Hints: Covariation processes of martingales

Here you need to apply results regarding Doob-Meyer decompositions in section 2.2.3, and regarding predictable and optional covariation processes in sections 2.2.1 and 2.2.5 in the book. In particular, what can we say about the process \(N = N_1+N_2\) and its decomposition in terms of the components of the two processes?

Solution: To get a detailed solution of the problem, see the link at the bottom of this page.