Nonlinear stochastic integrals for hyperfinite Lévy processes

We develop a notion of nonlinear stochastic integrals for hyperfinite Lévy processes, and use it to find exact formulas for expressions which are intuitively of the form Pt s=0 φ(ω, dls, s) and Qt s=0 ψ(ω, dls, s), where l is a Lévy process. These formulas are then applied to geometric Lévy processes, infinitesimal transformations of hyperfinite Lévy processes, and to minimal martingale measures. Some of the central concepts and results are closely related to those found in S. Cohen’s work on stochastic calculus for processes with jumps on manifolds, and the paper may be regarded as a reworking of his ideas in a different setting and with totally different techniques.