In this paper we show that a path-wise solution to the following integral equationYt = ∫0t  f(Yt) dXt,     Y0 = a ∈ Rd,exists under the assumption that Xt is a Lévy process of finite p-variation for some p ≥ 1 and that f is an α-Lipschitz function for some α > p. We examine two types of solution, determined by the solution's behaviour at jump times of the process X, one we call geometric, the other forward. The geometric solution is obtained by adding fictitious time and solving an associated...

Clarke’s generalized derivative $f^0(x,v)$ is studied as a function on the Banach algebra Lip(X,d) of bounded Lipschitz functions f defined on an open subset X of a normed vector space E. For fixed $x\in X$ and fixed $v\in E$ the function $f^0(x,v)$ is continuous and sublinear in $f\in Lip(X,d)$. It is shown that all linear functionals in the support set of this continuous sublinear function satisfy Leibniz’s product rule and are thus point derivations. A characterization of the support set in terms of point derivations is given.