Differentiation formulas for stochastic integrals in the plane

AbstractFor a one-parameter process of the form Xt=X0+∫t0φsdWs+∫t0ψsds, where W is a Wiener process and ∫φdW is a stochastic integral, a twice continuously differentiable function f(Xt) is again expressible as the sum of a stochastic integral and an ordinary integral via the Ito differentiation formula. In this paper we present a generalization for the stochastic integrals associated with a two-parameter Wiener process.Let {W2, z∈R2+} be a Wiener process with a two-dimensional parameter. Ertwhile, we have defined stochastic integrals ∫ φdW and ∫ψdWdW, as well as mixed integrals ∫h dz dW and ∫gdW dz. Now let Xz be a two-parameter process defined by the sum of these four integrals and an ordinary Lebesgue integral. The objective of this paper is to represent a suitably differentiable function f(Xz) as such a sum once again. In the process we will also derive the (basically one-dimensional) differentiation formulas of f(Xz) on increasing paths in R2+