Geodesic
Stochastic integral in case of infinite expectation
Zapiski Nauchnykh Seminarov POMI, Probability and statistics. Part 11, Tome 341 (2007), pp. 197-219 
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/
@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},
     year = {2007},
     volume = {341},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/ZNSL_2007_341_a14/}
}
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Voir la notice du chapitre de livre provenant de la source Math-Net.Ru

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.

[1] B. P. Kharlamov, Nepreryvnye polumarkovskie protsessy, Nauka, SPb, 2001 | MR

[2] B. P. Kharlamov, “Absolyutnaya nepreryvnost mer v klasse polumarkovskikh protsessov diffuzionnogo tipa”, Zap. nauchn. semin. POMI, 294, 2002, 216–244 | MR | Zbl

[3] B. P. Kharlamov, “Kharakteristicheskii operator diffuzionnogo protsessa”, Zap. nauchn. semin. POMI, 298, 2003, 226–251 | MR | Zbl

[4] B. P. Kharlamov, “Stokhasticheskii integral po polumarkovskomu protsessu diffuzionnogo tipa”, Zap. nauchn. semin. POMI, 328, 2005, 251–276 | MR | Zbl