We consider rough paths with jumps. In particular, the analogue of Lyons’ extension theorem and rough integration are established in a jump setting, offering a pathwise view on stochastic integration against càdlàg processes. A class of Lévy rough paths is introduced and characterized by a sub-ellipticity condition on the left-invariant diffusion vector fields and a certain integrability property of the Carnot–Caratheodory norm with respect to the Lévy measure on the group, using Hunt’s framework of Lie group valued Lévy processes. Examples of Lévy rough paths include a standard multi-dimensional Lévy process enhanced with a stochastic area as constructed by D. Williams, the pure area Poisson process and Brownian motion in a magnetic field. An explicit formula for the expected signature is given.
"General rough integration, Lévy rough paths and a Lévy–Kintchine-type formula." Ann. Probab. 45 (4) 2707 - 2765, July 2017. https://doi.org/10.1214/16-AOP1123