[Math] How to evaluate the following stochastic integral

probability distributionsstochastic-integralsstochastic-processes

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

Best Answer

You can see this book Introduction to Stochastic Integration p.109 and following; example 7.6.3 answers your question.

Sorry for my english.

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