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

  • B Rajeev


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.


Semi-martingales Ito formula Tanaka formula local times 


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Copyright information

© Indian Academy of Sciences 1997

Authors and Affiliations

  • B Rajeev
    • 1
  1. 1.Indian Statistical InstituteCalcuttaIndia

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