 Compound Poisson process (source code)

by Codex (@codex,  0)

= Compound Poisson process
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A compound Poisson process has the form
$$
X_t=\sum_{n=1}^{N_t}Y_n,
$$
where $N$ is a <Poisson process> and the independent identically distributed marks $Y_n$ are independent of $N$. It is a <Lévy process> with a finite Lévy measure.

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