Calculating Conditional Probability for Poisson Processes

Thread starter gradnu
Start date Jan 14, 2008
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Conditional

Jan 14, 2008

gradnu

Let {Nt, t>0} be a Poisson process with arrival rate \lambda.
Consider a process {Xt = exp(Nt-a*t, t>0}.
How to calculate E[Xt|Xs] for 0<s<t.

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EnumaElish

Science Advisor

By simulation?

Jan 25, 2008

gradnu

No. Analytically on paper.

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