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38 A mixed Poisson process, also called a Cox process or doubly stochastic process,arises from a Poisson process where the parameter Λ is itself a random variable.If (Nt)t ≥ 0 is a mixed Poisson process, then the conditional distribution of Ntgiven Λ = λ is Poisson with parameter λ t. Assume that for such a process Λhas an exponential distribution with parameter μ. Find the probability massfunction of Nt.
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