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IV: 09, 77-107, LNM 124 (1970)
DOLÉANS-DADE, Catherine; MEYER, Paul-André
Intégrales stochastiques par rapport aux martingales locales (Martingale theory, Stochastic calculus)
This is a continuation of Meyer 106, with a new complete exposition of the theory, and two substantial improvements: the filtration is general (while in 106 it was assumed free of fixed times of discontinuity) and the definition of semimartingales is the modern one (while in 106 they were the special semimartingales of nowadays). The change of variables formula is given in its full generality
Comment: The results of this paper have become classical, and are reproduced almost literally in Meyer 1017
Keywords: Local martingales, Stochastic integrals, Change of variable formula
Nature: Original
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