Quote:
Originally Posted by Myrmidon7328
What's the quadratic mean of a Poisson Process?
I went to wikipedia and checked out a few library books about probability theory, but I'm really confused about how to calculate it and get a non-zero answer. I'm not asking for a solution, but I'm totally stumped right at the beginning.
So here is what I have so far:
The quadratic variation is the sum of all [N_t_(i+1)-N_t_i]^2, with the max |N_t_(i+1)-N_t_i| --> 0.
Since poisson distributions are independent, and we want to find N(t), partition the interval [0,t] to n subintervals. Let h = max |N_t_(i+1)-N_t_i|. So, since I'm taking the limit as h becomes arbitarily tiny, I can rewrite this sum as n*(E(N_h))^2 right? But then, I get n*(lam*(1\n))^2, which goes to zero. This can't be right, so I must have made at least one error here right?
EDIT: In my OP, I should have said quadratic variation obv.