In this paper we develop a theory of second order connections with a view towards the associated stochastic calculus. Connections in principal fiber bundles are defined as sections of the tangent space of second order differential operators. We prove existence and uniqueness of stochastic horizontal lifts for semimartingales with respect to these connections. Finally, the parallel transport along semimartingales on the base space is studied. (c) 2005 Elsevier B.V. All rights reserved.56916371653