Itô's Formula for Itô processes defined with respect to a cylindrical-martingale valued measure

Abstract: Using the theory of stochastic integration developed recently by the authors, in this paper we prove an It^{o} formula for Hilbert space-valued It^{o} processes defined with respect to a cylindrical-martingale valued measure. As part of our study, we develop some tools from stochastic analysis as are the predictable and optional quadratic variation of the stochastic integral, the continuous and purely discontinuous parts of the integral process, and a Riemann representation formula. Finally, as an application of It^{o}'s formula we prove a Burkholder inequality for the stochastic integral defined with respect to a cylindrical-martingale valued measure.