Chapter 6
Ito’s Stochastic Calculus
6.1 Introduction
When Bachelier ﬁrst applied Wiener process on modeling the ﬂuctuation of asset prices, the price of an asset at time t, X _{t} , has an inﬁnitesimal increment dX _{t} propor tional to the increment dW _{t} of the Wiener process, i.e.,
dX _{t} = σ dW _{t} ,
where σ is a positive constant. As a result, an asset with initial price X(0) = x worths
X _{t} = x+σW _{t}
at time t. This model suffers from one serious ﬂaw: for any t > 0 the price X _{t} can be
negative with nonzero probability (but actual stock prices are never negative). To tackle this problem, successors assumed that the relative price dX _{t} /X _{t} of an asset is
proportional to dW _{t} , i.e.,
dX _{t} = σX _{t} dW _{t} .
(6.1)
Although this equation looks like a differential equation, traditional methods are no longer applicable because the paths of W _{t} are not differentiable (Theorem 5.2).
A way around the obstacle was found in the 1940s by Ito, who gave a rigorous
meaning to (6.1) by writing it as
t
X _{t} = x+σ 0 X _{s} dW _{s} ,
(6.2)
where the integral with respect to W _{t} on the righthand side is called the Ito stochas tic integral. In this section we discuss the deﬁnition and properties of stochastic integral, and explore the applications to pricing ﬁnancial products.
107
108
6.2 Ito Stochastic Integral
6 Ito’s Stochastic Calculus
6.2.1 Motivation
t
Motivated by (6.2), we construct the Ito stochastic integral in the form ^{} f (s) dW _{s} for some stochastic process/random function f (s) ( f (s, ω ), to be precise). We follow an approach similar to constructing Riemann integral, i.e., deﬁne the integral by the limit of the discretized version
0
n−1
i=0 ∑ f(s _{i} )(W _{t} _{i}_{+}_{1} −W _{t} _{i} ) ,
(6.3)
where s _{i} ∈ [t _{i} ,t _{i}_{+}_{1} ]. The major differences between Riemann and Ito integrals are
1. Riemann integration results in a real number, but Ito integration results in a random variable (since W _{t} is random). Thus, while deﬁning Riemann integral involves convergence of real numbers, deﬁning Ito integral in (6.3) requires convergence of random variables, which is considerably more difﬁcult.
2. If a Riemann integral exists, then s _{i} can be an arbitrary point in [t _{i} ,t _{i}_{+}_{1} ] since the upper and lower Riemann sum converge. However, in Ito integral, the limit will be different depending on the choice of s _{i} . This is due to the nonzero quadratic variation of the Brownian motion W _{t} . See Exercise 6.1.
To avoid the ambiguity in 2), the deﬁnition of stochastic integrals will ﬁx the choice s _{i} = t _{i} for each i in the approximating sum (6.3). The choice s _{i} = t _{i} is natural if we regard f (t) as the trading strategy and W _{t} as the stock price: For the i + 1th period [t _{i} ,t _{i}_{+}_{1} ], the trading strategy should only depend on the information up to time t _{i} . Hence, f (t _{i} ) units are invested and a proﬁt of f (t _{i} )(W _{t} _{i}_{+}_{1} −W _{t} _{i} ) is made.
Therefore, _{∑} ^{n}^{−}^{1} f(t _{i} )(W _{t} _{i}_{+}_{1} −W _{t} _{i} ) represents the total proﬁt.
Remark 6.1. (Previsible) To be precise, in deﬁning stochastic integral we require the integrand f (t) to be previsible or predictable, i.e., f (t) is F _{t}_{−} for all t where F _{t}_{−} ≡ ∪ _{s}_{<}_{t} F _{s} and F _{t} = σ({W _{s} , s ≤ t}). However, it can be shown that if f (t) is continuous and adapted to F _{t} , then f (t) is automatically previsible. Since we mainly deal with continuous integrand, we do not distinguish between previsible and adapted process.
i=0
6.2.2 Ito Integral
Ito integral is a random variable since W _{t} and the integrand f (t ) are random. To ensure regularity of the Ito integral (such as the existence of the ﬁrst and the second moments), we restrict f (t) to the following class of stochastic processes.
to be the class of
Deﬁnition 6.1. (M
2
T
and M ^{2} Stochastic Processes) Denote M
2
T
stochastic processes f (t), t ≥ 0, such that
6.2
Ito Stochastic Integral
109
E
0
T f(t) ^{2} dt < ∞.
