21 The Exponential Distribution - Queens （21日指数分布女王）.pdf

21 The Exponential Distribution From Discrete-Time to Continuous-Time: In Chapter 6 of the text we will be considering Markov processes in con- tinuous time. In a sense, we already have a very good understanding of continuous-time Markov chains based on our theory for discrete-time Markov chains. For example, one way to describe a continuous-time Markov chain is to say that it is a discrete-time Markov chain, except that we explicitly model the times between transitions with contin- uous, positive-valued random variables and we explicity consider the process at any time t, not just at transition times. The single most important continuous distribution for building and understanding continuous-time Markov chains is the exponential dis- tribution, for reasons which we shall explore in this lecture. 177 178 21. THE EXPONENTIAL DISTRIBUTION The Exponential Distribution: A continuous random variable X is said to have an Exponential(λ) distribution if it has probability density function fX (x |λ) = λe−λx for x 0 , 0 for x ≤ 0 where λ 0 is called the rate of the distribution. In the study of continuous-time stochastic processes, the exponential distribution is usually used to model the time until something hap- pens in the process. The mean of the Exponential(λ) distribution is calculated using integration by parts as E [X] = 0 ∞ xλe−λxdx ∞ −λx ∞ −xe 1 −λx = λ + e dx