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AMERICAN MATHEMATICAL SOCIETY

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ON STOCHASTIC

DlFFliRL.NT.lAL

LUA'UONS

KFYOSl 1TO

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OSMANIA UNIVERSITY LIBRARY

Call No.

A KS ~~

Accession No,

Title

>*

sf cc k a s k r

AT Jf^ev

v\

W A!
last

^QJC^ UuaJi'

This book should be returned on or before the date

marked below

ON STOCHASTIC DIFFERENTIAL EQUATIONS

By
KIYOSI ITO

Let

Xj.

be a simple Markoff process with a continuous parameter t, and F(t,"$;s,E)

be the transition probability law of the process:

(D

F(t,|

,-s,E)

Prfx^E/X.- 3},
xa E under the condition:
x^.

where the right side means the probability of

Hie differential of x. at t * s is given by the transition probability law of x^

in an infinitesimal neighborhood of t
(2)

s:

FCs-A^jjs^E).
F(s-A 2 ,
=

W. Feller^) has discussed the case in which it has the following form:
(3)
+

JJS+A^E)
,E) +

(1-p(s,I)

(/yA2 )G(s-A2 ,j js+A^E)

(yA2 )p(s,j)P(s,3

o(/yA2 ),
E and

where

G(s-Ag,5 ;s+A,j,E)

is a probability distribution as a function of

satisfies

(5)

T-^T;
1**2

(^-j)

h-jl<f
(6)

"^2 J,
>
and p(s, J
)

(l-J)G(s-A2 ,J js^^dn)
>

>b(t,J),
The

for A *A

and P(s, J ,E) is a probability distribution in E.

has already been treated by A, Kolmogoroff
'

special case of M p(s, J S. Bernstein. 3/

O 11

and

We shall introduce a somewhat general definition of the differential of the

process
x.

(Cf. 85).

Let P

8,5 ,^,^2

denote the conditional probability law:

Mx^-V^*
If the

E^-

}, A

V A2

> 0.
tends to a probability law L
is called the

[1/^*A

]- times^) convolution of P fl

with regard to Levy's law-distance as A +A d

I

> 0, then L
S,J

stochastic differential coefficient at s.

law.

is clearly an infinitely divisible

In the above Feller's case the logarithmic characteristic function 5)

Received by the editors March 29,

KIYOSI I TO

V (*,L
(7)

of

S>$ >$

L^ f
)

is given by
=

(z,L 8

>j

ib(s,j

)z -

a(s,j )z^p(s,

f 7 ^

03

iu2
(e

-1)P(s, J ,du(+) J

).

6)

-00

A problem of stochastic differential equations is to construct a Markoff process

whose stochastic differential coefficient L.

**9$

is given as a function of (t, | ).

(4),

W. Feller has deduced the following integro-differential equation from (3),

(5) and (6):

F(t,J ;s,E)

-P(t,j )F(t,J ;s,E)

p(t,$ )f F(t, J-oo

^7

;s,E)P(t,J ,dT)

= 0.

He has proved the

existence and uniqueness of the solution of this equation under some conditions and has
shown that the solution becomes a transition probability law, and satisfies (3), (4), (5)
(6).

He has termed the case: p(t,j) =

)

as continuous case and the case: a(t,J

and b(t,J

as purely discontinuous case.

It is true that we can construct a simple Markoff process from the transition

R probability law by introducing a probability distribution into the functional space R

by Kolmogoroff

theorem,

7 ) but it is impossible to discuss the regularity of the ob-

tained process, for example measurability, continuity, discontinuity of the first kind
8 etc,, as was pointed out by J. L, Doob. )

To discuss the measurability of the process

for example, J, L. Doob has introduced a probability distribution on a subspace of R R

and E, Slutsky has introduced a new concept

tf

measurable kernel
11

1 '

,9)

We shall in-

vestigate the sense of the term

lf

continuous case

and

fl

purely discontinuous case 11

A recent

used by W, Feller from the rigorous view-point of J. L. Doob and E. Slutsky.

research of J, L, Doob^O) concerning a simple Markoff process taking values in an enumerable set has been achieved from this view-point, A research of R. FortetH) con-

cerning the above continuous case seems also to stand on the same idea but the author
is not yet informed of the details
.

STOCHASTIC PROCESSES (I) 11 12 ) the author has deduced Levy's form of differential processes with no fixed discontinuities by making use canonical
In his paper

"ON

of the rigorous scheme of J. L, Doob, Using the results of the above paper, we shall here construct the solution of the above stochastic differential equation in such a way that we may be able to discuss the regularity of the solution.

For this purpose we

transform the stochastic differential equation into a stochastic integral .equation.

The first and most simple form of stochastic integral is Wiener's integral 1 3) which
is an integral of a function

^(t)
<*

Lg

based on a brownian motion g(t):

The author has ex-

J<T(t)dg(t),

In this integral

(t) is not a random function.

ON STOCHASTIC DIFFERENHAL EQUATIONS

extended this notion and defined an integral in case <T (t) is a random function satisA brownian motion is a temporally homogeneous and differential (i.e. spatially homogeneous) process with no moving discontinuity.
1 sying some conditions. ^'

The

process x(t) *

&

(t)dg(t) obtained by Wiener's integral is not temporally homoIn order to obtain a simple Markoff process

geneous but spatially homogeneous.

which

is in general neither temporally nor spatially homogeneous

we shall have to solve

a stochastic integral equation:

x(t)

/-* -rV(T,x(T))dg(r)

f:
or more generally
t
- c +
.

x(t)

f
fi

m(r,x(r))dr +

cr(r, x ( r))d g (f).

^ft

The author has published a note

'5) O n

this stochastic integral equation, which concerns

the continuous case above mentioned.

In order to discuss the general case we shall have to consider a stochastic integral

equation where the integral is based not on a brownian motion but on a more general

temporally homogeneous differential process, which will be called a fundamental

differential process (Cf,
6) in this paper.

Chapter I is devoted to the explanation of the fundamental concepts.

Some of them
In

are well-known but we shall explain them in a rigorous form for the later use.

Chapter II we shall introduce a stochastic integral of a general type.

The results of The aim of

the author's previous paper 1 ") will be contained here in an improved form.

this paper will be attained

in Chapter III, where we shall investigate a stochastic

differential equation and a stochastic integral equation.

The author expresses his hearty thanks to Professor S. lyanaga, Professor K. Yosida,

Professor S, Kakutani and Mr, H. Anzai who have encouraged him with their kind discussions and to Professor J. L. Doob who has given him valuable suggestions to improve
the manuscript and friendly aid to publish it.
I.

Fundamental concepts.

s1.

Function of random variables.

X.

Let

be any set and

additive class of subsets of

Borel field (X,B
),

When we consider
B

B^ together with

be a completely

BX

we call it a

It is evident that
'

may be arbitrarily taken, but in case X is

the real number space R

as B

then we usually take the system B of all Borel subsets of and in case X is RA , B.. is usually the least completely additive class that
,

KIYOSI ITO
,

contains all Borel cyclinder subsets of R

are associated respectively with

which we denote by B

If

B^

and

By-

and with Y, then we usually associate with the

product space the least completely additive class t hat contains all the sets of the The this class will be denoted by B <J) B . form: E tf> Y, ' X Y X X Y Y

X#E,EB,EB; W
(Y,By)

XX

product of many Borel fields can be similarly defined. be Borel fields. A mapping Let (X,B ) and

f(x) from

X into Y is called

to be B-measurable if

f""1(E

Y )*

for any

If f(x) is a B-raeasurable mapping

)

from (X,By) into (Y,EL.) and if g(x) is a B-measurable mapping from (Y,B
then g(f(x)) will be a B-measurable mapping from (X,B
)

into (Z,B

),

into (Z,B ). Z

is a completely Let (fl,*A ,P) be a probability field, where -O is a set, B^i additive class of subsets of -O , and P is a probability distribution (p.d.) on

(/2,B.o),

An (X,B )-valued function x(u^) defined on -fl is called an (X, BO -valued A

B^, for any

random variable, if it is B-measurable i.e, yC^(&^)

P (E

E^

B^.

If we put

X)

1 P(x" (EL)) for E

B
.)

is a p.d. on a Borel field

(X,^)

which is called
P
.

the probability law (P,j

of x; we also say that

is governed by

Let
from (X,B

x(u/) be an (X,B^) -valued random variable and f(.) be a B-measurable mapping into (Y,B ). Put y(-O Then y(u/) will be a (Y,B )-valued ) f(x(u^)).
JL

JU

random variable,
Theorem 1.

y(^)
Let

is called a B-measurable function of

x(^).

y (u/), n1,2,..., be real-valued B-measurable functions of an

If

(X, By) -valued random variable.

yn (^) be convergent in probability, then the limit

x(**>)

variable y(<*) is also coincident with a B-measurable function of

0.

up to P-measure

Proof.

By taking a subsequence if necessary, we may assume that y (*>) be conPut

vergent with P-measure 1.

P

yn (**>)
- f

* f (x(u/))

n
I

Then

x (n
p

UA
q
m,n>q

[J;lM?)
ra

n (J)

m,n>q

- f (x(u,))| < 1/p}} . 1. n

Put f(J

lim f (j n

in the above J -set and

),

elsewhere.

Then

f(3
B^.

is a

B-measurable function of J 6 (X,B

clearly, with probability 1,

since the above

J -set belongs to

We have

f(x(~))

1#>

f (x(~)) n

lmyn ('')

y(-),

which completes the proof.

ON STOCHASTIC DIFFERENTIAL EQUATIONS

82*

Conditional probability law.

)

Let

x(^/) and y(*^

be random variables taking

/

values in (X,a.) and (Y,B

respectively.

A function

P (E

of E

and

J*

will be called the (conditional) probability law of y(^) under the condition that x("

J and will be denoted by P (E /x("

(2.1)
(2.2)

J
)

or Pr{y

'x = J J, if and only if

P (E /J

is a p.d. on (Y,B

for any

P (E /J

is a B-measurable function of J< (X,B) for any F

Ey, and

(2-3)

f E

P (E:/J )P (dJ x

Pr{x

The existence and uniqueness (up to P-raeasure 0) of P (EL/J

was proved by J. L.

in the case that (Y,B

n n is the n-dimensional space (R ,B ).