Let M ^{2} be the class of stochastic processes f (t) such that f (t) ∈ M
T
2 for any T > 0.
Recall that a random variable X is in L ^{2} , or X ∈ L ^{2} , if EX ^{2} < ∞. Both M ^{2} and L ^{2} are related to the existence of second moment, but M ^{2} is for a stochastic process and L ^{2} is for a random variable. Since the Ito integral is a random variable and the integrand is a random function (stochastic process), we need to deﬁne a measure of length and a mode of conver gence in deﬁning the integral by a limit of a discretization in (6.3).
2 Norms) For a random variable X and a stochastic
Deﬁnition 6.2. (L ^{2} and M
T
process f ≡ f (t), the L ^{2} and M
T
2 norm are given respectively by
X _{L} _{2} = E(X ^{2} )
and
f _{M}
2
T
= E
0
T
f(t) ^{2} dt . 
(6.4) 

Deﬁnition 6.3. (L ^{2} , M
2 and M ^{2} Convergences) A sequence of random vari
T
ables {X _{n} } converges in L ^{2} to X if
X _{n} −X _{L} _{2} = E(X _{n} −X ^{2} ) → 0.
as n → ∞. A sequence of random functions / stochastic processes { f _{n} (t)} con
verges in M
T
to f if for any T ,
2
f _{n} − f _{M}
2
T
= E
0
T f _{n} (t)− f(t) ^{2} dt → 0.
Similarly, { f _{n} (t)} converges in M ^{2} to f if { f _{n} (t)} converges to f in M
Using Deﬁnitions 6.1 and 6.3, we deﬁne the Ito Integral on the class of stochastic process M ^{2} as follows:
2 for all T .
T
Deﬁnition 6.4. (Ito Integral) For any T > 0 and any stochastic process f ∈ M ^{2} , the stochastic integral of f on [0, T ] is deﬁned by
n−1
∑
I _{T} ( f ) = lim j=0 f(t _{j} ) ^{} W(t _{j}_{+}_{1} )−W(t _{j} ) ^{} ,
n→∞
where (0 = t _{0} < t _{1} < ··· < t _{n}_{−}_{1} < t _{n} = T ) is any partition of [0, T ] with max _{j} t _{j} − t _{j}_{−}_{1}  → 0 as n → ∞. We write I _{T} ( f ) as
I _{T} (f) =
0
T
f
(t) dW _{t} ,
or
0
T
f
dW .
110
6 Ito’s Stochastic Calculus
The following theorem justiﬁes the above deﬁnition of Ito integral.
Theorem 6.1. (Existence and Uniqueness of Ito Integral) Suppose that a function f ∈ M ^{2} satisﬁes the following assumptions: For all t ≥ 0,
A1)f (t) is almost surely continuous, i.e., P(lim _{ε}_{→}_{0} f(t +ε)− f(t) = 0) = 1, A2)f (t) is adapted to the ﬁltration {F _{t} }, where F _{t} = σ({W _{s} ,s ≤ t}).
Then, for any T > 0, the Ito integral
I _{T} (f) = 0
T
f (t) dW _{t}
exists and is unique almost everywhere.
Proof. The proof proceeds in three steps:
1) Construct a sequence of adapted stochastic processes f _{n} such that f − f _{n} _{M} _{2} →
0.
Show that I _{T} (f _{n} )−I _{T} (f) _{L} _{2} → 0.
2)
3) Show the a.s. uniqueness of the limit I _{T} (f).
To begin,
1) First we ﬁnd a sequence of M
T
2 functions f _{1} , f _{2} ,
E( ^{}
T f _{n} (t)− f(t) ^{2} dt) → 0. Deﬁne
0
such that f − f _{n} _{M}
2
T
=
f _{n} (t) = ^{n}
0
k
n
k−1
n
f (s) ds if t ∈ [
k _{,} k+1
n
n
otherwise.
