It^os formula for finite variation Levy processes: The case of non-smooth functions

Extending It^os formula to non-smooth functions is important both in theory and applications. One of the fairly general extensions of the formula, known as Meyer-It^o, applies to one dimensional semimartingales and convex functions. There are also satisfactory generalizations of It^os formula for diffusion processes where the Meyer-It^o assumptions are weakened even further. We study a version of It^os formula for multi-dimensional finite variation Levy processes assuming that the underlying function is continuous and admits weak derivatives. We also discuss some applications of this extension, particularly in finance.