How to evaluate the following stochastic integral? 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


*

*http://en.wikipedia.org/wiki/Poisson_distribution

*http://en.wikipedia.org/wiki/Itō's_lemma

*http://en.wikipedia.org/wiki/Stochastic_calculus

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