Martingale compound Poisson process
= Martingale compound Poisson process
A compound Poisson process with rate $\lambda$ and mark $Y$ is a <martingale> exactly when $\mathbb E|Y|<\infty$ and $\mathbb E Y=0$.
= Martingale compound Poisson process
A compound Poisson process with rate $\lambda$ and mark $Y$ is a <martingale> exactly when $\mathbb E|Y|<\infty$ and $\mathbb E Y=0$.