电子讲义-3Poisson过程与更新过程.pdfVIP

℄ Poisson Poisson     Poisson Markov ℄ Poisson   §3.1 Poisson §3.2 Poisson §3.3 Poisson §3.4 §3.1 Poisson ℄ Poisson  t α− 3.1.1 (Ω, F, P ) ξ = {ξ (t), t ∈ [0, ∞)} Æ (counting process), (i) ξ (0) = 0; (ii) t ∈ [0, ∞),ξ (t) (iii) s t, s, t ∈ [0, ∞), ξ (t) − ξ (s) ≥ 0. Poisson  Poisson (Poisson event). 3.1.2 (Ω, F, P ) N = {N (t), t ∈ [0, ∞)} λ Poisson (Poisson process), (P1) N 60 Poisson (P2) s, t ∈ [0, ∞), s t, e−λ(t−s) [λ(t − s)]k P (N (t) − N (s) = k) = , k = 0, 1, 2, · · · . (3.1.1) k! 3.1.1 Poisson (1) γ– N (t) (0, t] N = {N (t), t ≥ 0} Poisson (2) ℄ (0, t] N (t) Poisson (3) Poisson N = {N (t), t ∈ T } t Poisson ( λ(t) = λt, t ). (Petrie) Poisson t ℄ Poisson t (4)  ℄   Æ Poisson + 2 + {N (t), t ∈ T }, t T = R ×R t = (s, x),s ∈ R 2 x ∈ R ℄ {N (t), t ∈ T } – 3.1.2 (3.1.1) Poisson ( 3.4.4 6.4.4). 3.1.3 (Ω, F, P ) N = {N (t), t ∈ [0, ∞)} λ Poisson , 61 (P1)′ N (P2)′ N (P3)′ t, h ∈ [0, ∞), s t, P (N (t + h) − N (t) = 1) =λh + o(h), (3.1.2) P (N (t + h) − N (t) ≥ 2) =o(h). (3.1.3) o(h) h lim o(h) = 0. h h→0 3.1.4 Poisson 3.1.2 3.1.3