Formula for the integration and differentiation of Levy process

Question

Ito lemma works for Wiener process only. What is the Ito lemma (or a generalized calculus rule) for the more general Levy process?

Could you please provide me some references?

I have checked something like http://www.applebaum.staff.shef.ac.uk/ovron1.pdf but it does not give the general equation.

Sorry if the problem is too beginner-ish.

Answer 1

Please refer to Th.4.4.7, p.251 of the book: D. Applebaum, Lévy Processes and Stochastic Calculus, 2nd Ed, Cambridge University Press, 2005.