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The generalized covariation process and Itô formula. (English) Zbl 0840.60052
The authors define the covariation process \([X,Y]\) associated with certain real-valued stochastic processes \(X\) and \(Y\), using a limit procedure. This covariation process is made explicit in some examples, including the special case when \(X\) and \(Y\) are given in the form of a Skorokhod integral. Following an earlier work of H. Föllmer [in: Séminaire de probabilités XV. Lect. Notes Math. 850, 143-150 (1981; Zbl 0461.60074)], an extension of Itô’s formula is proven.
Reviewer: J.Bertoin (Paris)

MSC:
60H05 Stochastic integrals
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