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Math Help - Calculating Variance - Poisson process

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    Calculating Variance - Poisson process

    Given an inhomogenous Poisson process with a given intensity lambda(t) we have a varaiable N_t which is the random number of events in a given interval. I want to calculate Var(N_t) but dont know how do that? E(N_t) is simple, one just integrates lambda over the desired interval.
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    Quote Originally Posted by Zogru11 View Post
    Given an inhomogenous Poisson process with a given intensity lambda(t) we have a varaiable N_t which is the random number of events in a given interval. I want to calculate Var(N_t) but dont know how do that? E(N_t) is simple, one just integrates lambda over the desired interval.
    If you calculate the moment generating function, you could then do \displaystyle\text{Var}=\frac{d^2M(t)}{dt^2}-\left(\frac{dM(t)}{dt}\right)^2
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