) for k = 1, 2,
,
[T n] − 1,
(6.5)
Then by construction f _{n} (t) is adapted to F _{t} and is a step function for each ω. (Function of this kind is called random step function. Since it is random, to be precise, it should be denoted by f _{n} (t) = f _{n} (t, ω)). Note that
k
n
k+1
n
f _{n} (t) ^{2} dt = n
k
n
k−1
n
f
(t)dt
2
k
n
k−1
n
≤
f(t) ^{2} dt , a.s.
(6.6)
by Cauchy Schwartz (CS) inequality. The above inequality holds almost surely as CS is applied for each ω in f (t, ω).
Next we show f − f _{n} _{M}
T f _{n} (t)− f(t) ^{2} dt) → 0. By the a.s. continuity
of f (t), it can be shown that
2 = E( ^{}
T
0
n→∞
0
lim
T
f _{n} (t)− f(t) ^{2} dt = 0
a.s.
(6.7)
Let Y _{n} = ^{} also that
T f _{n} (t) − f(t) ^{2} dt. Note that (6.7) means that lim _{n}_{→}_{∞} Y _{n} ^{a}^{.}^{s}^{.} = 0. Note
0
6.2
Ito Stochastic Integral
111
Y _{n} ≤ 2
0
T
T
^{} f(t) ^{2} +f _{n} (t) ^{2} ^{} dt ≤ 4 0 f(t) ^{2} dt Y ,
¯
a.s.
where the second inequality follows from summing over all k in (6.6). Since Y _{n} →
0, Y _{n}  ≤ Y a.s. and E Y < ∞ by the deﬁnition of M Convergence Theorem (DCT) to obtain E(Y _{n} ) → 0, i.e.,
T
¯
¯
2
, we can apply Dominant
f − f _{n} _{M}
2
T
= E
0
T
f _{n} (t)− f(t) ^{2} dt → 0 .
(6.8)
2) To show the existence of Ito Integral, we need to show that I _{T} (f _{n} ) = ^{}
0
T f _{n} (t) dW _{t}
converges to an element in L ^{2} . Since f _{n} (t) is a step function taking constant
values in each interval [
k _{,} k+1
n
n
), we can write
I _{T} (f _{n} ) =
k≥1 f n
∑
k
n
W k+1 −W _{k} .
n
n
Note that
=
=
I _{T} (f _{n} )
2
L ^{2}
E
k≥1 f n
∑
k
n
W k+1 −W _{k}
n
n
^{} ^{2}
E
k≥1 j≥1 f n
∑ ∑
k
n
f n
j
_{n}
W k+1 −W _{k} W j+1 −W
n
n
n
n
j
k≥1 ^{E} ^{f} ^{n}
∑
∑
E 0
T
k
n
k
n
2 E W k+1 −W _{k} ^{2}
n
n
2 ^{}
1
_{n}
(Independent increment and f _{n}
2
) = t)
=
= k≥1 ^{E} ^{f} ^{n}
=
(Stationary increment and E(W
t
f _{n} (t) ^{2} dt
(Riemann integral)
=
f _{n}
2
M
2
T
.
k
n
∈ F _{k} )
n
(6.9)
Similarly, it can be shown that
2
I _{T} (f _{n} )−I _{T} (f _{m} ) _{L} _{2} = f _{n} − f _{m}
2
M
2
T
From (6.8), for any ε > 0, there is an N such that f − f _{n} Thus for n, m > N,
.
2
M
2
T
(6.10)
< ^{ε} _{2} for all n > N.
112
6 Ito’s Stochastic Calculus
2
I _{T} (f _{n} )−I _{T} (f _{m} ) _{L} _{2} = f _{n} − f _{m}
2
M
2
T
≤
f _{n} − f
2
M
2
T
^{<} ε 2 ^{+} ε _{2} = ε .
