Calcutta - 700 035, India
    • Dates

  • Proceedings – Mathematical Sciences | News

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      Posted on July 25, 2019

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