Let {Nt, t>0} be a Poisson process with arrival rate [tex]\lambda[/tex].(adsbygoogle = window.adsbygoogle || []).push({});

Consider a process {Xt = exp(Nt-a*t, t>0}.

How to calculate E[Xt|Xs] for 0<s<t.

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# Conditional probaiblity

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