Conditional probaiblity

  • Thread starter gradnu
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  • #1
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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.
 

Answers and Replies

  • #2
EnumaElish
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By simulation?
 
  • #3
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No. Analytically on paper.
 

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