Geodesic
Stochastic integral in case of infinite expectation
Zapiski Nauchnykh Seminarov POMI, Probability and statistics. Part 11, Tome 341 (2007), pp. 197-219

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A method of analysis of a multi-dimensional semi-Markov process of diffusion type in case of infinite expectation of the first exit time from a small neighborhood of the initial point is worked out. A generalization of a formula of Dynkin for this case is proved. The formula of Ito for the stochastic integral by the multi-dimensional semi-Markov process of diffusion type is derived. 
@article{ZNSL_2007_341_a14,
     author = {B. P. Harlamov},
     title = {Stochastic integral in case of infinite expectation},
     journal = {Zapiski Nauchnykh Seminarov POMI},
     pages = {197--219},
     publisher = {mathdoc},
     volume = {341},
     year = {2007},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/ZNSL_2007_341_a14/}
}
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B. P. Harlamov. Stochastic integral in case of infinite expectation. Zapiski Nauchnykh Seminarov POMI, Probability and statistics. Part 11, Tome 341 (2007), pp. 197-219. http://geodesic.mathdoc.fr/item/ZNSL_2007_341_a14/