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Allan
Posts:
1
From:
Portugal
Registered:
4/3/11


Stochastic processes  claim arrival process
Posted:
Apr 3, 2011 5:32 PM


Hey guys, I was doing some work on stochastic processes and came up with the following problem: N is a Poison(lambda) process and L is the arrival time of the last claim on the interval [0,t]. I have to calculate expected value E(tL). I was considering calculating E(L) first and subtracting it from t. As for L... I have no idea how to calculate it. Tried to work with conditional expectations but nothing good came of it. Can I expect that tL is also Poison(lambda) distributed? Any hints on this problem guys?



