I have an non-Gaussian Ornstein Uhlenbeck process in the framework of Barndorff-Nielsen and Shephard (2001, 2003)
$d\sigma^2(t)=-\lambda\sigma^2(t)dt+dz(\lambda t)$
where $z(t)$ is a Levy jump process with stationary.
I want to compute $d\ln\sigma^2(t)$, but I don't know how to apply Ito formula for Levy process with jump.
I appreciate if someone can help me out.
Thanks in advance.