Problems and Solutions in Mathematical Finance: Stochastic Calculus, Volume I

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11. Let $c05-math-1552$ be a Poisson process with intensity $c05-math-1553$ and $c05-math-1554$ be a standard Wiener process defined on the probability space $c05-math-1555$ with respect tothe filtration $c05-math-1556$ , $c05-math-1557$ . Suppose $c05-math-1558$ is an adapted process, $c05-math-1559$ and $c05-math-1560$ . Let $c05-math-1561$ be a sequence of independent and identically distributed random variables where each $c05-math-1562$ , $c05-math-1563$ has a probability mass ...

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