Chapter 5
Part II
The Poisson Process
Stochastic processes
A stochastic process X(t) is a family of random variables
indexed by a time parameter t
An example of a stochastic process X(t)
a random variable for each fixed t
a sample path
X(t)
t time
Independent Increments
Independent Increments : A stochastic process X(t) is said to
have independent increments if X(t2) - X(t1) and X(t4)-X(t3)
are independent for any t1 < t2 < t3 < t4. (disjoint intervals)
Stationary Increments
Stationary Increments : A stochastic process X(t) is said to
have stationary increments if X(t2+s)-X(t1+s) and X(t2)-X(t1)
have the same distribution for all t1 < t2, s > 0. notice that the
two intervals may overlap.
Counting Processes
A stochastic process {N(t), t ≥ 0} is said to be a
counting process if N(t) represents the total
number of “events” that occur by time t (i.e., in the
time interval [0, t]).
Properties of counting
processes
A counting process satisfies the following properties.
(i) N(t) ≥ 0.
(ii) N(t) is integer valued.
(iii) If s < t, then N(s) ≤ N(t).
(iv) For s < t, N(t) – N(s) equals the number of events
that
occurs in the time interval (s, t].
Counting Processes
A stochastic process {N(t), t ≥ 0} is said to be a
counting process if N(t) represents the total
number of “events” that occur by time t (i.e., in
the time interval [0, t]).
Example 1: N(t) is the number of customers that
enter a store at or prior to time t. An event
corresponds to a person entering the store.
Example 2: N(t) is the number of individuals born at
or prior to time t. An event occurs whenever a child is
born.
Example 3: N(t) is the number of calls made to a
A counting process is said to possess independent
increments if the number of events that occur in
disjoint intervals are independent.
Example 1: The number of customers N(10) that
enter the store in the interval [0, 10] is
independent from the number of customers N(15) –
N(10) that enter the store in the interval (10, 15].
A counting process is said to possess stationary
increments if the distribution of the number of
events that occur in an interval depend only on
the length of the interval and not the starting time of
the interval.
Example 1: The number of customers N(t) – N(s) that
enter the store in the interval (s, t] does not
depend on s (this is true if there is not a particular
time of day where more customers enter the store).
Example
The Poisson processes
The counting process {N(t) t ≥ 0} is said to be a Poisson
process having rate , > 0, if
(i) N(0) = 0.
(ii) The process has independent increments.
(iii) The number of events in any interval of length t is
Poisson distributed with mean t. That is for all s, t ≥ 0
The Poisson Process: Demo
For some reason, you decide everyday at 3:00
PM to go to the bus stop and count the
number of buses that arrive. You record the
number of buses that have passed after 10
minutes
Sunday N (t=10
1st Bus min) = 2
2nd Bus 3rd Bus 4th Bus
Arrival Arrival Arrival Arrival
X1=5 min X2=4 min X3=7 min X4=2 min
time
t=0 S1 = 5 min S2 = 9 min S3 = 16 S4 = 18
min min
13
The Poisson Process:
Example
For some reason, you decide everyday at 3:00
PM to go to the bus stop and count the
number of buses that arrive. You record the
number of buses that have passed after 10
minutes
Monday N (t=10
1st Bus 2nd Bus min) =4
3rd Bus 4th Bus 5th Bus
Arrival Arrival Arrival Arrival Arrival
X1=1 minX2=2 min X3=4 min X4=2 min X5=6 min
time
t=0 S1 = 1 min S2 = 3 min S3 = 7 min S4 = 9 min S5 = 15
min
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The Poisson Process:
Example
For some reason, you decide everyday at 3:00
PM to go to the bus stop and count the
number of buses that arrive. You record the
number of buses that have passed after 10
minutes
Tuesday N (t=10
min) =1
1st Bus 2nd Bus
Arrival Arrival
X1=10 min X2=6 min
time
t=0 S1 = 10 S2 = 16
min min
15
The Poisson Process:
Example
Given that Xi follow an exponential distribution
then N(t=10) follows a Poisson Distribution
16
An equivalent definition
The counting process {N(t), t 0} is said to be a Poisson process
having rate λ, λ > 0, if
(i) N(0) = 0.
(ii) The process has stationary and independent increments.
(iii) P{N(h) = 1} = λh + o(h).
(iv) P{N(h) 2} = o(h).
Without the o(h) terms this will be exactly the Bernoulli process i.e. divide
interval t in the Poisson process into very large number of small intervals h
Proof of Definition 1 Definition 2
The distribution of interarrival
times
•Let Tn describe the time that elapses between (n-1)th
event and the nth event for n > 1 and let T1 be the time
of the first event.
•The sequence {Tn , n = 1, 2, ...} is called the sequence
of interarrival times.
Example: if T1 = 5 and T2 = 10 the first event arrives
at time t = 5 and event 2 occurs at time t = 15.
The distribution of interarrival
times
• P(T1 > t) = P(N(t) = 0) = e-t T1 has the exponential
distribution.
Since P(T2 > t|T1=s) = P(0 events in (s, s+t]|T1=s)
= P(0 events in (s, s+t]) “independent
increments”
= e- t “stationary increments”
•Thesame applies to other values of n Tn has the
exponential distribution.
The distribution of interarrival
times
Proposition 5.1 Let Tn denote the inter-arrival time
between the (n-1)th event and the nth event of a
Poisson process, then the Tn (n=1, 2, ...) are
independent, identically distributed exponential
random variables having mean 1/.
The Poisson Distribution
n * h p h
x n x
n
P ( X x) 1
x n n
n x
n! ( )
x
lim P( X x) lim x 1 1
n n x!( n x )! n n n
n x
( ) x
n! 1 ( ) x
lim x lim 1 lim 1 e
x! n (n x)! n n n n n x!
1 e 1
Total count by time n
Example
Properties of the Poisson process
1. Superposition of two independent Poisson processes with rate 1 and 2,
respectively, is a Poisson process with rate 1+2.
Show that!
Superposition
TV SOURCE 1
TV SOURCE 2
TV SOURCE n
SUPERPOSITION
[Superposition of n independent streams]
Properties of Poisson Process
2. Sampling a Poisson Process: from a Poisson process with
parameter if we select each arrival with probability p, then the
selected arrivals form a new Poisson process with parameter p.
Proof: see page 320
Example
Example
Poisson(1p+2(1-q))
Poisson(1) p
1-p
Poisson(2) 1-q
Poisson(1(1-p)+2q)
(which properties were used?)
Assignment due on Tuesday May 7, 2024
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Siméon Denis Poisson (1781-1840)
