Solution

ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2012/iii/paper-34/1/c/solution

The stopping-interval indicator is an elementary predictable process with stopping-time intervals. Its stochastic integral is
It is zero before , equals between and , and equals after . For a martingale with jumps, the jump at is excluded and the jump at is included, exactly as required by the half-open interval.

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