So after playing with it for a while, here's the workaround that I found:
First of all, here's the example DF
id<-c(11,11,22,22,22)
dates<-as.Date(c('2013-11-15','2013-11-16','2013-11-15','2013-11-16','2013-11-17'), "%Y-%m-%d")
value <- c(10,15,20,21,3)
example<-as.DataFrame(data.frame(id=id,dates=dates, value))
I copy the example DF and add 1 day to the original date, then rename the column
example_p <- example
example_p$dates <- date_add(example_p$dates, 1)
colnames(example_p) <- c("id", "dates", "prev_value")
Finally, I merge the new DF to the original one
result <- select(merge(example, example_p, by = intersect(names(example),names(example_p))
, all.x = T), c("id_x", "dates_x", "value", "prev_value"))
showDF(result)
+----+----------+-----+----------+
|id_x| dates_x|value|prev_value|
+----+----------+-----+----------+
|22.0|2013-11-15| 20.0| null|
|11.0|2013-11-15| 10.0| null|
|11.0|2013-11-16| 15.0| 10.0|
|22.0|2013-11-16| 21.0| 20.0|
|22.0|2013-11-17| 3.0| 21.0|
+----+----------+-----+----------+
Obviously, this is somehow clumsy and I will be happy to give the points to anyone who can suggest a solution that would work faster than this.