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Problems and Solutions in Mathematical Finance: Stochastic Calculus, Volume I by Eric Chin, Sverrir Olafsson, Dian Nel

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  1. 5. Let c05-math-1217 be a Poisson process with intensity c05-math-1218 defined on the probability space c05-math-1219 with respect to the filtration c05-math-1220, c05-math-1221. Suppose c05-math-1222 is an adapted process, c05-math-1223 and c05-math-1224. We consider the Radon–Nikodým derivative process
    equation

    such that

    equation

    and

    equation

    By changing the measure c05-math-1225 to measure such that

    show that, under the measure,

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