Stochastic integration and one class of Gaussian random processes
We consider one class of Gaussian random processes that are not semimartingales but their increments can play the role of a random measure. For an extended stochastic integral with respect to the processes considered, we obtain the Itô formula.
English version (Springer): Ukrainian Mathematical Journal 50 (1998), no. 4, pp 550-561.
Citation Example: Dorogovtsev A. A. Stochastic integration and one class of Gaussian random processes // Ukr. Mat. Zh. - 1998. - 50, № 4. - pp. 485–495.