+ f _{m} − f
2
M
2
T
(Triangular Inequality)
The sequence {I _{T} (f _{n} )} _{n}_{≥}_{1} with the property I _{T} (f _{n} )−I _{T} (f _{m} ) _{L} _{2} → 0 for n, m → ∞ is called a (Cauchy sequence). It is well known in mathematical analysis that any Cauchy sequence in L ^{2} has a limit. Call the limit I _{T} (f). 3) Finally, we show the uniqueness of the limit. Suppose that there are two se
f(t)−
(j) ), j = 1, 2, converge to
2
quences of stochastic processes { f
i
(j)
f
n
 ^{2} dt) ^{n}^{→}^{∞}
(1)
(2)
} _{i}_{≥}_{1} and { f
i
T
} _{i}_{≥}_{1} satisfying E( ^{}
0
−→ 0 for j = 1, 2. We need to show that I _{T} (f
n
the same limit. Introduce a new sequence
(1)
{g _{i} } _{i}_{≥}_{1} = {f
1
(2)
, f
1
(1)
, f
2
(2)
, f
2
(1)
, f
3
^{,}
}.
−→ 0. Therefore, the ar
gument in 2) shows that I _{T} (g _{n} ) converges to some limit. Note that if a sequence
converges, then every subsequence converges to the same limit (Exercise 6.2).
Thus I _{T} (f
of uniqueness. Note that the above uniqueness is proved in L ^{2} sense, i.e., I _{T} (f ^{(}^{1}^{)} )−I _{T} (f ^{(}^{2}^{)} ) 0, since
By construction, {g _{i} } _{i}_{≥}_{0} satisﬁes E( ^{}
T f(t)−g _{n}  ^{2} dt)
0
^{n}^{→}^{∞}
(1)
n
(2)
) and I _{T} (f
n
) do converge to the same limit, completing the proof
2 L 2 ^{=}
I _{T} (f ^{(}^{1}^{)} )−I _{T} (f ^{(}^{2}^{)} ) _{L} _{2} ≤
2
I _{T} (f ^{(}^{1}^{)} )−I _{T} (g _{n} ) _{L} _{2} + I _{T} (g _{n} )−I _{T} (f ^{(}^{2}^{)} )
2
2
L ^{2}
for all n and the quantity on the right is arbitrarily small. However, I _{T} (f ^{(}^{1}^{)} )− I _{T} (f ^{(}^{2}^{)} ) _{L} _{2} = 0 implies that I _{T} (f ^{(}^{1}^{)} ) = I _{T} (f ^{(}^{2}^{)} ) almost surely (See Exercise 6.13). Thus the deﬁnition of Ito’s integral is unique a.s
2
Example 6.1. To show the existence of ^{}
0
T W _{t} dW _{t} , from Theorem 6.1 we need to
show that the Wiener process W _{t} belongs to M ^{2} . Since for all T
E
0
T
W _{t}  ^{2} dt =
0
T
E(W _{t}  ^{2} )dt =
0
T
t dt < ∞.
Thus W _{t} belongs to M ^{2} . Also, we have seen from Chapter 5 that W _{t} satisﬁes As sumptions A1 and A2 of Theorem 6.1. Hence the existence of the Ito integral
T
0
W _{t} dW _{t} is justiﬁed.
Example 6.2. We derive the formula ^{}
− ^{1} _{2} T directly from deﬁni
tion, i.e., by approximating the integrand by random step functions. Fix T > 0 and
t
0
W _{t} dW _{t} = ^{1} _{2} W
2
T
T
n _{=} iT
i
n
, set
6.3
Properties of the Stochastic Integral
113
f _{n} (t) =
n−1
∑
i=0
W t
n
i
^{1}
[t
n
i
,t
_{i}_{+}_{1} _{)} (t).
n
Then the sequence f _{1} , f _{2} ,··· ∈ M
T
2 approximates f , since
E
0
∞
f(t)− f _{n} (t) ^{2} dt =
=
=
=
n−1
∑
i=0
n−1
∑
i=0
^{1}
_{n}
n
t
E W _{t} −W _{t}
n
i+1
(t −t
n
i
) dt
n
i+1 ^{−}^{t} i
n
2
n
i
as n → ∞.
