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A stochastic process is a collection of random variables usually indexed by a totally ordered set.
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votes
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answer
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Integral over a point process. Asymptotic of the dispersion
I consider an integral (or a sum with random index)
$$
M(t) =\int\limits_0^t f(t-u)dX(u),
$$
where
$$
X(u) = \sum\limits_{i=1}^{N(u)} \xi_i,\qquad N(u)=\max\{k: \tau_1+\,\dots,\,\tau_k\, <\, u\},
$$
…