Question
N(t) A compound Poisson process X is given by X(t) = Y n , where {N(t);t 0} is a Poisson process with rate and n=1
N(t)
A compound Poisson process X is given by X(t) = Yn , where {N(t);t 0} is a Poisson process with rate and
n=1
Y1, Y2, are i.i.d. random variables. Write for the moment generating function of Y1. Show that the moment generating function of X(t) has a solution expressible in (, t, ).
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Encyclopaedia Of General Topology
Authors: Md Mushtaque Khan
1st Edition
9353147530, 9789353147532
