The aim of this paper is to generalize two important results known for the Stratonovich and Itô integrals to any stochastic integral obtained as limit of Riemann sums with arbitrary evaluating point: the ordinary chain rule for certain nonlinear functions of the Brownian motion and the...

In this paper, we use the formula for the Itô–Wiener expansion of the solution of the stochastic differential equation proven by Krylov and Veretennikov to obtain several results concerning some properties of this expansion. Our main goal is to study the Itô–Wiener expansion of the local...