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11. Let {N, : 0 > 0 and { W, : 0 S t s T} be a standard Wiener process defined on the probability space (2, F, P) with respect to the filtration F, 0 0. Let X1, X2, .. . be a sequence of independent and identically distributed random variables where each X;, i = 1, 2, ... has a probability mass (density) function P(X;) (f (X;)) under the P measure. Let X], X2, ... also be independent of N, and W. From the definition of the compound Poisson process M, = >X, OSIST i=1 we consider the Radon-Nikodym derivative process Z, = Z,") . z(2) such that e(1-n) no(X;) AP(X;) if X, is discrete, P(X;) > 0 Z) = e(a-m) nf@ (X;) if X; is continuous i=1 and where Q(X;) (fo(X;)) is the probability mass (density) function of X;, i = 1, 2, ... under the Q measure and EP (er /6 % du )