A compound Poisson process is a continuous-time (random) stochastic process with jumps. The jumps arrive randomly according to a Poisson process and the size of the jumps is also random, with a specified probability distribution. A compound Poisson process, parameterised by a rate and jump size distribution G, is a process given by where, is a counting of a Poisson process with rate , and are independent and identically distributed random variables, with distribution function G, which are also independent of When are non-negative integer-valued random variables, then this compound Poisson process is known as a stuttering Poisson process. Properties of the compound Poisson process The expected value of a compound Poisson process can be calculated using a result known as Wald's equation as: Making similar use of the law of total variance, the variance can be calculated as: Lastly, using the law of total probability, the moment generating function can be given as follows: Exponentiation of measures Let N, Y, and D be as above. Let μ be the probability measure according to which D is distributed, i.e. Let δ0 be the trivial probability distribution putting all of the mass at zero. Then the probability distribution of Y(t) is the measure where the exponential exp(ν) of a finite measure ν on Borel subsets of the real line is defined by and is a convolution of measures, and the series converges weakly. See also Poisson process Poisson distribution Compound Poisson distribution Non-homogeneous Poisson process Campbell's formula for the moment generating function of a compound Poisson process Poisson point processes Lévy processes de:Poisson-Prozess#Zusammengesetzte Poisson-Prozesse