Let $N_t$ denote a Poisson process with intensity λ > 0, and let $M_t = N_t − λt$ be the compensated martingale of N .
I want to verify that the process Y given by $Y_t = \int_{0}^{t} N_{s-} dM_s$ is a martingale by invocating a general theorem of stochastic analysis.
Thank you