Ito's lemma什么引理？

我不知道中文翻译是什么，但是含义你可以参考下面这个wiki链接

http://en.wikipedia.org/wiki/Local_time_(mathematics)

如果wiki不好上的话可以看一下这个：

In the mathematical theory of stochastic processes, local time is a property of diffusion processes like Brownian motionthat characterizes the time a particle has spent at a given level.Local time is very useful and often appears in various stochasticintegration formulas if the integrand is not sufficiently smooth, forexample in Tanaka's formula.




Strict definitionFormally, the definition of the local time is
where b(s) is the diffusion process and δ is the Dirac delta function. It is a notion invented by P. Lévy. The basic idea is that is a (rescaled) measure of how much time b(s) has spent at x up to time t. It may be written as
which explains why it is called the local time of b at x.

ms wiki上给的reference 是这个

K. L. Chung and R. J. Williams, Introduction to Stochastic Integration, 2nd edition, 1990, Birkhäuser, ISBN 978-0817633868 .

不知道有没有帮助

3# twomantou
"local time " 在随机分析中一般称为“局部时”，是一个随机过程，是占位测度的Radon导数。
Ito lemma，说白了就是随机分析中著名的Ito公式，包括微分形式和积分形式，这是随机分析的基础，任何一本随机分析
方面的书，都会给出这个公式。

当地时间 哈哈哈哈哈哈哈