Question: Let (Nt)t>=0 be a Poisson process with parameter > 0 and denote by S1, S2, . . . the corresponding arrival times. Moreover, let r

Let (Nt)t>=0 be a Poisson process with parameter > 0 and denote by S1, S2, . . . the corresponding arrival times. Moreover, let r be a positive number (r > 0).

Show that E [sum(1,Nt) of e^-r*Si] = (/r) (1 - e^(rt)

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