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How to evaluate the following stochastic integral?

$$\int_0^t M_{s^-}^2 dM_s$$

where $M_t = N_t - \lambda t$ is a compensated Poisson process.

I tried to apply Ito's formula to $M_t^2$ but still cannot solve it. Any help appreciated.

References

  • 0
    Hi what do you mean exactly when you say "solve"?2011-05-09
  • 0
    is this question still actual for you?2011-06-10

3 Answers 3