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Conditional probaiblity

  1. Jan 14, 2008 #1
    Let {Nt, t>0} be a Poisson process with arrival rate [tex]\lambda[/tex].
    Consider a process {Xt = exp(Nt-a*t, t>0}.
    How to calculate E[Xt|Xs] for 0<s<t.
     
  2. jcsd
  3. Jan 21, 2008 #2

    EnumaElish

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    By simulation?
     
  4. Jan 25, 2008 #3
    No. Analytically on paper.
     
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