Compound Poisson process: Difference between revisions

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{{Unreferenced|date=December 2009}}

A '''compound Poisson process''' is a continuous-time (random) [[stochastic process]] with jumps. The jumps arrive randomly according to a [[Poisson process]] and the size of the jumps is also random, with a specified probability distribution. A compound Poisson process, parameterised by a rate <math>\lambda\gt0 > 0</math> and jump size distribution ''G'', is a process <math>\{\,Y(t) : t \geq 0 \,\}</math> given by

:<math>Y(t) = \sum_{i=1}^{N(t)} D_i</math>