)

P (E_/x(uu)) i.e. the function of <" obtained by replacing J with x(*0 in P (E/3 will be called the conditional
p.jf.of y(*^) under

the condition that x(*^) is determined

and it will be also denoted by Pr{y

E/x( <*>)}:

this is clearly a real -valued random

variable for any assigned E

(2.4)

By (2.3) we have
Pr{ytfE
}

6? (EyM *'))
1

(f

expectation.}.

If the

p.jf, of the combined randond variable (x(*/ ),y(w)) > which clearly takes

values in (X*Y,P
P_: P x y

$B
X

),

is coincident with the direct product measure of P

and

on

(X#Y,B

8 J XT
B

then x(or

and

y(^) are called

to be independent.

The in-

dependence of many random variables can be similarly defined.

Clearly we have

Theorem 2.1.
P
-

x(u>) and

y(^)

be independent.
for almost all (P ) X

Then

y (E^/x(u/)
i.e.

- P

y (E^)

P (Ei/x(<-0) y

y (E^)

for almost all (P)

Theorem 2.2.
from

x(w/) and y(u>) be independent.

into (R 1 ,B1).
.

G(^ ^i) be a B-raeasurable mapping

f

(X^Y^^By)
P (E/x(u/) B

Put

z((*>

G(x(<~ ),y( ux)).

Then we have

.5)

Pr{G(5,y(u.)) 6 E}
.

for almost all (P ) x

Proof.

Since x(u/) and y( u/) are independent, we can make use of Fubini's theorem.

mosi
(P

ITO

P)(f(j ,l);f(5,1)

P (d3) x

J
G( 5
9

which completes the proof*

ITieorem 2.3.

^( cu ) and

y(^)

be independent.

^l) be any real -valued B-measur-

able function in (j

with P-measure
Proof.

If G(x(^ ),y(*>)) * , l). for almost all (P ) J . x

with P-flieasure 1, then G( J

,y(>))0

By Theorem 2.2 we have

= 0} =
1

I Pr{G(5 ,y(*/ 'x

))

0}P (di

Pr{G(x(*/ ),y(^))=0}=1

and so

Pr{G(J ,y(/))
3.

for almost all

(P^)
x(

Transition probability law.

The system x(r,<*>), &

t,*') be a real random variable for any

i3

~
,

a <

^<

b.

i^<

^>

called a stochastic process, which is also

The

considered as an (R*,B*)~valued random variable, I being the interval [a,b]^).

p.l, of x(s,u>) under the condition that
(3.1)

(x(^,^),
t}

a <

^<

19 ) is determined: t)

Pr{x(s,u^)E/x(r > u/) >

a<TX

(t < s)

is called the transition probability law of this process.

If this is equal to

(3.2)

Pr{x(s,~)
<*>
,

E/x(t,~)}
the process is called a simple Markoff process.
In such a process

for almost all (P) we put

(3.3)

F(t,5;s,E)

Pr{x(s,^)

E/x(t,~)
,

5).
3
,

Then we can easily prove, for almost all (P

r
(3.4)

F(t,5;s,E)
'-co

F(t,J ;u,d^)F(u,^;s,E),

(t < u < s),

which is well-known as Chapman's equation.

If x(o y
,<*> )

- x(t v ,*>),

1,2,..,,n, are independent random variables for any

syatein of non-overlapping intervals (t v ,s v ),*

1,2,..,,n, then we call x(2",*

),

?"<J

b, a differential process.

This is evidently a simple Markoff process whose

transition p.l. is given by

(3.5)

F(t,I|s,B)

F
t|8

(E(-)J),
5

where

F
t,

is the p.l, of x(s,u/)-x(t, ") and E(-) J is the set {* - 5

^*E};
tc/)

(3.5) will

be obtained at once if we substitute

(x(^,^),

a <

T<

t),

x(s,^)-x(t,

and x(s,**>) re-

spectively for x(*/), y(

<-/)

and z(*^) in Theorem 2.2.

ON STOCHASTIC DIFFERENTIAL EQUATIONS

84.

THREE ELEMENTS OF AN INFINITELY DIVISIBLE LAW OF PROBABILITY.

the logarithmic characteristic function (l.c.f.) of an infinitely divisible law of

probability (i.d.l.) can be expressed in the form:

/,^\. imz (4.1)

- -r

%
'

/J.IVUVB..N

viu

/AAV*y-.-/\\

du

' ~7~* J

in one and only one way, where

is real, (f

0, and f (u) is monotone non-decreasing

and right-continuous and

M<1

f(u)

M
'

this formula is deduced at once from Levy's formula,

the three elements of this i.d.l.
.

These m,

&

f(u) will be called

The i.d.l, whose l.c.f. is

(4.2)

W.()
f(u)

2
-

r
*

iuz
(e

r
(

iuz

iz -

-D%-*( u J

-1-iiu)

-%u

i.e.

m0'1,

u,

will be called the fundamental i.d.l. in this note.

Theorem 4.1.
Let m(L),O'(L) and f(u,L) be the three elements of an i.d.l, L.

Then m(L),(T(L) and f(u,L)(for any fixed u) are all B-measurable in L=(L(E) ;E*
Remark.

By the expression

"

m(L) is B-measurable in

L-^E^ECB

(R fi1 ,B

Bl
)

we

mean that there exists at least one B-measurable function M(L) defined on the whole space

(R^jB^

such that we have M(L) = m(L) for any L * (L(E),

EB

T
)

that is an i.d.l, as a

function of E.
Proof*

Let

4>(z,L) be the

characteristic function of any i.d.l. L.

For any z,

1 <Kz,L) is B-measurable in LCfRB^fiB ), because, if we define

(L)

by

n2

^ (L)

lim

> ^oo

~k=-n 2

exp(ikz/n)L((k-1/n,k/n)) (if this limit exists)

(if otherwise),

then

J
fi1

(L) (for each z) is B-measurable function defined on the whole space

(R

Bl

,B

and

(L) * 4>(z,L) for

any i.d.l. L.

KIYOSI ITO

Let Y"(z,L) be the logarithmic characteristic function of any i.d.l.

Since

Y (z,L)

is the branch of log 4(z,L) which is obtained from log ^(0,L)-1 by the analytic

prolongation along the curve:

4>(A,L), o <

A<

z (or o >

A > z)

and so it is expressible as

y
we see

(z,L) =

lira

n >

f*\ f'\
I

{>(

- z,L) - <K-~1 z,L) <K

dt
j-2

Jo
thatY(z,L)
\|/

is also B-measurable in L for any z.

By virtue of the Lev>

formula

(z,L) is written in the form

C
\

-iSL-) n (du,L),
-

*^

where the measure n is determined by the following procedure (Cf, A. Khintchine:

D-

duction nouvelle d'une fonnule de P. L'evy, Bull. d. 1'univ. d'etat a Moscou, Serie International, Sect. A, Vol. 1, Fasc. 1, 1937),

A(t,L)

y
1

(z,L)dz - 2f(t,L),

"'t-l

r
I

K( U ,L) *

lira

-1^2

i^ itu
A(t,L)dt,
it

^x

2f

^o-J

n((a,oo), L)

J a-o
ra+o
n((-co,a),L)
\

-1^
2
1

dG(v,L)

(a > 0),

J -oo

^g *"

dG(v,L)

(a < 0).

Therefore we can prove recursively the B-measur ability of the above functions of L.
we obtain, for each a > 0, a B-measurable functions
(R

Ihus

N (L) defined on the whole apace We may assume that N (L) is &

fi1

,B

such that N (L) - n((a,co),L) for any i.d.l. L. &

monotone-decreasing and left-continuous in a for each L, by taking the supremum of

ON STOCHASTIC DIFFERENTIAL EQUATIONS

N (L), r running over all rational numbers r < a, instead of N (L), if necessary*

Now we shall prove, for each u > 0, that f(u,L) is B-measurable in L, f(u,L) is
written in the following form by the definition,
f(u,L) * inf {a;n((a,oo),L) < 1} (u > 0).

Therefore, if we put

F (L) U

inf{a;Na (L) < 1},

F (L) (for each u > 0) is a function defined on the whole space U

R&

and F (L)f(u,L) for u

any i.d.l, L.

The B-measurability of F (L) is clear on account of the fact that

is equivalent to " N (L) < 1 n

"FU (L)

< a"

which follows from the definition of

Thus we see that f(u,L) (for each

F (L) and the monotone-property (in a) of N (L). u ft u > 0) is B-measurable in L.

in L,

Similarly we can show that f(u,L) (u < 0) is B-measurabl

(

It is clear that f(0,L)

0) is B-measurable in L.

Now we put
-

(exp(izf(u,L))-1)

J)
u

-I

(exp(izf(u))-1-i Z f(u,L)) -Stir

Then ((z,L) (for each z) is B-measurable In L, since Y'(z.L) and f(u,L) are B-meaaurable. But we have
m(L) =
and
(T

-^-(4

(1,L)

-i(2,L))

(L) - 2j(1 f L)

-4|(2,L),

from which follows the B-measurability of m(L) and CT (L).

Theorem 4.2.

Let

<*A,

be any system of i.d.l. depending on

.

oL

A and be totally

oCc

and f ^ (u) be the three elements of L

In order that

L*

cA,

bounded in the sense of Levy's law-distance,

it is necessary and sufficient that each

of |m^|,

fl

and

||fM n
r
|u|<n

n1,2,..., is bounded, where

nun?l\

10 Proof.

JCIYOSI ITO

L-

L*is decomposed L (D * #) . L (3)

as

* L (M
n

* t <5>

n,

where the l.c.f. of the factors are respectively

/^ 2

/>

u)Aj,
j
o<|u|<n

(e

P
J, 'i
|u|> n

if* (u)

K b

(C

~ 1) ^

^" u
{L^
;

Sufficiency.

If the condition is satisfied, {L^'J,

}

are clearly totally

bounded and {L^3/

inequality,

also totally bounded for any fixed n, since we have, by Schwarz'

(u)

,^,,

^.

^u

I* < 2

/ *

1<|u|<n

**<)* -%. u
||

has the exP ectation

and the standard deviation ||f^

and so{L^^

,V<

A}

is totally bounded.

Therefore

is totally bounded, and so we have

. 1. lim inf^L*^ n ((-c,c)) >oo

But

L^((-c,c)) > L* n ((-c,c))

Consequently we have

L^)

({o}) - L

*
n ((-c,c)) exp(-2/n).

lim > exp(-?/n) and so inf^ ^((-0,0)) >OO

lim
C

inf^ L^CC-Cjc))^^
00

>

which completes the proof,

Let Q(L,c) be Levy's concentration function Then that {L^} is totally bounded.
Necessity.

