Distributionshard
0:00.0

Consider a compound Poisson process St=i=1NtXiS_t = \sum_{i=1}^{N_t} X_i, where NtPoisson(λt)N_t \sim \text{Poisson}(\lambda t) and XiExp(β)X_i \sim \text{Exp}(\beta). What is the variance of StS_t?