Weak convergence of processes in D(R) and compensation of point processes (Q1078912)

The following problem was posed by C. Herz: Let \((X^{(n)},{\mathcal F}_*^{(n)},{\mathcal F},P)_{n\geq 1}\) be a sequence of \({\mathbb{R}}\)-valued submartingales with minimal filtration \({\mathcal F}_*^{(n)}=\{\sigma (\{X^{(n)}(s)| \quad s\leq t\})\}_{t\geq 0},\) such that almost all trajectories are right continuous and have left limits and let \((A^{(n)},{\mathcal F}_*^{(n)},{\mathcal F},P)_{n\geq 1}\) be their Doob- Meyer-compensators. Assume that \(X^{(n)}\Rightarrow X\) and \(A^{(n)}\Rightarrow A\), where ''\(\Rightarrow ''\) denotes weak convergence. Can one conclude, that A and the Doob-Meyer-compensator of (X,\({\mathcal F}_*,{\mathcal F},P)\) have the same distribution ? As it is shown by a counterexample, the answer to this question is negative. Now one can ask, whether it is possible to find an enlargement \({\mathcal F}_*'\) of the minimal filtration \({\mathcal F}_*\) of X such that A and the Doob-Meyer-compensator of (X,\({\mathcal F}_*',{\mathcal F},P)\) have the same distribution. The main purpose of this paper is to give an answer to this question in the case of point processes.