Moments of polynomial functionals of spectrally positive Lévy processes

Peter W. Glynn, Royi Jacobovic, Michel Mandjes

Let $J(\cdot )$ be a compound Poisson process with rate $\hat{I}»>0$ and a jumps distribution $G(\cdot )$ concentrated on $(0,\infty )$. In addition, let $V$ be a random variable which is d…