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A Generalized It$\hat {\rm o}$'s Formula in Two-Dimensions and Stochastic Lebesgue-Stieltjes Integrals

Chunrong Feng·Huaizhong Zhao
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Abstract

A generalized It${\hat {\rm o}}$ formula for time dependent functions of two-dimensional continuous semi-martingales is proved. The formula uses the local time of each coordinate process of the semi-martingale, left space and time first derivatives and second derivative $\nabla_1^- \nabla_2^-f$ only which are assumed to be of locally bounded variation in certain variables, and stochastic Lebesgue-Stieltjes integrals of two parameters.The two-parameter integral is defined as a natural generalization of the It${\hat {\rm o}}$ integral and Lebesgue-Stieltjes integral through a type of It${\hat {\rm o}}$ isometry formula.

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Chunrong Feng, Huaizhong Zhao. 2005-09-08. A Generalized It$\hat {\rm o}$'s Formula in Two-Dimensions and Stochastic Lebesgue-Stieltjes Integrals. https://arxiv.org/abs/math/0505196

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