Journal of Applied Mathematics and Stochastic Analysis
Volume 8 (1995), Issue 4, Pages 361-370

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

Copyright © 1995 Andrey A. Dorogovtsev. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.


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.