t
i
t
n−1
n
i
∑
t
n
i+1
 ^{2} dt
i=0 t
2
^{1} T ^{2}
2 → 0
From Theorem 6.1, lim _{n}_{→}_{∞} I _{T} (f _{n} ) exists in L ^{2} sense. To ﬁnd an explicit formula of the limit, note from the equation a(b − a) = ^{1} _{2} (b ^{2} −a ^{2} )− ^{1} _{2} (b−a) ^{2} that
I _{T} (f _{n} ) =
n−1
∑
i=0
W t
n
i
W t
n
i+1 ^{−}^{W} ^{t} i
n
= _{1} 2 ^{} n−1
∑
i=0
W
2
t
n
i+1 ^{−}^{W} i
2
t
n
−
n−1
∑
i=0
(W _{t}
=
1
2 ^{W}
2
T
− ^{1}
2
n−1
∑
i=0
(W _{t}
n
i+1 ^{−}^{W} ^{t} i
n
) ^{2} →
n
i+1 ^{−}^{W} ^{t} i
n
1
2 ^{W} T −
2
)
^{2}
1
2 ^{T}
in L ^{2} as n → ∞. The last convergence follows from the fact that the quadratic variation of Wiener process is T . Therefore, we conclude that
0
T
W _{t} dW _{t} = I _{T} (f) =
1
2 ^{W}
2
T
− ^{1}
_{2} T .
6.3 Properties of the Stochastic Integral
The basic properties of the Ito integral are summarized in the following theorem:
Theorem 6.2. The following properties hold for any f , g ∈ M ^{2} , any α, β ∈ R and any 0 s < T :
a) Linearity:
114
6 Ito’s Stochastic Calculus
0
T
(α f (t) + β g(t)) dW (t) = α
0
T
T
f (t) dW (t) + β 0 g(t) dW (t); (6.11)
b) Isometry:
E
0
T
f (t) dW (t) _{} 2 = E
0
T
f(t) ^{2} dt ;
c) Martingale Property:
E
0
T
f (t) dW (t) _{} F _{s} = 0 f (t) dW (t).
s
In particular, E ^{}
T
0
f (t) dW (t) = 0.
(6.12)
Proof. a) If f and g belong to M ^{2} , then from the proof of Theorem 6.1, they can be approximated by some sequences f _{1} , f _{2} , ··· and g _{1} ,g _{2} , ··· . From Deﬁnition 6.4, it is clear that, for each n,
I(α f _{n} +βg _{n} ) =
n−1
∑
j=0
(α f(t
n
j
)+βg(t
n
j
)) W _{t} n _{j}_{+}_{1} −W _{t}
n
j
= αI(f _{n} )+βI(g _{n} ),
where {t
n
j
} j=0,1,
is the “common” grid where both f _{n} and g _{n} are constant in
). Taking limit on both sides of this equality as n → ∞, we
,n
n 

j 

each interval (t ^{n} _{j}_{−}_{1} ,t obtain which is (6.11). 
I(α f +βg) = αI(f)+βI(g),
b) The word isometry means an equality under different metrics. Note that (6.12) can be written as I _{T} (f) _{L} _{2} = f _{M} . Hence, the Ito integral connects the two
2
T
metrics L ^{2} and M
T
2 . The proof of (6.12) follows by constructing the f _{n} in (6.5)
2 → 0. Combining with (6.9) in
such that I _{T} (f _{n} ) −I _{T} (f) _{L} _{2} → 0, f _{n} − f _{M}
the proof of Theorem 6.1, the result follows.
T
c) Following the proof of Theorem 6.1, we can ﬁnd a random step function f _{n} approximating f such that I _{T} (f _{n} )−I _{T} (f) _{L} _{2} → 0. W.L.O.G., we can assume s = t _{k} for some k. (adding an extra point still gives a step function). Thus
6.4
Ito’s Lemma
115
E(I _{T} (f _{n} )F _{s} )
= E j=1 f(t _{j}_{−}_{1} )(W _{t} _{j} −W _{t} _{j}_{−}_{1} )
n
∑
^{F} ^{s}
= j=1 f(t _{j}_{−}_{1} )(W _{t} _{j} −W _{t} _{j}_{−}_{1} )+E j=k+1 f(t _{j}_{−}_{1} )(W _{t} _{j} −W _{t} _{j}_{−}_{1} )F _{s}
k
∑
n
∑
k
∑
= j=1 f(t _{j}_{−}_{1} )(W _{t} _{j} −W _{t} _{j}_{−}_{1} )
=
I _{s} (f _{n} ) .
