Let {N(t), 1 0} be a nonhomogeneous Poisson process with intensity function (t), t 0. Let 7

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Let {N(t), 1 0} be a nonhomogeneous Poisson process with intensity function (t), t 0. Let 7 denote the time at which the nth event occurs Show that n = E = E [S, X di].

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Stochastic Processes

ISBN: 9780471120629

2nd Edition

Authors: Sheldon M. Ross

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