A Machine-Checked Itô Calculus for Brownian Motion

Abstract

We present a machine-checked development of the $L^2$ Itô calculus of Brownian motion on a bounded time interval $[0,T]$, formalized in Lean 4 on top of Mathlib and the BrownianMotion package. The development contains: the construction of the Itô integral as an isometry of Hilbert spaces, from a predictable-rectangle $π$-system through the density of simple adapted processes; the Itô integral as a process, proved to be an $L^2$-continuous martingale through a single structural identity (the integral at time $t$ is the conditional-expectation projection of its terminal value onto $\mathcal{F}t$), from which adaptedness, the martingale property, the contraction bound, and both the terminal and the time-indexed Itô isometries follow as corollaries; and Itô's formula for $C^3$ functions with bounded derivatives, including its time-dependent form $df = f_x,dB + (f_t + \tfrac12 f{xx}),dt$, obtained by a discrete-to-continuous argument through weighted quadratic variation and explicit $L^2$ remainder bounds. To our knowledge this includes the first machine-checked proof of Itô's formula, and the first machine-checked construction of the Itô integral as a martingale-valued process, in any proof assistant. We are deliberate about the boundary: the theory is the $L^2$ theory on $[0,T]$ with bounded-derivative integrand classes; localization to the unrestricted $C^2$ formula, integrators beyond Brownian motion, and pathwise statements are out of scope, and we say precisely why and where. The development is roughly 7,200 lines of Lean across 22 modules; every theorem is sorry-free, the axioms of each headline result are pinned to Mathlib's classical defaults by a build-enforced gate, and the whole is reproducible from a pinned toolchain.