(by independent increment and t _{k} = s)
(6.13)
The same argument in the proof of Theorem 6.1 yields I _{s} (f _{n} )−I _{s} (f) _{L} _{2} → 0. On the other hand, we have E(I _{T} (f _{n} )F _{s} )−E(I _{T} (f)F _{s} ) _{L} _{2} → 0, since
E ^{} (E(I _{T} (f _{n} )F _{s} )−E(I _{T} (f)F _{s} )) ^{2} ^{}
= E ^{} (E(I _{T} (f _{n} )−I _{T} (f)F _{s} )) ^{2} ^{}
≤ E ^{} E((I _{T} (f _{n} )−I _{T} ( f )) ^{2} F _{s} ) ^{}
= E((I _{T} (f _{n} )−I _{T} ( f )) ^{2} )
→ 0.
(Jensen’s Inequality)
(Tower Property)
By taking limit on both sides of Equation (6.13), we have
E(I _{T} (f)F _{s} ) = I _{s} ( f ) ,
completing the proof.
6.4 Ito’s Lemma
(6.14)
In this section we prove the Ito’s Lemma which is the foundation of mathematical ﬁnance and stochastic calculus.
6.4.1 The case F(t,W _{t} )
Theorem 6.3. (Ito’s Lemma) Suppose that F(t, x) is a real valued function with continuous partial derivatives F _{t} (t,x), F _{x} (t, x) and F _{x}_{x} (t, x) for all t 0 and x ∈ R. Assume also that the process F _{x} (t,W _{t} ) belongs to M ^{2} . Then F(t,W _{t} ) satisﬁes
=
F(T,W _{T} )−F(0,W _{0} )
0
T
F _{t} (t,W _{t} )+ ^{1} _{2} F _{x}_{x} (t,W _{t} ) dt + 0
T
F _{x} (t,W _{t} ) dW _{t} ,
a.s.
(6.15)
116
6 Ito’s Stochastic Calculus
In differential notation, (6.15) can be written as
dF(t,W _{t} ) = F _{t} (t,W _{t} )+ _{2} F _{x}_{x} (t,W _{t} ) dt + F _{x} (t,W _{t} ) dW _{t} .
1
Remark 6.4
a) Compare (6.16) with the usual chain rule
(6.16)
dF(t,x _{t} ) = F _{t} (t,x _{t} )dt + F _{x} (t,x _{t} )dx _{t}
for a differentiable function x _{t} . The additional term called the Ito correction.
_{2} 1 F _{x}_{x} (t,W _{t} ) dt in (6.16) is
b) Equation (6.16) is often written in the abbreviated form
dF = F _{t} + _{2} F _{x}_{x} dt + F _{x} dW _{t} .
1
(6.17)
Strictly speaking, the differential notation (6.16) does not make sense due to the nondifferentiability of Brownian motion (dW _{t} is undeﬁned).
Proof. We ﬁrst prove the case where F _{t} , F _{x} , F _{x}_{x} are all bounded by some C > 0.
Consider a partition 0 = t
by W
n
0
n
< t ^{n} < ··· < t
by ∆
n
n
n
i
= T of [0, T ], where t
W ; and t
n
i+1 ^{−}^{t} i
n
n
by ∆
n
i
n _{=} iT
i
1
n
.
Denote W _{t}
n
i
i
; the increments W
n
i
,t _{i}_{+}_{1} ] such that
n
n
i+1 ^{−}^{W} i
n
t. Using Taylor’s
in each
expansion, there is a point W
interval [t
n
i
in each interval [W
i
,W _{i}_{+}_{1} ] and a point t
n
n
i
F(T,W _{T} )−F(0,W _{0} )
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