随机过程--Chapter 2.pptVIP

* * Stochastic Processes Ma Shixiang HIT Shenzhen Graduate School Chapter 2 Poisson processes 2.1 Definition 2.2 Properties of Poisson processes 2.3 Nonhomogeneous Poisson processes 2.4 Compound Poisson processes 2.5 Filtered Poisson processes 2.1 Definition A counting process N ={N(t), t ?0} is a Poisson process with rate ? 0, if it possesses the following properties: N(0) = 0, It satisfies the stationary and independent increment properties P{N(h)=1}=?h+o(h) P{N(h) ? 2}=o(h) Definition 1 Consider a counting process N={N(t), t?0}, where N(t) denotes the number of arrivals in the interval (0,t]. 2.1 Definition Definition 2: The counting process {N(t), t?0} is said to be a Poisson process having arrival rate ?, ?0, if (a) N(0) = 0 (b) The process has independent increments (c) The number of events in any interval of length t is Poisson distributed with mean ?t. t?0 E[N(t)] = ?t (Eq.2-1-1) 2.2 Properties of Poisson processes Interarrival time distribution Let Sn denotes the epoch of the nth arrival of N and define S0=0. The interval time Xn= Sn-Sn-1, so Proposition(命题） 2.1: A Poisson process N={N(t), t?0} with rate ?, the interarrival time {Xn, n?1}are independently and identically distributed random variables, each following an exponential distribution with parameter ?. ( f(t)=?e-?t , t0, mean=1/? ) 2.2 Properties of Poisson processes Proof: {X1t} ? {N(t)=0} P{X1t} = P{N(t)=0} P{ X1? t} = 1- e-?t X1 follows an exponential distribution with parameter ? differentiating the two sides of equation with respect to t, We obtain the density of distribution of X1: = e-?t 2.2 Properties of Poisson processes P{X2t?X1=s} = P{0 event in (s, s+t]?X1=s} = P{0 event in (s, s+t]} (independent-increment) = P{0 event in (0, t]} (stationary-increment) = P{N(t)=0}= e-?t X2 follows an exponential distribution with parameter ?, and X1 and X2 are independent