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Nial Friel
Counting processes
Counting processes are increasing processes {Xt , t R+ } with
Xt N.
Nial Friel
Counting processes
Counting processes are increasing processes {Xt , t R+ } with
Xt N.
Notation
The idea is to count something over time (eg, the arrivals of
customers, ...) : Xt is the number of arrivals between time 0
and time t so naturally we set X0 = 0.
Nial Friel
Counting processes
Counting processes are increasing processes {Xt , t R+ } with
Xt N.
Notation
The idea is to count something over time (eg, the arrivals of
customers, ...) : Xt is the number of arrivals between time 0
and time t so naturally we set X0 = 0.
Let N(s,t] be the number of arrivals during the interval (s, t] :
N(s,t] = Xt Xs .
Note that Xt = N(0,t] .
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Poisson process
A Poisson process with intensity > 0 is a counting process
{Xt } with
1
independent increments ;
2
P(Xt+h Xt = 1) = h + o(h) when h 0 ;
3
P(Xt+h Xt > 1) = o(h) when h 0.
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About Poisson
Simon Denis Poisson (1781-1840), the French mathematician
and physicist, who received the Copley medal from the Royal
Society of London in 1832.
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Fundamental theorem
A reminder : the Poisson distribution
U P(`) for any k N,
`k `
P(U = k) = e .
k!
Then :
E(U) = Var(U) = `.
s
U P(`) for any s > 0, E e sU = e (e 1) .
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Fundamental theorem
A reminder : the Poisson distribution
U P(`) for any k N,
`k `
P(U = k) = e .
k!
Then :
E(U) = Var(U) = `.
s
U P(`) for any s > 0, E e sU = e (e 1) .
Theorem
Let {Xt } be a Poisson process with intensity and
N(s,t] = Xt Xs for s < t. Then
N(s,t] P((t s)).
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An immediate consequence
The arrival rate
The arrival rate between times s and t is :
Xt Xs
.
t s
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An immediate consequence
The arrival rate
The arrival rate between times s and t is :
Xt Xs
.
t s
Consequence of the theorem
For a Poisson process, the expected arrival rate is constant,
equal to :
Xt Xs
E
= .
t s
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Arrival times
Definition
Let S1 , S2 , ... be the arrival times :
Sk = inf{t 0 :
Xt = k}
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Arrival times
Definition
Let S1 , S2 , ... be the arrival times :
Sk = inf{t 0 :
Xt = k}
1Si t .
i=1
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Theorem
For any k 1, Sk (k, ) where we recall that the (k, )
distribution has density :
f (x) =
k x k1
e x .
(k)
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se s e (ts)
s
=
=
t
te
t
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se s e (ts)
s
=
=
t
te
t
in other words, L(S1 |Xt = 1) = U[0, t] the uniform
distribution on [0, t].
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1Si t,Mi =1 .
i=1
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1Si t,Mi =1 .
i=1
Theorem
Let {Xt } and {Yt } be two Poisson processes independent of
each other, with intensity given by and , respectively. Let
us put Zt = Xt + Yt .
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Theorem
Let {Xt } and {Yt } be two Poisson processes independent of
each other, with intensity given by and , respectively. Let
us put Zt = Xt + Yt . Then {Zt } is a Poisson process with
intensity + .
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Campbells Theorem
Campbells Theorem
For a Poisson process {Xt } with arrival times S1 , S2 , ... and
for any function f integrable on [0, t], we have
"X
#
Z t
t
X
f (Si ) =
f (s)ds.
E
0
i=1
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i=1
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Xt
X
Mi e (tSi ) .
i=1
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Xt
X
Mi e (tSi ) .
i=1
0
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