Tanaka's formula
= Tanaka's formula
{c}
{wiki}
= Tanaka formula
{c}
{synonym}
For a continuous semimartingale $X$,
$$
|X_t|=|X_0|+\int_0^t\operatorname{sgn}(X_s)\,dX_s+L_t^0(X),
$$
where $L^0(X)$ is the <local time of a semimartingale> at zero.
= Tanaka's formula
{c}
{wiki}
= Tanaka formula
{c}
{synonym}
For a continuous semimartingale $X$,
$$
|X_t|=|X_0|+\int_0^t\operatorname{sgn}(X_s)\,dX_s+L_t^0(X),
$$
where $L^0(X)$ is the <local time of a semimartingale> at zero.