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2863概率中等derivationmedium

A Batch-Size Compound Poisson Desk Flow

题目

Trades arrive according to NPoisson(λ)N\sim\mathrm{Poisson}(\lambda). Each trade contributes a batch size BB taking values 0,1,20,1,2 with probabilities 1/2,1/3,1/61/2,1/3,1/6, independently across trades and from NN. Let \[ S=\sum_{k=1}^N B_k. \] Find the MGF of SS, and compute E[S]E[S] and Var(S)\mathrm{Var}(S).

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