I. A. Ibragimov, N. V. Smorodina, M. M. Faddeev, “About a two-dimensional analogue of Tanaka's formula”, Teor. Veroyatnost. i Primenen., 2026, Volume 71, Issue 2,Pages <nobr>305

About a two-dimensional analogue of Tanaka's formula

I. A. Ibragimov^ab, N. V. Smorodina^ab, M. M. Faddeev^b

^a St. Petersburg Department of Steklov Mathematical Institute of Russian Academy of Sciences
^b Saint Petersburg State University

Abstract: In this paper, we obtain some analogue of Tanaka's formula for the process of two-dimensional Brownian motion.

Keywords: random processes, Tanaka's formula, Ito's formula, distributions, Stratonovich integral.

MSC: 28C20, 60H05, 60G57

Received: 18.08.2025
Accepted: 24.10.2025

DOI: 10.4213/tvp5877