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THE ITO FORMULA FOR PERTURBED BROWNIAN MARTINGALES
Published online by Cambridge University Press: 21 December 2000
Abstract
In a further generalisation of the classical Ito formula, we show that if B = (At + A[dagger]t [ratio ] t ∈ [0, 1]) is the Brownian quantum martingale and J = (Jt [ratio ] t ∈ [0, 1]) is a bounded quantum semimartingale, then M = (Bt + Jt [ratio ] t ∈ [0, 1]) satisfies the functional quantum Ito formula [10, Section 6]
formula here
The proof, which relies on the classical theory of unbounded self-adjoint operators, may be adapted to the case where B is replaced by a classical Brownian martingale.
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- © The London Mathematical Society 2000