'

of the p.d.L.

Suppose

inf^

0(L^\

c)

as

co

But we have Q(L^ 2 )

,c) >

Q(L^

,c) by Levy's theorem

concerning the non-decreasing of

11

ON STOCHASTIC DIFFERENTIAL EQUATIONS

Therefore

concentration function.
(2)

inf^ Q(L^
and so o

,c)

>

as

>oo,
2)

will be bounded since

L^

is a Gaussian distribution with the mean

and

the standard deviation d^

l>

J <

is decomposed as

L'''
oc

L'*'
<*

n+

* L'*'
*c

n-

where the factors has the l.c.f.

oo

-n

f \

- 1)du/u (exp(if^ (u)z)

and

f \
'
-oo

/2 e (exp(if^ (u)z) - l)du/u

respectively.
(4.3)

By the above-cited Levy's theorem we see

inf oC Q(L^)
,c) >

inf^ Q(L^ ,c)

=

>

as c

> co

But c < f ^ (n) implies

(5 ^
L

Q(L^'

,c)

exp(-1/n), i.e.

(4.4)

Q(L

,c) > exp(-1/n) implies

c >

n
c

^(u).
f^ (n) for

By (4.3) there exists

A.

such that

Q(L^'

,c) > exp(-1/n) and so that c >

Thus we see that

f^

(n) is bounded for any assi#ied

n.

This is also the

^

case for
|u|

f^ (-n).

Consequently we see that

f^

(u) is bounded whenever

A and

< n, for any fixed n.

If

L v /^\,P1,2,..., be chosen from {L^ at \P)

(4)
c*

such that ||f

<K.

II

(p)

increases in-

definitely with p, L

is approximately a Gaussian distribution with the mean

and

(p)n
I

the standard deviation

If

<*(P
have

as p

> oo by the central limit theorem.

Thus we

Q(L
<*(p)n

||)
^(p) n

1//^ri exp(-t /2)dt <

-1

as p

>oo, which contradicts with the fact that

i
f<
1 1

n*

c)

^.

^^ot^^od

&9 P
n.

>

)*

proves to be bounded for any fixed

Therefore

* L 4
n
c

* L
n
<*n

is totally bounded.

Therefore

must be totally

12

KIYOSI ITO

bounded and so {m^} will be bounded,

85.

STOCHASTIC DIFFERENTIATION.
)

x(

f ,u/),
t - A

a <

T<

b,
,

be a stochastic process on
-

(A,B,P) and F(E,u*;A.,,A

be the conditional p.l. of xft+A,,

)-x(t-A g , ^)(A 1 ,Ag > 0)

If the

under the condition that x(r,u>), a <

convolution of F(E, UJ ;A ,A
A-j+Ag
)

T<

2,

be determined.

[1/A^A J-times

/-converges to a distribution L(E,u^) in probability as

>

0, i.e. for any c > 0, there exists

f(c) such that

<

A^A^

<

implies

Pr{/(H(E,u> ;A V A2 ), L(E,u>)) > c} < c,

J being Levy's law-distance, then we say that x(^,^)

call L(E,**>) the differential coefficient of x( ?
or briefly with D (t,
*>).
,

is differentiable at t and we

**>)

at t, and we denote it with D^x^,**)

)

This is considered as an (RB^B5

'

-valued random variable,

By taking a convenient sequence A 1+ A

>

A' 1 * A"

> ...

> 0, we see that L(E,^) is the

n
1,

/-limit of the
so we obtain

[l/A^+A^]

-times convolution of

P-measure F(E,c^;A^,A^ ))with

and

Theorem 5.1.

DX(t,

*>)

is an i.d.l. with P-measure 1.

From the definition we obtain, by making use of Theorem 1,

Theorem 5.2.
x(

DX(t,

**/)

is a B-measurable function of (x(r,<**), a

<T<

t).

If

r ,*t'),

a <

T<

b, is a simple Markoff process, then

DK(t,^), if it exists, is a Bt.

measurable function of x(t,^); the form of the function clearly depends on

x('T,u/) > a_<f< b,
is a differential process, then

If

DX(t,^), if it exists, does not de-

pend on

*~

but on t.

If x('T,'), a_<r< b, is a temporally homogeneous differential

process, then DX(t,^) exists and depends neither on

is equal to the l.c.f. of the p.l. of

^nor

on t; the l.c.f. of DX't,u/)

x(b,^) -

We can easily see that, if

F*n n

x(a,**>) divided by b-a. /-converges to a probability law, then F n /-con-

verges to the unit distribution, and so we have

Theorem 5.3.

If

x(T,">)

is differentiable at t, then it is continuous at t in

probability i.e.

t is not a fixed discontinuity of this process.

II.

Stochastic Integral.

The integral of the form:

13

ON STOCHASTIC DIFFERENTIAL EQUATIONS

where

<T(f)
23)

Lp

and

g(^,

u/

is a brownian motion, is well-known as Wiener's

integral.

The author has extended this integral to the case in which ** depends not
-"

* but also on only on

and called it a stochastic integral*

'

In this Chapter we

treat a more general stochastic integral for the later use*

6.

FUNDAMENTAL DIFFERENTIAL PROCESS.

Let

l(t,->), a < t < b, be a temporally

and l(t-0, **0 exist and l(t+0,~)

homogeneous differential process such that both

l(UO,w)

=l(t,c^), i.e. l(t,u>) is continuous in t except possibly for discontinuities of the first kind (hereafter we term this property with M belong to d. -class 11 ), Further we re-

quire that the p.l. of l(s,u>) - l(t,Mu) has the l.c.f. (s-t)T/^(z), where
l.c.f. of the fundamental i.d.l.
.

"V

(z) is the

Then l(t,w), a < t < b, is defined to be a funda-

mental differential process.

Such a process can be realized on a conveniently defined

probability field (ft.B/i.P), where the p.l. of l(a,^) can be arbitrarily assigned.

Any jump of l(t,t*/) is expressed by a point (t,u)

and u being its height:

[a,b]

ft

t being its position

l(t,^)

l(t-0, w).

The number p(E,*^) of the jumps in E, E

being a Borel subset of [a,b] 8 R', can be considered a real random variable, which proves
to be roverned by the Poisson distribution with the mean:

w(B)

C
JT

p(E,uy) is evidently a function of

the discontinuous part of

l(t,u>), a < t < b.

The system (p(E,*>)} is called

l(t,*/), a < t < b, l(t,^) can be expressed as

t ,t
(

l(t,w)

l(a,t~)

t *

g(t,w)

up(dtdu,t*/)

uq(drdu,u/)

for any t, a < t < b, for almost all (P)

where q(E,u/)

p(E,^)

tt(E) ,and

g(t,^)

is a brownian motion which is also a function of

!(?,*'), a

^^

t> and is called the

continuous part of 1 (*,*>).

For any disjoint system
a

E^Eg,...^,

p(E ,uy),p(E ,^),...,p(En ,u/) and (g( r,u/),

1

<^<

b) are independent.

All these properties can be immediately deduced from the results in the above2 cited paper. ^)

14

KITOSI ITO

87.

STOCHASTIC INTEGRAL BASED ON g.

We shall define here an integral of the

form:

(7.1)

k( ^,*4/ )dg(r,

/),

E being a Borel subset of (a,bj, in such a way that it

may be a natural extension of Wiener's integral.

First we shall consider the case in which E is an interval:
I.js(*,>5].

By 3(1^)

we denote the class of all functions

ing three conditions:
(3.1)

<T

r ^),
,

of <

T<

J9 9

&

*fl, satisfying the follow-

0"(t,u>) is measurable in (t,<*>),

2 )<T( 7 ,iAj) dT<

r*

(3.2)

oo for almost all u^

and

(3.3)

for any t,

< t < ft

the system

<r(

T *"),*< T<
,

t;

g(r,u/) - g(^,^),

*< t<

t) is independent of

(g(T,*>) - g(t,^), t
if 0"

<T^/).

As
for

is easily verified, 3(1.) is conditionally complete;

3(1^)

tends to <T

almost all (t,u/) and if |<T

<

0^^3(1

),

then (T

3(1^.
),

Theorem 7.1

We can determine, for

^*

S(I

(7.1')

J
-ic

0~(r,")dg(r,u,)

or
J ^

r,u/)dg(r,<v) or briefly

J(<r,u/)in ^

one and only one way so that it may satisfy (G.1) and (G.2).
(G.3), (G.4), (G.5) and (G.6).

Furthermore it satisfies

(G.1) When <T"(t,oi>) is a uniformly stepwise function, i.e., when there exist

"

*o

<

<

<

*k"^

i d

Pndent of

<+>

such that

<y(t,~) -cT(tx

,^),t

<t <t^,

we have

f
l

,)

>

y
(G.2)
If <r

y1
3(1
)

T(t^""' ,u,)(g(t v ., 1
tends to

,-')

- g(t yl *r ~

,/)).

(T^

for almost all (T,u^), and if

|<T n

<

(T Q

3(1^

and further if every B-measurable function ^*(t,u/) of

(<T^,

O^,...)

15

ON STOCHASTIC DIFFERENTIAL EQUATIONS

satisfies (S.3), then

(&* , <*0 converges to

^(^D

a/ )

probability.

(0.3)

c^+CgO^u/)
2,
c

- c
t

JTr <)

* c

(<^,

if

<T,,

<T

(0.4)

if the right side is finite.

(0.5)

If

<r
i

(f,')

<T

2 (f,u,)

for

rci^f/^,

/I
1

being a

P-roeasurable set, then

((To/) ((T^o/

*')

for almost all (P) *~

(G.6)

If

JJ

T 2 (r,u/)) d r < oo, then

<5(

/(<T,u,))

Proof of the existence.

(G.1).

In case

is a uniformly stepwise function we define by

It is evident that this definition satisfies (G.3), (0*4), (0.5) and (0.6),

The condition (3.3) will be used in the proof of (0.4) and (0.5) and (0.6),
In order to define
J

(<T,"/)

for(TS(I 1 ) such

that

(7.2)

we shall establish

Lemna 7.1.

For
(T

any^<
n

stepwise functions

S(I) satisfying (7.2) we can find a sequence of uniformly S(I) such that

(7.3)

J
'

may tend to 0.
The proof can be achieved by the method
J, L. Doob has used in his research of
(

measurable stochastic processes.

