- 12. Compound Poisson Process. Let
be a Poisson process with intensity 
defined on the probability space 
with respect to the filtration 
, and let 
be a sequence of independent and identically distributed random variables with common mean 
and variance 
. Let 
be independent of 
. By defining the compound Poisson process 
as
show that the moment generating function for is
where .
Further, show that ...
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