On Itô's formula for multidimensional Brownian motion

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  • 1 January 2001
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      • Published in RePEc
Abstract
Consider a d-dimensional Brownian motion X (Xl, ... ,Xd ) and a function F which belongs locally to the Sobolev space W 1,2. We prove an extension of Ito's formula where the usual second order terms are replaced by the quadratic covariations [fk(X), Xkj involving the weak first partial derivatives fk of F. In particular we show that for any locally square-integrable function f the quadratic covariations [f(X), Xkj exist as limits in probability for any starting point, except for some polar set. The proof is based on new approximation results for forward and backward stochastic integrals.
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