By defining
1

u/)

o for

may assume that

o'

^,u/)

L (R
2

xH),

and so, for almost all

T < ocor T >fi ^ ,<r-(T

tf

we

16

KIYOSI ITO

Now put

L(0
Then J (t) n

(k-1)/n
oo
,

for (k-1)/n < t < k/n,

ko,
t

1,1 2,,n1,2,...

>t
CO

as n

and so we have for all

and for almost all (P)

r
\

2 + s,u/) -O'(t+s,'*')) d8 (<T(| (t)

(n

>oo),

J^
since 0"(t+s,iv) belongs to L^R
)

as a function of

for almost all (P) u/

2
^

The left

side is always less than 4

C
I

P 2 o 2 <T (> " (s,*>) ds, since (a-b) < 2a

2b

and so

i Jo.

r A=

.1

r
J

.. a ..

Therefore there exists a sequence a* < a < ?

.*

for almost all s such that

,u/)|

dtP(du/)

dt

//::
-

Put

(T (t,^) n

.^(^

(t-s)^s,^),

n-1,2,--

Then {0" } is the required sequence. n

Thus the lemma is proved.

Since

(7"

n,

n=1,2,,

are all uniformly stepwise, we have already defined

-/

(fn ,u/)

and by (G.4)

17

ON STOCHASTIC DIFFERENTIAL EQUATIONS

as m,n

>

oo.

Thus we have f(*^) such that

U(( J (

<>)

- f( *-))

>0.

but it is deThis f(u>) does not depend on the special choice of the sequence { n }, r For this extended definition we We denote it by termined by ) (^,**0 only.

can easily verify the properties:

following.

(G.3), (G.4) and (G.$),

The proof of (G.6) is

.

Let

<T

be the sequence obtained above from

Then we have

<r

n ))

dt

>

o.

For any <^

S(I 1 ) we define
'

cr'

n by

where

J>

R(

* 1

for

n> and

for

> n.
It is sufficient to show

We shall prove that (T n (t,u/) satisfies (S.1) and (S.3).

that
t b

C* *
\

(^,o/)d r

is B-flieasurable in

(cr(r,w),

<T<

t).

Since

Ac

2
<r

'

~dr.

ij.

f n 4^

r(r

'

<r*(r *

for any oj

it is sufficient to show the B-measurability of

(<r(T,aO)<r (T,uO d r, n.1,2,--

by Theorem 1, which is evident since we have, by Lemma 7.1,

13

KIYOSI ITO

>
*x>

a(t-s)<V<Ua(t-s)
a. < a

U^TT^ P
<
. . .

^,^))d-

(^lll p

-1a
p

for some

and some sequence

Let_2

be the set of all

^
!/-

such that

(f
i

(T,o/)df

< n.

Then we have

Jl

andU J
,o/)

tj

'"n
n

N, P(N) *

by (S.2).

Furthermore

uyC/3.

si nce

||

(T

||

< oo, we have already defined

J((T n

a/).

We define

J(^,^)
If
(

as

J(^n ^
,

on

/l^/^,
||

an d

on N.

This extended definition satisfies (G.3), (G.4),

(G.5) and (G.6), as is easily

verified.
fore we have
tend to

We shall prove (G.2).

(( \ v
fT'

||

<T

Q \\

<
2
)

co

(V n ,u/

/ vX

^T

oo

,u/))

then

(T - (f

||

> 0.

There-

>

by (G.4) and so */ ](<rn >) will n9

,*

in probability.

In the general case we consider

(m)

r^

^n

^^)

2 Uj^^o ^'

By virtue of (S.2) we have

r,u,)dr <
for a sufficiently large m.

m}) >

f
(m)

Since

^
n

(m)

(m)
|

(m)
\

(t,*/)

>

(T'

(t,>),

co

G" n

< - (To

(m)

and

||

(f

||

< oo

we have, for a sufficiently large n,

(*>)

...
.

We obtain from the above two conditions

(<',')n

[((T ,*>)\ > e}) <

oo

19

ON STOCHASTIC DIFFERENTIAL EQUATIONS

Proof of the uniqueness.
Let
(<T,uy) and

Jl
We see by (G.1) that
I

J 2 (o^,^)
I

satisfy (G.1) and (G.2).

(0',o>)
1

(or ,uj) for

any uniiormly stepwise function

Tn*
a ~

2
\\CT\\

6 S(I ).
1

If <T6S(I
1

is bounded (|(T| < m), we have

ff"

< m(0 -<*).

\

quence {(T

obtained by Lemma 7.1 from

is uniformly bounded (\ff'

< m). ""

By taking a

subsequence we may assume that 0" n

stepwise, we have
) y1
(

> <T for almost all

?*,*').

^n
}

being uniformly
(0

<T

,u/) .

^2

J(cTn ,^), n

1,?,..., and so

((T,"}* J
2

by

^1

(C.2).

By (G.2) and (G.3) we have

Theorem 7.2.
Joint variable
(

Let
<T
CO
"

<T
444
)

6 3(1,.), n=1 ,2, ...

i

If every measurable function of the

>|
/"*
i

<T

satisfies (S.3) and if

CO
"

(Tj
(

e S(I ), then we have

/~
I

^
n"1

^^

'^

)dfif i

**

c/

")

T
1

""l^T^
1
*

v** *)di?v

^*

**^

in the sense of 'limit in probability

Let

be any Borel subset of (*,>&3.

For

S( I
1

we define as follows:

(S~ )c
E

r )dg( ru,)^
This definition is clearly

where

*)

is the characteristic function of the set E,

independent of the choice of (<*,/^3 containing E, and so it is an extension of (7.1')

Theorem 7.3.

Let<T

S(I).

Then we can define

(T

dg for

EC

I.

If {E

be a disjoint sequence of Borel subsets of I.

Then we have

o"
> E n n

dg -

> n

f&
J E

dg

"
1

in the sense of 'limit in probability

This is clear by the previous theorem.

98.

THE CONTINUOUS KERNEL OF THE INTEGRAL.

<X

Let <f

S(I), I

(*,/Sj.

Then

3(1.), I t *(^,tJ for any t,

< t < ft

and so we can define

20

KIYOSI ITD

1
which is uniquely (up to P-measure 0) determined for any assigned t,
Theorem 8.

We can determine, f or

o"

S(I), a stochastic process:

* *f <r(r,uy)dg(r,

,),*<

t <ft

in one and only one way (up to P-measure 0) so that the process may be continuous in t

with P-measure

and that

*j<X* <r(r,u/)d g (r,a/) J

with P-measure
1

f
Je

for any assigned

t.

For this integral we have

if the right side is finite.

Proof of the existence.

then it is so in
<*

If

(T(T

u^)

is uniformly stepwise

ina< T<

<

T<

t.

In this case we shall define

*] /ac
by (G
1

i.e. by (G.1), which is clearly continuous on account of the continuity of

g(f,u,/).

In order to show (G ,4) we need

1

Lemma 8.

Let

yv

(<*/

),x y (a/ ), y
2

1,2,...,m, be random variables satisfying the

following conditions:
(8.2)

C (x y
9

0, d, (x v

),

Ofy

< oo, v =1,2,...,m,

(
4

(^3)

(x.

(u^) f x

(u/),...,x (*^)) is independent of (y1

^),

Then we have
(8.4)
ra
.

^
I

P({u/;max^

>
^

y w (u/)x

v (u/)| > c})

21

ON STOCHASTIC DIFFERENTIAL EQUATIONS

In case y y (<^) * 1, v

*1 ,2,3,...,ra,

this lemma is nothing but the so-called

Kolmogoroff 's inequality, whose proof will be available for our lemma, if we give it a
slight modification.
Now, let (s

be a sequence dense in (C,/3j.

By the continuity of

*"

dg, we

*.

have
r*
\ J<*

sup

*
|

a-

dg|

sup

*
|

(**
\

<T

t*l
Since
[u>
;

yi

dg|.

Jot

max"

1
|

f 8"dg| > c}, m=1,2,...,is a monotone increasing sequence tending to

00
{c4/

pS*
|

sup

^ dg| > c}, we need only prove

s^

f
for the proof of (G',4).
be constant in ft Vy
t ,t..,...,t
,t "
|

dg| > c}

Let
)

o<

< t, <
,

..

< t
.

be chosen so that If we rearrange

^",^) may

for each uj

!,?,...

s,,8 c ,...,s m , 1
,

in the order of magnitude and denote it with

u ,u .,.,,,u
<

it is

sufiicient to prove
c

P(K;max

m* n
|*r

S
(T

dg| > c}) <

((

dg)

J^^

)dT

which we obtain

at once by putting y^

f(u

,<^),x^
dg for
(f 6

g(u^

- g(u

,**) in the abo^e Lemma 8.

In order to define *f

S(I) such that

we define

(T.

n ,n=1,2,,.,

f rom (T

by Lemma 7.1.

By choosing a convenient subsequence, we

may assume
(8.6)
||

(T
n+1

-<T
n

2
||

n < 1/8 , n1,2,...

0*
n+1

~(T
n

n1,2,,.., being uniformly stepwise, we can apply (G',4) to it and we have

t
I*
(T

j*

*f

0-J

n n > 1/2 }) < 1/2 .

Therefore

(^

dg is uniformly (in t) convergent with P-raeasure

by Borel-Cantelli's

22

KITOSI ITO

theorem; the limit depends only on

V (t,o>)
t

and it is independent of
(

(~ n }>

if we choose

them so that

<7"

be a function of O* n (t, >) may

F,

<*>)

a_<

r<
*\

t,

for any t.

We define

t * r & dg as this limit. \

But

*/at

O" dg * 0" dg and so n Joe n

t

t (T

Jet

ft <f dg = vac dg with j

P -measure

for any assigned t.

By the uniformity of the convergence,

fies (G'./O.

* r

&

dg

is continuous in t and it satis-

For any function <T for which (8.5) does not hold, we can define [ (f dg in
J<*

the same way as the previous

8 7.

Proof of the uniqueness

Let

and
1

the assigned conditions, J 2 satisfy

|

By (G

we have

r* (r
*J

dg =

* r
J

r
<r dg =

r
f

J^<r

dg

for any rational number

with P-measure

1,

and by the continuity of

* C

and

*
(

we obtain

V
*^

<^
1

dg

<^

0^

^?

dg

OC

for any

with P-raeasure 1.

Definition 8.

The above

* r I

t
0"

dg is called the continuous kernel of

Jot

dg.
89.

