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Hi,

Is a left-continuous compensated poisson process a martingale under its natural filtration?

And what about the right-continuous version of its filtration? (My guess is no)

Thanks,

Johannes

share|improve this question
    
What Shai said. Also, this is better suited to one of the sites in the FAQ. –  Steve Huntsman Nov 23 '10 at 14:04
    
Sorry I edited the question into "compensated poisson process" –  Johannes Nov 23 '10 at 16:18
    
OK, I delete my previous comment. –  Shai Covo Nov 23 '10 at 16:50

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