CompoundPoissonProcess

CompoundPoissonProcess[λ, jdist] represents a compound Poisson process with rate parameter λ and jump size distribution jdist.

Examples

Create a compound Poisson process:

proc = CompoundPoissonProcess[2, ExponentialDistribution[1]]

Sample a path:

RandomFunction[CompoundPoissonProcess[1, NormalDistribution[]], {0, 10}]

Please visit the official Wolfram Language Reference for more details.