STOCHASTIC INTEGRALS BASED ON

p and

p AND q AND THEIR REGULAR KERNEL.

We consider

appearing in the resolution of a fundamental

I

differential process (6).

Let

be a half-open 2-dimensional interval

(,?3

x( 7,

],

< r

f < oo, a < <*< fl< b.

By F(I) we denote the class of

all functions
(F.1)
(P.2)

f(t,u, co),
f(t,u, u/
)

<t<)3,x<u<$,
2

such that
*/ ),

is measurable in (t,u,

f w)|drdu/u J |f(t,u,
I

< oo with P-measure 1, an^

(F.3)

(f(t,u,u*),< Y< t;p(E,u;),E

CR2 (t))

is independent of

23
(p(E,e<,),

ON STOCHASTIC DIFFERENTIAL EQUATIONS

EI^R

2
+

2 2 (t)), R (t),R (t) being respectively the half-plane {(r,u);f>t},

+

In the same way as in

8? we obtain

Theorem 9.1.

We can determine, for f * F(I),

(9.1)

u J J f(r, ,~)dp(r, u,u,) or

Jf(*>,u>)d

P (t>,*>)

or briefly

J(f,*>)

in one and only one (up to P-measure 1) way so that it may satisfy (P1) and (P. 2), Furthermore it satisfies (P. 3), (P.4), (P. 5) and (P. 6),
(P.1)
<* *

When f
<
. . .

C",u,>)
-

is a uniformly stepwise function, i.e. when there exists

<
t,j

< t

* U

<

u^

<

. . .

< u

independent of *> such that

we have

>

(P.2)

If

n (t,u,tO

^ F(I) tends to

r QO ('

,u,^) for almost all (r,u,u.),

and if |f
(f

< f * F(I) and furthermore if every

satisfies (F.3), then

B-measurable function

f(r,u,^)

of

v f 2 ,...)

to j(fn ,^) converges

}(*&>")

in probability.

(P.3)
if
I

(P. 5)

If

f^fg

for (r,u) 6 I, u/4 -*^ 1

a P-measurable set, then "^^ being

-|,^)

J(*2>"} for almo8t

a11

Let f(T,u,u,),

^<

t < ft

f <

r u,^H(^>

on

"*

0) belong to

F((*,^J

x( f,rfl) for

any integer

n > /

Then we can define

^ Let 12

f f(r,u,~)dp(t,u,u/),
*

n > ^

denote the set

{*

jp((

*,/Jx(n,eo), ")

0.

Then we have, for

""-^

and

ra

> n,

24

KIYOSI ITO

J J fdp -y
6

Jj

%t -V
and P(-

fdp,
"

eXP ^ "

drdu /u? }
f
I"

>

as n

-^

oo

5-r
Therefore
n

lim

fdp exists with P -measure

and it has the above properties:

>ocn

(F.1), (F.2), etc., and so we denote it with

Similarly we can define, for

/ < 0,

n:
Let

be any Borel subsets of I -

(^,^3

x( ^

^ 3, f,

i'

> 0, a <^</3 < b.

Then we define, for f 6 F(I), as follows,

J f(t,u,u)dp(t ^E
where
E

u,cc>)

J ^1

f(t,u,w)C (t,u)dp(t,u, u/),

E
This definition is clearly in-

C (t,u) is the characteristic function of E.

dependent of the choice of the interval

From (P. 2) and (P. 3) we obtain

12

E.

Theorem 9.2.
f

If

E ,n1 ,2, n

, ,

.,

are disjoint Borel subsets of I, and if

F(I), then we have

fdp -

>
?-'

fdp

>E - n

in the sense of limit in probability.

From (P. 4) we obtain

Theorem 9.3.

If

* F(I), and if

|f (

r ,u,^)|d^du/u

< oo

then

25

ON STOCHASTIC DIFFERENTIAL EQUATIONS

Now we define the r egular kernel of

fdp, f

F(I), which will be denoted by

J fdp.
(9.2)

Firstly we consider the case in which f >

2

and

JI

(f(t,u,o,))dtdu/u

< co.

Let
{

* y}

{*}, { * ,f and
(

O
{

be dense in (<*,>& 3 and in

}

JT

f] respectively.

We assume that

J
//<3

We shall here call any finite sum of intervals

elementary set.
Then the system of all elementary

of the form

*j*

<<

J x( *%

sets is enumerable and forms a finitely additive class.

Let

E^Eg,...^ disjoint

elementary sets and E their sum.

Then we have

JE wp

>

y1
1,

[ JE

fdp

with P-measure

Since this system of all these equalities is enumerable, we see that

1 .

they hold simultaneously with P-measure

Since f > 0, we obtain

fdp >

for any

E
elementary set E with P-measure
1.

Thus

r
E

fdp is a finitely additive measure for al-

most all Let

^
G

be any set open in I and B any Borel subset of I,

We define

fdp

sup{

fdp; E is any elementary set whose closure

< G}

fdp B

inf{

fdp; G is any open (in I) set that contains B},

As is easily proved, we have

*r
fdp =

-oo
fdp,

Jo
J

>

Hll

B .

>

Jg
n

n1

for any disjoint system of Borel sets {Bn )

Now we shall prove that

(9.3)

[ J R

fdp

26

KIYOSI ITO

with P-measure

for any Borel set B.

For any open set G we can choose a monotoneis contained in

increasing sequence of elementary sets {E n } so that the closure of E

G,

n1,2,... and that G

=

U En
E
n

By Theorem 9*2 we see that

J fdp

l.i.P,

fdp (l.i.P. = limit in probability)

and so that

< * J fdp "

I

fdp with P-measure 1.

Besides

JG

JG

> fdp ~

J Gfdp,
I

since

fdp is monotone in E on account of f > 0,

Thus we see that (9*3) holds for any open

E
set.

By (9.2) and (P. 4),

J fdp is finite for almost all.

Therefore by Theorem 9.3

we have

J p fdp

l.i.P.

J
B n

fdp,

if

3
Let

B
B

...

> B.

Consequently (9.3) holds also for any closed (in I) set B.

By (9.2) we can find a sequence of open sets

be any Borel set. n

}

and a

sequence of closed sets {F

such that

and that

2 (f(t,u, u, ))dtdu/u < 1/n, n=1,2,

It is clear that

J
i? F

fdp < ""

1

v F 2

< fdp """

. . .

"

<

n B

f dp " <

. . .

<

< fdp ~~
2

n
1

fdp

with P-measure 1.

Furthermore we have
2
f

f J G fdp
W n n

fdp)

(5 (f)dtdu/u

< 1/n

0.

JF_

O'G-F
n n

Therefore
(9.4)

f JB

fdp = l.i.P.

\
I

fdp = l.i.P.

fdp.

*n

But we have

27

ON STOCHASTIC DIFFERENTIAL EQUATIONS

F
1

fdp <

fdp

<...<* -

fdp

<...<* J

fdp < -

f dp

by the definition, and so

(9.5)

lim *
n

JF

fdp_<*
n

fdp < lim n

fdp.

As has been already proved,

f J,
n

fdp *

Jf

fdp,

/fdp JG
n

f J

fdp, n-1,2,...,

with P-measure For

and so we obtain (9-3) at once from (9.4) and (9.5).

f < F(I) for which f >

but (9.2) does not hold, we define

f fdp by JB

Jfdp
^

iim

*f ^

Uf
N

f(r,A,u,)drdV*

)f(t,u,uOdp(t,u,

w)

where

^ (A.) is the characteristic function of the interval [-N,N], N

For any general

we shall define

r
*

fdp =

f J

kl*f
dp -

\t\-t
5

dp.

Now, we shall define

f
-'I

fdq.

For

F(I), I

(*

,/*

J x

*,

O,

>

(9.6)

j J fdq

/fdp J
I

f( ^,u,

^1

Then we can easily prove that

2
(9.7)
((

ffdq) 'l

/I (f (f
2

)dr du/u

2
,

(J

f
I

fdq) = 0,

for

such that

)drdu/u J (^(f
For
I

< oo.

(*,0 J

x(0,

^3,

a < <^<

>3

< b,

<

S<

oo, we define F (I) as the class

of all functions

f (t,u, <*

satisfying (F.1), (P.3) and

28

KIYOSI ITO

(F.2)
We shall define

J I (f(r,u,u,)
1

for f * ?(!). ) J fdq 1

I

Firstly we consider the case:

<!".*)

.^
Let I

denote (<*,/J x (1/n, n

l.

Then
2 2
2

((

f
'l

|f(r,u, aO|d^du/u

2 2
) )

< f " J d?"du/u I

[ JI

(f(>,~)

)drdu/u

with P-measure

1 .

Therefore f ^ F(I

and so we can define

by (9.6).

By (9.7) and (F
^_ fdq
I

.2) we have

r
J ^_ fdq)

p
)

U((

/*

f
J */ T
_.

x2.

fdq)

I -I

m
'J

*^-P

(^(f )dr du /u

2 =

&l ^ 2 D 2 ff C(f )drdu/u II

i5

0.

We shall define

fdq - l.i.m.

fdq (l.i.m.

limit in mean).

This extended definition satisfies (9.7) evidently.

In order to define the integral in the general c ase we put 2 2

f (t,u,oo) . n

J>

n(

(f(r,u,u0 )drdu/u )f(t,u,u,),

By

^r<< Juo
where
^

is the characteristic function of the interval (-n,n).

f .2)
^

we have

POOn )

f 1, where

/l n

{^;fn (T,u,

u>

f(

1T

,u,

w)

for (r,u)

l]

We shall define

Tfdq j

as

f dq on
j

%/

iJ n

29

ON STOCHASTIC DIFFERHITIAL EQUATIONS

Similarly we can define the integral in case

I

fi]x( /, Q].

In case

(*,>*Jx( ^,0j.
=

In case

I =

(S*J
(<X

x(0,

Of
(

we define

J fdq
1

J
''

fdq

J
'*

fdq,

,J
I

*,0], I g

fi*}

x(0, fj.

As in the previous integrals we can define

r as a fdq E

r 7fC dq, C (t,u) being the E E

characteristic function of E,
For the regular kernel of this integral we establish

Theorem 9.4.
termine
t * r I

Let

(<*,>3]x( ^, S J and E

&

*, f J,

For f

F (I) we can de-

r
I

fdq,

o<

< "

t " ft <

which belongs to

d -class as a function of t with P1

4<,JE
measure
1

and satisfies

* f

f fdq J* JE

fdq

^foC,tJxE

with P-measure 1.
2

We have, for this regular kernel,

2 2 ((f(t,u, *u)) )dtdu/u .

c Pr{

sup < t

|*
j5

J* J E

fdq

> c}

j f J JE
.

