lostpassword_url is a filter applied to the URL returned by the function wp_lostpassword_url(), allowing you to have that function direct users to a specific (different) URL for retrieving a lost password.
The following example would return a lost password URL http://example.com/lostpassword/ for the wp_lostpassword_url() function:
add_filter( 'lostpassword_url', 'my_lost_password_page', 10, 2 );
function my_lost_password_page( $lostpassword_url, $redirect ) {
return home_url( '/lostpassword/?redirect_to=' . $redirect );
}
Since Version 2.8
lostpassword_url is located in wp-includes/general-template.php