Extended Tanaka Formula

F. S. Nasyrov

Ufa State Aviation Technical University

Abstract: Generalized Tanaka formula is proved for left-continuous predictable functions and for Wiener process.

Keywords: Wiener process, symmetric integral, extended symmetric integral, stochastic Stratonovich integral, stochastic Ito integral, Tanaka formula.

UDC: 519.2

Received: 14.03.2009

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