Ito’s formula applied on Brownian motion

brownian motionstochastic-calculus

Often Ito's formula is used for computing the dynamic of a function of a Brownian motion, for example of $B_t^2$, where applying the usual formula we get $$B_t^2=\int_0^t2B_sdB_s+\int_0^ts$$
But why we can do that? What I mean is: in the definition of Ito's formula we find: Let $X_t$ be an Ito process, that therefore have to be on the form $$X_t=X_0+\int_0^ta_sd_s+\int_0^t\phi_sdB_s$$
so what is not clear to me is why $B_t^2$ is an Ito' process?

I see that the after the application of Ito's formula $B_t$has the form of an Ito process, but to be an Ito process is a requisite for applying the formula. I think that I'm missing something

Best Answer

To see that $B_t$ itself is an Ito process, it suffices to verify that $$B_t = \int_0^t 1\,dB_s\tag{*}$$ since then the definition holds with $X_0 = 0$, $a_s = 0$ and $\phi_s = 1$. And Equation (*) can be shown directly from the definition of the Ito integral, without needing to apply Ito's formula: the Riemann sums appearing in the definition of $\int_0^t 1\,dB_s$ will all telescope. So nothing is circular.

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