Is Ito’s lemma also valid with stopped integrals

brownian motionstochastic-calculusstochastic-integralsstochastic-processesstopping-times

Consider Ito's lemma in the following standard version
$$h(W_t) = h(W_0) + \int_0^t \nabla h(W_s) dW_s + \frac{1}{2} \int_0^t \Delta h(W_s) ds.$$

I am asking myself under which conditions, the deterministic time $t$ can be replaced by $t \wedge \tau$, where $\tau$ is a stopping time. Does anybody have an idea?

Best Answer

If (as is customary) the stochastic integral is understood to be continuous in $t$ (a.s.) then the equality holds for all $t$ simultaneously, with probability 1. As such, $t$ can be replaced throughout by any non-negative random variable and the a.s. equality will persist.