Chapter1PoissonProcesses-NewYorkUniversity.pdfVIP

Chapter 1 Poisson Processes 1.1 The Basic Poisson Process The Poisson Process is basically a counting processs. A Poisson Process on the interval [0 , ∞) counts the number of times some primitive event has occurred during the time interval [0 , t]. The following assumptions are made about the ‘Process’ N (t). (i). The distribution of N (t + h) − N (t) is the same for each h 0, i.e. is independent of t. ′ (ii). The random variables N (t ) − N (t ) are mutually independent if the j j intervals [tj , t′ ] are nonoverlapping. j (iii). N (0) = 0, N (t) is integer valued, right continuous and nondecreasing in t, with Probability 1. (iv). P [N (t + h) − N (t) ≥ 2 ] = P [N (h) ≥ 2 ] = o(h) as h → 0. Theorem 1.1. Under the above assumptions, the process N () has the fol- lowing additional properties. (1). With probability 1, N (t) is a step function that increases in steps of size 1. (2). There exists a number λ ≥ 0 such that the distribution of N (t+s)−N (s) has a Poisson distribution with parameter λ t. 1 2 CHAPTER 1. POISSON PROCESSES (3). The gaps τ , τ , between successive jumps are independent identically 1 2 distributed random variables with the exponential distribution P {τj ≥ x} = exp[−λ x] for x ≥ 0 (1.1) 1 for x ≤ 0 Proof. Let us divide the interval [0 , T] into n equal parts and compute the expected number of intervals with N ((k+1)T ) − N (kT ) ≥ 2. This expected n n value is equal to