I have a Poisson process $X_t$ for $t\ge0$. How I can find a process $b_t$ such that $$\exp ({\alpha X_t})=1+\int_0^t b_{s^{-}}dX_s$$ where $\alpha\in\mathbb{R}$ and what would be the expectation of $\exp ({\alpha X_t})$. The last question is how i can find expectation and variance of this process $\int_0^t \exp(\alpha X_{s^-})dX_s.$
Thanks.