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Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory.

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Power expectation involving a Poisson process

Consider a Poisson process $N_t$ with intensity $\lambda>0$ and let $x$ be a real-valued number. In principle, from the properties of the Poisson distribution, we have: \begin{align} \mathbb{E}(x^{N_t …
Daneel Olivaw's user avatar