The proof can be achieved in the same way as that of Theorem 8,

III.

STOCHASTIC DIFFERENTIAL EQUATION AND STOCHASTIC INTEGRAL EQUATION.

810.

Stochastic differential equation.

We shall solve a stochastic differential

equation:
(10.1)

Dx(t,M/)

L('t,x(t,uO), a < t

b,

under the condition:

< 10 ' 2 )

XU,U,)'

L>
.

where L

is a given distribution on R

Theorem 10.

We can construct a simple Markoff process x(t,u;) on a convenient

probability field (/1,B

,P) so that x(t,*o)

may satisfy (10.1) and (10.2) and that

x(t, *u) may belong to d-j-class with P-measure 1, if the three elements

m(T, 5),0"(tTf J)

and f (

%u, J
(A)

of L( ^, J
)

satisfies the following conditions (A) and (B)j

|m(r, 5

-m(r,^,)|

<M|j-l|

30

mosi

iro

f(r, u ,5)

|u|<n

where

M,S,Fn ,n1,2,..., are independent of

(B)

T, J

),

L(

is continuous in

^ with

regard to Levy s distance for any fixedj.

!

Proof.

We construct a fundamental differential process

JL (a, a/
)

T, <w), a

<X

b, on

a convenient probability field so that

a stochastic integral equationi f
(10.3)
1

may be governed by L, and we consider

1
r

t,<w)

=.

X(a.o>)

J a fl
'

m(T,x(t',u^))dr +\
^
fl

C^(r,x(r,c

f
J

f(r,u,x(r,*)}d P

f(r, u ,x(r,j))dq,

whose solution is the required stochastic process by virtue of the following

11

(Here-

after the stochastic integral means the continuous or regular kernel, even if the notation

be omitted.
11.

Stochastic integral equation.

Theorem 11,
c(<*>)

Let L( T, J

satisfy the condition (A) and (B) in Theorem 10.

)

Let

be independent of

./(?,

a/

,(a,"),

a <

T<

b.

Then there exists one and

only one (up to P-measure 0) stochastic process satisfying a stochastic integral equation:
f'
I

(11.1)

x(t,~)

c(u,) *

m(r, x (f,"))dr

f'
*
\

<r(T",x(T,o;))d g
a

f(r, u ,x(r,u;))dq

for a < t < b with P-measure

(11.2)

and fulfilling the following property:

-

(x(r,uO, j(f,")
u>)
9

^(a,^);a <T<
b.

t) is independent of

(j?(r,a>) - /(t,
which belongs to
equation:

<r_<b) for a_<t_<

1

This solution is a simple Karkoff process,

d -class with P-measure

1

and satisfies a stochastic differential

31

ON STOCHASTIC DIFFERENTIAL EQUATIONS

(11.3)

Dx(t,o)

L(t,x(t,o,)).

Proof:

We shall firstly remark that the condition (8) implies that each of
||

|m(t,5)|, |<T(t, 5)|,

assigned f
,

f(f ,u,

5)||

n-1,2,..., are bounded in a < t < b for any

),

which is deduced from Theorem 4,2, since {L(^,3

& <

^<

b} is compact

and so totally bounded as a continuous image of a compact set [a,b] for any assigned 5
Next we shall remark that (A) and (B) imply that
are all B-measurable,

m(f ,J), ^(^,1)

and

f(T,u,5
)

Since L(t, J
)

is continuous in t for any J

)

by (B) and m(t,5

is

B-measurable in L(t,

by virtue of Theorem 4.1, m(t, 3

)

is also B-measurable in t for

t

any

Besides m(t, 5

is continuous in

for any fixed

)

by (A).

Thus m(t,J) is

B-measurable in (t, J).

Similarly <f (t, $

and f(t,u, J )(for any fixed u) are

)

B-measurable in (t, }
f(t,u, J
)

).

Therefore f(t,u, J

is B-measurable in (t,u, J

since

is right-continuous in u.

For brevity we introduce the following notations.

We put

for

Vfny'V^)

and

we define

11
We put

f(tr,u,u)dq.

The triple of three elements of an i,d,l, L is also denoted by the same notion L,

(11.6)
u^
9 9

L (T, J) N

the i.d.l. whose elements are ra(T, 5),

<T(T, J

and

/ >

where

t.

is the characteristic function of the interval (-N,N).

Firstly we shall prove the existence and uniqueness of the solution of the stochastic integral equation:

32

KIYOSI ITO
t

(11.7)

x(t,uy)

C(/)

such that

(11.8)

(x(t,u/),

J(^

^}

/(*,

a;),

a_<r<

t)

is independent of

In order to find a solution we make use of the method of successive approximations;

we define

^(t,^), n1,2,...,
x (t,**0
*

recursively by

(11.9.1)

any measurable process such that x (t,<*) is a function

t) for a < t < b and that

of (c (c*r)j N
bounded,

<(?,") -/(a,"), a_<T<

d(xo (t,^f)

is

(11.9.2)

xt,"')

= C (U,) *

I(r,x_(r,'))d
J
,

a< t<

b, n-1,2,.

From (11.9,2), n=1

we have, for any fixed

r(r,u,

+ f ( r,u, 5 )dq - I Ig t

|u|<N

f
Ja

L (t
N

2
,

5Q )d
t

< (t-a)
1

.(r, 3Q )
^a
r

m(r,
b

^a

r
)

-\
Ja

^(^

J/<i

S\
*/

33

ON STOCHASTIC DIFFERENTIAL EQUATIONS

Jt

nr
i

u <irdu/u~

2
I

f(t,u, 5

dt-du/u

<2

K|U|<N

K|U|<N

f(f,u,3

cirdu/u

<

||f(t>, Jo )|*dr

,u|<N

Thus

L ((

L (T, j )djt Q

2
)

),

a < t < b, is bounded by Theorem 4.2 and the condition

a
(B).

Similarly we can prove the boundedness of

(*(L(tx(r))
].

L<f

5))d*

a<t<b
2

r
by making use of the condition (A),
Furthermore
in (t,or).

Consequently

(x (t,

***
)

is bounded.

x (t,u/

belongs to

d -class with P-measure

a <

and so measurable

Besides (x(r ,u/),

-

(r ,") - J?(a,o/)j

f<

t) is independent of

(^(T,^)

/(t,o/);

t <

< b) for any t, as is easily verified.

Thus we can define Xp(t,u/) by (11,9.2) and so recursively x^t,*/), n3,4,...,

and we have

V1

f
n

_
'n

J
t

l(

K|U|<N
du
u

if
a

K|U|<N

34

KIYOSI ITO

a
t

<s
2

K|U|<N
t

((x (r, n
a

<-*"!

N J
a
2

2 2 ((x (t,w) - xn (t,w)) ) < 4(M (b-a) * S +2(b-a)F * F ) IHI N N

(
But
-

((x^t,*/)
=

Q (t,

,))

has a finite upper bound (G), as is above proved.

We

obtain recursively (*

(11.10)

((x

a (t,)
t

x^Ct.u,))

<

oc^Vt-a)

-1 /

(jM,

(11.11)

n-1
t

n <3Kb-a)(t-a) /

(j,

35

ON STOCHASTIC DIFFERENTIAL EQUATIONS

(11.12)

n-1

n 2 OS (t-a) /

LD,
2
))

(11.13)

((

f
a

lr,xn (r,*o)

f(r,xn-1 (r,-^)))dt

du/u

K|U|<N
<

2*

n-1

GS

2 n ( F (b-a)(t-a) /

Jjj,

(11.14)

((

(
/

(f(r,x (r,u/))

f(r,x^ jr,^)))
i

dq)

7
|u|>N

*/

Now,

putting

tb

in (11.11) and using Bienayme-Tschebycheff 1 s inequality,

we obtain
V

'

a < t < b

1) <

2
,

n -1

where

JL

oC

CM (b-a)/
t

n-1.

Since

-.4.2 A
1

>

> " A

< oo,

n
a

is uniformly convergent in

a < tjC b with P-raeasure

by Borel-Cantelli

theorem.

If we make use of (G .4)

1

(8) and

(11.12), we can prove in the same way that

>

n
a

is uniformly convergent with P-measure 1.

Similarly

36

KIYOSI ITO
t

J
a

f J

r (f(r,u,xn (r f a,))-f(r, u ,xn _ 1 (r^)))dtrduu

rrtr

and

if

J
N >
|u|

(f(r,u,xn (r,o/)) -

are uniformly convergent in a < t < b with P-measure 1.

Consequently

(t,**/) is

also
*+*
).

uniformly convergent in a < t < b with P-measure

Ihen x(t,*^) belongs to
it is so the case vvith

1.

We denote this limit with x(t,

*

d -class with P-measure 1, and so measurable in (t,

),

since

n (t,

*O, as

is recursively proved.

By letting n

> co in

(11.9.2), we can easily see that x(t,*^) satisfies (1T.7).

Let y(t,

<*>

and z(t,
and

*>

)
<*/

be any two solutions of (11.7) such that

)2) ar e bounded
(

(y(t> *"

2
)

C(z(t,

< G ).

Then in the same way as

above we see

<(y(t,0
t

z(t,/)))

<

"
0.

Therefore y(t,o/) = z(t,o/) with P-me r sure

for t.
)

Since y(t,
=

and z(t,^) belong

to d -class as the solution of (11.7), we have y(t, u/

z(t,u/) > a < t < b, with

P-measure

For the solution x(t,**/) obtained above by the successive approximations, f ? Let y(t, <*x ) be any C(x(t, a/) ) is bounded and so it does not depend on x (t, <** ).

solution of (11.7).

Starting from x^ (t,u/) = i (y(t,^))y(t, ^), i being the M

characteristic function of (-M,M), we define x (t,u/), n1,2,.,., by (11.9.2), and obtain R

the solution x(t, cu ).

/)
n* 6n

P-measure 1.

MM
Now we put
-

Nily(t,")|

M, a < t < b}.

increases with M and

P(/l u )

>

since y(t,

*+* )

belongs to

d^class with I

y(t,u/) satisfying (11.7), we have, by (G.5) and (P. 5). y(t,^)

x(t,w)

37

ON STOCHASTIC DIFFERENTIAL EQUATIONS

..

and so

n
for almost all
>

on .A

M and

so with P-measure 1(M

* oo),

Thus we have proved the

existence and uniqueness of the solution of (11.7), say x(t,u/ ;N).

