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Quantitative Finance · Glossary

What is Compensated Poisson process?

Definition 6.2 Quantitative Methods · Chapter 6 — Jump Processes

The compensated Poisson process is N~t=Nt−λt\tilde N_t = N_t - \lambda t; for a compound Poisson process, Jt−λE[Y]tJ_t - \lambda\E[Y]t.

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