For a one-parameter process of the form X, = X0 + & (b, d W, + & & ds, where W is a Wiener process and I+ d W is a stochastic integral, a twice continuously differentiable function f(X,) is again expressible as the sum of a stochastic integral and an ordinary integral via the Ito differentiation formula. In this paper we present a generalization for the stochastic integrals associated with a tw...