We put
D -

{";|c(a,)|

<M

f
|u|>H

dp(r,u,tO -o).

Then

E^

increases with M and

P^)

>

as

> co.

Starting from xQ (t,u/)

-x(t,u/'M), we define x^t,*/) by (11.9.2) and so we obtain the solution of (11.7)

x(t,u/;N) as the limit.

...-x(t,u/;N).

For

"

E^M
1

> N) we

havex(t,~ 5 M)

-xo (t,<^)

^(t,**^)

Therefore x(t,^;M), a < t < b, does not depend on M for a

and so

sufficiently large M with P-measure

(11.1).

lim

x(t,<^;H) exists and satisfies

^oo

Let y(t,u/) be any solution of (11.1).

m

We put

*K n

*K^ ~* a
<

ly(t,~)l

<N, a< t<

P__.

b}.

Then y(t, <~) satisfies (11.7) in

Starting from

we obtain x (t,u/), n-1,2,...,by (11.9.2). n

?or<*< F

y(t,u/)
d.j-class

x (t,u/) Q

x^t,^)
)

...

1.

we have, by (G.5) and (P. 5),

Since y(t,i^
-/)
)

with P-measure 1, we have P(F

> x(t,k/jN).

belongs to

Therefore y(t,

coincides with tht

above obtained solution.

solution.

Thus we have proved the existence and uniqueness of the

Let

x(t,

<*/

be the solution.

Then we have

(11.15)

X(t,^)

X(8,u/) 4

(>
\

L(*>(
8

^,

Riis is also considered as a stochastic integral equation of the above type concerning

x(

r > u/ )>

< t-< b,

5y the uniqueness of the solution, x(t,

is obtained by the

3d

mosi
T<
)

ITO

above procedure and so x(t,u>) is a B-measurable function of x(s,<^) and (,/(*, a/)
-JK(s,o/), s <
b), as is easily verified if we use Theorem 1,
*

We put

x(t,<*

f.(x(s,

u'
=

<*/) 7

,/

(2*. *0 ->^(8,u/), s '

<^< **-*
<r<

b)

and

*(t,"js, !)

t (Jj/(r,o/)

-/(a,-/),

b).

From (11.15) we obtain

(11.16)

x(t f /ja,J)

5*
.)

L(f,x(^,^;5,5))dje

with P-measure

for almost all (P

J, by replacing, in Theorem 2.3, x(*>),y(a/)

and G(x(*/),y(u/)) respectively with x(s,e-/),(,(

^,^)-^(s,^ ),s< r<

b) and x(t,u^ )-

x(s,u/)

L( t*,x(

^,u/))d^

the measurability condition can be easily verified by

the definition of the stochastic integral, if we use Theorem 1,

By Theorem 2,3 we have, for almost all (with regard to the probability law of

,*),

a<r<

s))

fr

a<r<

3),
.

Pr{x(t,O
Pr{x(t,u/)
and so
c

E/x(r,~)
E/x(s,-)

a
L
}

<?<
-

s}.Pr{x(t,u/ ;8 , 5 S

55

Pr{x(t,wj 8 ,

^)

c E),

Pr{x(t,cu)t E/x(T,^)

?r,

a<f<

s}Pr{x(t,-)^ E/x(s,ux).

55 },

which implies that x(t,t*) is a simple Mark off process.

It remains only to prove (113),
that, as A.+A

5y the above discussion we need only prove

^ 0,
the

(11.17)

[1/Aj+A

- times convolution of the p.1. of x(s*A ,oxjs-A

tends to L(s, $

).

Let x
N

(t,M/;s-Ag, 5

be the solution of the stochastic integral equation:

t

8-a , 5 2

Then we have
(11.18)

x^t^js-Ag, J)

x(t,i*/js-A

2,

for

s-Ag

< t <

s^

and for

&

such that

39

ON STOCHASTIC DIFFERENTIAL EQUATIONS

*i

(11.19)

r
I

dp - 0.

^
Now we have
(11.20)

2 |u|>N

xCs+A^u/ja-Ag,!

x(u/) + y(u/)

where

i:

L(^>5)

being continuous in
4>(z; t*,

^"

for any 5
)

by (B), the logarithmic

t,
]

characteristic function
ever
z

o*'

L(

^, J

will be uniformly continuous in

when-

runs over any assigned bounded region, and so the l.c.f. of the [1/A^+A
P

-times

convolution of

will tend to ^(zjf,u>) and so

(* means convolution)

is arbitrarily near 1(3,5),

By the property of stochastic integrals we have

40

KJYOSI ITO

Pr{z(uO

f o}

(& +4 )(1-e 1

")) . o(A 1+ A2 ).

Thus it is sufficient to prove the following lemma.

Lemma 11,
that

x(u/), y(u/

and z(u/

be real random variables on (il,B,P) such

(11.21)
Then we have

where ^

y * z and

is the Levy's distance.

Proof.

Let (jfl*,B*,P*) be the product probability field (/l,B,P)

u/

n
.

For
z* x

*/*
(^*)

u^,^,...,
z(<^>/),

we define x*y (u/*) = x(o/ ), y*^ x

Jf)

, y( a/ ), v

V"

1,2,. ..,n.

Then (x*(c^*),y*( u/*),z (u/)), v/-1,2,...,n, are

independent random vectors.

tin

and P

^n

^
are respectively the p.1
*,*) *

#
(

of X

u/

>

xv

#
( ft/
)

and

f(o/)->x v (u/)+^y*v

*
(

>

z*

a, ).

But we have
2
(

*
i/

Ef (7*

^*))<(n^) "

4 n -

2
<sC

*oC< 2<t

n
Therefore we have

Ml >y*(o,*)|>*$U2**. y y
But
Pr{> z*( J*) + 0} < *

E Pr{z* y
*

a/*)

f o}

<

nf "
< 3

Thus we have

Pr{|J*( u,*) from which we obtain

/* (p.1. of

- X*( J*)| >

-<

^} < 2

$ +

*c

*c

^,

X*(u/), p.1. of J*( u/)) < 4 /Tic}, q.e.d.

In the case when the l.e*f

Remark.

In case L(t, 5) is a Gaussian distribution, the above obtained process is con1

tinuous idth P-measure

the form:

(continuous case).

of L(t,j

is of

41

ON STOCK ASTIC DIFFERENTIAL EQUATIONS

oo

r
(e

-00

the above process increases only with jumps with P -measure The most simple case of
0*
0, f

(purely

discontinuous case),

is reduced to that of an ordinary differential

equation

dx

,.

-35-

lt,x;.

17,

Appendix I.

We shall show an interesting property of the stochastic integral which does

not appear in the ordinary integral.
Theorem. ^'

Let A

be any function of $ with the continuous second

derivative.

Then we have
b
(1)

[
**a

^'(g(t,c*))dg(t,cu)

A(g(b,M/))

X(g(a,u,))

lfA(g(t,u/))dt.
a

Proof,

For the brevity of the notation we may assume a * 0,b=1.

We have

clearly
(2)

A (g(i,-))

A( g (o,u,))

y
...
,

+ 1

^ i

where
k

/^./k1
.

\\f f./ k

/k

...

N \

I 3

k1
/(n,k,

t)

tends to

uniformly in k as n
and g(t, u>
).

oo

for almost all

on account of the

continuity of

We can choose a sufficiently large N for any f >

such that n > N implies

42

KIYOSI ITO

If we define

f *(n,k,o/)
n

(n,k, u*

for

J(n,k,

u/ )|

<

S and

elsewhere, and if we put

I*
then we have
(4)

>

S *(k n

Pr{l -I*} > 4

(5)

tt

By (4) and (5) we have, as n

>

co

I,

in probability.
(g(t,<*>)) we can choose a sufficiently large

By the continuity (in t), of

for any > >

such that

If we define

S4*
M

5)

MS)

r r

)l

< M and

elsewhere, and if we put

then we have, by (6),

and by making use of the fact that g(

Q

T ,u/)

is a differential process,

y.

)<M
3,M

>

k1

'-OO

-00

2l!

Therefore we have, as n

oo, I

>

in probability,

Similarly we can prove that

f.
in probability.

By the continuity (in t) of

X(g(t,u/)) we have

43

ON STOCHASTIC DIFFERENTIAL EQUATIONS

1

Thus our theorem is completely proved.

Mathematical Institute, Faculty of Science, Nagoya University.

FOOTNOTES

1)

W, Feller:

Zur Theorie der stochastischen Prozesse (Existenz-und Eindeutigkeits-

satze), Math. Ann. 113.

2)
A. Kolmo^oroff :

Uber die analytische Methoden in der Wahrscheinlichkeitsrechnung,

Math, Ann. 104.

3)
S. Bernstein:

Equations differentielles stochastiques, Act. Sci, et Ind,, 738,1938.

n

4)
5)

[*

is the greatest integer

such that

n <

at

The characteristic function of an infinitely divisible law is expressible in the

form exp

y (z)

by Levy's theorem.

This

(z) will be called hereafter the logarithmic

characteristic function of the infinitely divisible law,

1

Cf . P. Levy:

Theorie de

I addition des variable aleatoires (1937), Chap, VII, and also my previous paper:

On sVchastic processes (I), Japanese Jour, of Math. Vol. 18, 1942,

6)

E(+)

is the set (\
:

1 6 E}.

7)

A, Kolmogoroff

Grundbegriffe der Wahrscheinlichkeitsrechnung, Ergeb, der Math.

Vol. 2, No. 6.
8)
J. L. Doob:

Stochastic processes depending on a continuous parameter Trans.

Araer.

Math. Soc, Vol. 42, 1937.

9)

E. Slutsky:

Sur les fonctions aleatoires presque periodiques et sur la decomposition

des fonctions aleatoires stationaires en composantes, Act, Sci, et Ind, 738, 1938,
10)
11)
J, L, Doob:
R, Fortet:

Markoff chains

denumerable case.

Trans, Amer. Math. Soc. 58, 1945.

Les fonctions aleatoires du type de Markoff associees a certaines

equations lineaires aux derivees partielles du type parabolique.

12)
13)
K. Ito:

loc, cit, 5).

R. E, A. Paley and N. Wiener:

Fourier transforms in the complex domain, Amer. Math,

Soc. Coll. Publ. 1934, Chap. IX.

