Geodesic
Constructing multiple stochastic integrals on non-Gaussian product measures
Matematičeskie trudy, Tome 15 (2012) no. 2, pp. 37-71

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We study a construction of multiple stochastic integrals of nonrandom functions with respect to the product measures generated by stochastic processes admitting representations as multiple orthogonal random series. This construction is compared with some classical schemes of constructing stochastic integrals of such a kind. 
@article{MT_2012_15_2_a2,
     author = {I. S. Borisov and S. E. Khrushchev},
     title = {Constructing multiple stochastic integrals on {non-Gaussian} product measures},
     journal = {Matemati\v{c}eskie trudy},
     pages = {37--71},
     publisher = {mathdoc},
     volume = {15},
     number = {2},
     year = {2012},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/MT_2012_15_2_a2/}
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I. S. Borisov; S. E. Khrushchev. Constructing multiple stochastic integrals on non-Gaussian product measures. Matematičeskie trudy, Tome 15 (2012) no. 2, pp. 37-71. http://geodesic.mathdoc.fr/item/MT_2012_15_2_a2/