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Exponential formula for a marked Poisson sum
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Mathematics
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Probability and statistics
Probability theory
Poisson process
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Words: 45
Let
J
i
be the points of a rate-
λ
Poisson process and let independent identically distributed marks
X
i
be independent of the process. Then
E
exp
(
θ
∑
i
=
1
N
t
g
(
J
i
,
X
i
)
)
=
exp
{
λ
∫
0
t
(
E
e
θ
g
(
s
,
X
1
)
−
1
)
d
s
}
.
(47)
Condition on
N
t
, use uniform order statistics, and sum the resulting exponential series.
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Poisson process
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