Let X(t) be a Poisson Process and $f\geq0$. Show that $E[e^{-\sum_{n=1}^{\infty}f(W_n)}]=e^{-\lambda \int_0^\infty(1-e^{-f(t)})dt}$
($W_n$ is the time of the nth ocurrence in the Poisson Process)
Any suggestions on where to begin? This is an optional problem of my introductory Stochastic Processes class, so maybe is a bit too theoretical for me, but at least I would like to see how to solve it.