44
14)
15)
K. Ito:

KIYOSI ITD

Stochastic integral, Proc, Imp. Acad. Tokyo, Vol. 20, No. 8.

K, Ito:

On a stochastic integral equation, forthcoming in Proc. Imp. Acad, Tokyo,

Vol. 22.
16)

loc. cit. 14)

J. L, Doob:

17)

Stochastic processes with an integral-valued parameter, T*ans. Amer.

The proof of the theorem concerning the conditional probability

Math. Soc, Vol. 44, 1938.

law seems to be somewhat incomplete, but it is available for our special case.
18)

By [a,b] we understand the closed interval:

a < x < b.

a < x < b, and by (a,bj the half -open

interval:
19)

a,b) and (a,b) are to be understood similarly.

^
for A such that

By (x(r,u/), a
t.

<r<

t) we understand the joint variable of

x(r,~)

<*<

20)

loc. cit. 5).

P. Levy:

21)
22) 23)

loc. cit. 5) p. 55. loc. cit. 5) p. 90.

P. Levy:

loc. cit. 13).

loc. cit. 14).
loc. cit. 5).
J. L, Doob:

24)

25)
26)

loc. cit, 8) Lemma 2.1,

2?)

This theorem has been reported by the author without the proof, loc. cit. 14)

Appendix 2.
When
I

A generalized Fokker-Plank equation.

sent this paper to Professor J. L, Doob, he suggested to me to show Though I cannot

that the process of Theorem 11 satisfies the Fokker-Plank equation.

yet prove it in its complete generality, I have been able to solve it to a certain extent.

It seems to be of some use to add it as an appendix.

Let x(t, <^) be the solution of the stochastic integral equation in Theorem 11,
and x(t,u/ 's,
)

be the solution of the stochastic integral equation:

(1)

x(t,~. s , s)

5 + I
's

L(f,x(r,~. 8> s))d/, s< t<b,

By putting

as

and c(ux)

5 in

Theorem 11, we see that x(t,/*s, f) is

uniquely determined for each J

^d

obtained by the procedure stated in Theorem 11, so

?
.

that x(t,u/j s , 5) is B-measurable in

Denote the probability law of x(t,u,;s, 5)

with F(s, J;t, E).

By the argument in the proof of Theorem 11 we have

45

ON STOCHASTIC DIFFERENTIAL EQUATIONS

(2)

F(s,$ ;t,B)
x(t>K,))
I

Pr(x(t,~)E/x(s,*0

for almost all (P

Theorem,
I.

F(s, ? ;t,E) has the following properties:

Chapman's equation.
oo

(3)

F(s,$ ;t,E) jt,B)

F(s,S ;u,dl)F(u,i

,-t,E)

(a < s < u < t < b).

^II.

Let

J(f

any bounded function with the second derivative

I/A. No/_

"
j>

).

Then we have

'

,.A ;s^ 2

Uu
where m(s, 5
)>

(s> 5

and n(E,s, J

are determined by
L(s,

(5)

the logarithmic characteristic function of

im(s, 5)z -

"
\%>

f r*
(e
-1
)

n(du, s, 5

).

J 00
III.

Generalized Fokker-Plank equation.

If

.2 -2-_. F(s,5 }5
D"
8

;t,E) exists, then

(6)

F(s,

Jit,B).
A

lim
O'

-J
)

(F(s, 5 jt,E)-F(s-A,

;t,E))

exists and we have, in using m, o* and n in II

(7)

D' F(8, J jt,K) + m(s, S

G

-i-

F(s,5 jt.E) *

f2

2
'

P(,f ;t,B)

(F(s,J*u;t,B)

F(s,J ;t,E)

--S- --

F(s,.j ;t,E))n(du,s, J

= 0.

46

KIYOSI ITO

Remark 1,

By specializing

m,^,n,

we obtain the Fokker-Plank equations that

have already been known.

Case 1.

m(s, J) * m(5 ),(T(s, J

^"(J

),

n(E,s, 5) 50... Fokker-Plank' s

original case.
Case 2. Case 3.
n(E,s, J
p(s, J
) )

o ... Kolmogorof f s continuous case.

'

n(( - oo, co), s,

< co

Feller's mixing case.

In this case, by putting

n(E,s,

J)
-

= p(s,

5)P(s,f,E(O 5

m(s,J)
and

jp

n(du, s,5

b(s, f ),

we obtain Feller's equation:

.2
F(s,5 ;t,E)
*

a(s,5)
-

>

F(a, J ;t,B) * b(s, 5

,

s,J

f (P(*

}*>,*)

F(3,J;t,E)} P(s,3

o.

Remark 2.

It is desirable to prove the existence of

-j

F(s>5

>t> E )

under some adequate restrictions concerning

the author.

m, cr and n, but it is an open problem for

Proof 1,

By the proof of Theorem 11 we see that x(t,^;s, 5

and
(

is a

B-measurable function of 5

t"

u>)

^(s,<**), s <

"< t.

Put

Since
\.

L(r,x(r,ux;s,

5 ))

5
's

( U ,^ J9 , x(u,^;s, f

+f +1

L(r,x( r,w ;s , r,*/;s,

f ))dje,(s_<u < t),

47

ON STOCHASTIC DIFFERENTIAL EQUATIONS

we have, by the uniqueness of the solution in Theorem 11,

x(t,~;s,f

= f

ut (x(u,,
)

p, 5), *(*,>)

/(,*

),

<r<

t)

for almost all */x(u,**/ ;s, 1

being a function of j("t*,u) ->(S,<M), s <t"< u, and so

independent of Jt(t,*^)

(s,u>), u

<T<

t, we have, by Theorem 2.2,

which prove* Chapman

equation.

Next we shall prove III, assuming II.

F(s-A, J ;t,E)

Since we have, by I,

jF(s-A, J ;s,dl
*

F(s,^ jt,E), we obtain III at once, by

putting

\>(

F(s, 5 jt,E), A

A and A

= o in II.

We have only to prove II.

In the proof of Theorem 11 we have shown that

Therefore it is sufficient to show that (g) implies (4).

For this we state some pre-

liminary lemmas.

Lemma 1.

Let the logarithmic characteristic function (l.C.f.) of an in-

finitely divisible law (i.d.l.) P be given by

oo

f
(9)

izu
(e
-1 -

Y/(z)

imz *

-i^-

J
-00

Uu

'^ u

d G(u), G(~oo

and

{P, }

be a sequence of probability laws such that

Then
u
f

(10)

G.(u) u)

-2
1

7
-00

>

^ 2 v

P (dv) k

is bounded for

k1,2,... and
k

-oo < u < oo

(11. a)

O (u)
u

and

> G(u)

for any continuity point

of

G(u), and

48

KIYOSI ITO

(1Kb)

d Qk(u)

This lemma can be proved in the same way as

A, Khintchine s proof of Levy's

f

formule (A. Khintchine:

Deduction nouvelle d'une formule de P. Levy, Bull. d. 1'univ,

1,

d'etat a'Koscou, Ser, inter. Sect. A. Math, et Keca. Vol.

Fasc. 1, 1937).

Lemma 2.

Let

be an i. d, 1. with the 1. c. f. ]^(z) in (9).

Let {P } be h

a system of probability laws, h running over (o,c), (expositive constant) such that

*[_!_ ]
(12)

>
u
-

P.

Then

r
-00

G (u) h

Pjdv)

is bounded for

o < h < c and

-co < u < oo, and

(U.a)
for any continuity point

G (u)
n

G(u)
G(u), and

of

This lemma follows immediately from Lemma 1,

Fundamental Lemma.

Let

be an i.d.l,
oo

with the l.c.f.:

ZU
(15)
(a) =

I
\

(e

. -i-2JL) n(du) 2

y
and
vve

{P,

be a system of probability laws, h running over (o,c).

for any bounded function
T

have,

f(5

(-oo

<|<

Then (12) implies that T* oo) with the second derivatives $ (5)*

(16)

Ida

|(S*u)P h (du) -|(5)

CO

; -00

49
Proof.

ON STOCHASTIC DIFFERENTIAL EQUATIONS

(Concerning the following proof the author has obtained Tiany suggestions

in his discussions with Professor K. Yosida, whose research on a generalization of

Fokker-Plank equation will soon be published in some journal.)

(15)
is Britten in the form (9) if we put

u
2

G(U) *<r

2 +

I^00 '"K
u
<KU) - f

1+v

n(dv) (u > o)

V
1+Y

2
-

n(dv) (u < o).

Defining

G.

(u) by

we obtain

ji

dOh (u)
,

Uu
r
/

r
J

d CL(U)

i ( *>
where l^(u,
J
)

is defined by

-Vi'(5)> 1+u

"^
u

(u * o)

50

KIYOSI ITO

Then

^(ujj
J

is bounded and continuous outsides of any neighborhood of u=o for any

if/

fixed

by the boundedness of J, while

(u, 5
,

is also bounded and continuous within

any neighborhood of u=o for any fixed

since
2

|(f u) -

Id) .--l'(u)
(1)
)

ui'(5)
2

!L__i"(5) -uj(s)

+o(u

2(Uu

o(u

).

Therefore we have, by Lemma 2, (17) and (18),

CO

lim
h *o

1 h

ffr

T |i(5 +u)P (du) - 1( ?) h J

1 J

m $(f

,'

f
1

V(u,

J
-O
+
00

-CD

J^u
O

J) d G(u)

-CO
CO

J
which proves the fundamental lemma.

-co

Proof of II of the above theorem.

We can modify the above fundamental lemma

without any essential change in the proof as follows:

11

Let

{P^ ^

be a system of probability laws, where

o < A

< c and

A..+A

> o, and P be an i.d.l. stated in the lemoa.

Then

implies

(16')

lim
A +A
J/o
A..4A-.

[{<S*u)P AA (du)
1

-!()]

CO

*j
''O

51

ON STOCHASTIC DIFFERENTIAL EQUATIONS

Now put

I<5)

- F( S ,S;t,E),

and
P = L(i,J ).
Rien (8) i.e.

(12') Implies (16") i.e. (4).

Thus the theorem is completely proved.

M
O1

AMERICAN MATHEMATICAL SOCIKTY

1.

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on locally compart

tpat.es.

it,

25 pp. 1950

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L K.
3.

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$l SO

H. D.

Ursell and L. C.

Young, 'Rftwrh

on rbe thwry of

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Ito, 0?) stochastic difitnntial equations. 51 pp. 1951-

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