Past exam of the mathematics course of the University of Cambridge / 2006 / iii / Paper 32 / 6 / b / ii

First derive the Laplace functional of a Poisson random measure. For a simple nonnegative $g={\sum }_j{t}_j{1}_{A_j}$ on disjoint finite-intensity sets, independent Poisson random variables giveIncreasing simple approximations, monotone convergence for the integrals, and bounded convergence theorem for the random exponentials prove the same identity for every nonnegative measurable $g$.

Here the intensity is Lebesgue measure. Put $A=B(0,r)$ andThe integral is finite because $f$ has compact support. Apply the Laplace functional of a Poisson random measure to $f+t{1}_A$, $t\ge 0$:Differentiate from the right at $t=0$. The difference quotient on the random side is dominated by $N_r$, which is integrable with mean $v_d{r}^d$; the intensity integral is over a finite-volume ball. We obtain the count-weighted Laplace functional of a Poisson random measure:At $r=0$, the ball is empty and both sides are zero.