Let P1 and P2 be two independent Poisson processes with the same parameter. Let and let be the minimal augmented filtration for X. Find a bounded mean zero random variable Y that is F1 measurable...

Let P₁
and P₂
be two independent Poisson processes with the same parameter.

Let

and let

be the minimal augmented filtration for X. Find a bounded mean zero random variable Y that is F₁
measurable which does not satisfy

for any predictable process H.

Chapter 18