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Journal of Applied Mathematics and Stochastic Analysis 
Volume 8 (1995), Issue 4, Pages 361-370
doi:10.1155/S1048953395000323

An approach to the stochastic calculus in the non-Gaussian case

Andrey A. Dorogovtsev

Ukrainian Academy of Sciences, Institute of Mathematics, Tereshenkovskaia, 3, Kiev 252601, Ukraine

Received 1 January 1994; Revised 1 April 1995

Abstract

We introduce and study a class of operators of stochastic differentiation and integration for non-Gaussian processes. As an application, we establish an analog of the Itô formula.