Compound Poisson process: Difference between revisions

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==Properties of the compound Poisson process==

Using [[law of total expectation|conditional expectation]], the [[expected value]] of a compound Poisson process can be calculated using a result known as [[Wald's equation]] as:

:<math>\,E(Y(t)) = E(E(Y(t)|N(t))) = E(N(t)E(D)) = E(N(t))E(D) = \lambda t E(D).</math>