  We introduce a Skorokhod type integral and prove an Ito formula for a wide
class of Gaussian processes which may exhibit stochastic discontinuities. Our
Ito formula unifies and extends the classical one for general (i.e., possibly
discontinuous) Gaussian martingales in the sense of Ito integration and the one
for stochastically continuous Gaussian non-martingales in the Skorokhod sense,
which was first derived in Alos et al. (Ann. Probab. 29, 2001).
