We use the Functional Ito Calculus to develop a stochastic Taylor formula and a chaos
expansion for functionals of a continuous square-integrable martingale. Given a continuous
square-integrable martingale X, we define Sobolev spaces of non-anticipative functionals using
the concept of weak vertical and horizontal derivatives developed in the functional Itˆo calculus.
We then show that any functional in these Sobolev spaces may be expanded as a sum of
multiple Ito integrals, with integrands expressed in terms of horizontal and vertical derivatives
of the process. This result extends the well-known Wiener-Ito decomposition beyond the
Gaussian setting, to functionals of a continuous square-integrable martingale, with the n-th
homogeneous chaos replaced by a space of n-fold iterated Ito integrals with respect to X.