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Lec25 1121

The document discusses exponential random variables and Poisson processes. It defines the exponential distribution and shows that the memoryless property leads to this distribution. It then introduces the Poisson process, defining it as a counting process where the times between events are independent and exponentially distributed. Key properties are that the number of events in an interval is Poisson distributed and the process has independent and stationary increments.

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56 views12 pages

Lec25 1121

The document discusses exponential random variables and Poisson processes. It defines the exponential distribution and shows that the memoryless property leads to this distribution. It then introduces the Poisson process, defining it as a counting process where the times between events are independent and exponentially distributed. Key properties are that the number of events in an interval is Poisson distributed and the process has independent and stationary increments.

Uploaded by

aqszaqsz
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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Last Time

• Continuous time Markov processes


• Transition probability functions
• Functions of Markov processes
• Strong Markov property

Today’s lecture: Section 6.2

MATH136/STAT219 Lecture 25, November 21, 2008 – p. 1/12


Exponential Random Variables

• A RV X has an exponential distribution with parameter


λ > 0 (X ∼ Exp(λ)) if for all x ≥ 0,

IP (X > x) = e−λx

• Memoryless property : If X has an exponential distribution


then

IP (X > x + y|X > y) = IP (X > x) for all x, y ≥ 0

• If a continuous RV has the memoryless property, then the


RV has an exponential distribution
• If X1 , X2 , . . . are i.i.d. Exp(λ) then T = X1 + · · · + Xn has a
Gamma(n, λ) distribution with density

λe−λt (λt)n−1
fT (t) = , t≥0
(n − 1)!
MATH136/STAT219 Lecture 25, November 21, 2008 – p. 2/12
Poisson Process

• Let X1 , X2 , . . . be i.i.d. Exp(λ) random variables


• Let T0 = 0 and Tn = X1 + · · · + Xn , n = 1, 2, . . .
• A Poisson process with rate (or intensity) λ is the
continuous time stochastic process {N (t), t ≥ 0}, where

N (t) = sup{n ≥ 0 : Tn ≤ t} for t ≥ 0


• Interpretation:
◦ Xi are the times between occurrences of some event
◦ Tn is the time of the nth occurrence of the event
◦ N (t) counts the number of occurrences of the event in
the time interval [0, t]

MATH136/STAT219 Lecture 25, November 21, 2008 – p. 3/12


Illustration: Poisson Process Sample Path

3
N(t)

0
0
T1 T2 T3 T4

MATH136/STAT219 Lecture 25, November 21, 2008 – p. 4/12


Counting Process

A continuous time stochastic process {N (t), t ≥ 0} is a counting


process if
• N (0) = 0
• Sample paths of {N (t), t ≥ 0} are piecewise constant
• Sample paths of {N (t), t ≥ 0} are nondecreasing
• Sample paths of {N (t), t ≥ 0} are right-continuous
• All jump discontinuities are of size one and there are
infinitely many of them
• A counting process has state space S = {0, 1, 2, . . .}

MATH136/STAT219 Lecture 25, November 21, 2008 – p. 5/12


Counting Process: Jump Times

Associated with each sample path of a counting process


{N (t), t ≥ 0} are the jump times 0 = T0 < T1 < T2 < · · · , which
satisfy

Tn = inf{t ≥ 0 : N (t) ≥ n}, n = 0, 1, 2, . . . ,

or equivalently

N (t) = sup{n ≥ 0 : Tn ≤ t}, t ≥ 0

In particular, for any t ≥ 0, n = 0, 1, 2, . . .

N (t) = n if and only if Tn ≤ t < Tn+1

MATH136/STAT219 Lecture 25, November 21, 2008 – p. 6/12


Basic Properties of Poisson Processes

Let {N (t), t ≥ 0} be a Poisson process. Then:


• {N (t), t ≥ 0} is a counting process
• N (t) < ∞ a.s. for all t ≥ 0 and N (t) → ∞ as t → ∞ a.s.
• For each t ≥ 0, N (t) has a Poisson distribution with
parameter λt, i.e.

e−λt (λt)n
IP (N (t) = n) = , n = 0, 1, 2, . . .
n!
• For each t > s ≥ 0, N (t) − N (s) has a Poisson distribution
with parameter λ(t − s)

MATH136/STAT219 Lecture 25, November 21, 2008 – p. 7/12


Poisson Process: Equivalent Definition 1

A counting process {N (t), t ≥ 0} is a Poisson process if and


only if
• {N (t), t ≥ 0} has independent increments, and
• {N (t), t ≥ 0} has stationary increments
Furthermore, there exists λ > 0 such that for all t > s ≥ 0,
N (t) − N (s) has a Poisson distribution with parameter λ(t − s)

MATH136/STAT219 Lecture 25, November 21, 2008 – p. 8/12


Poisson Process: Equivalent Definition 2

• Let {N (t), t ≥ 0} be a counting process and let X1 , X2 , . . .


be the RV’s representing the times between jumps
• {N (t), t ≥ 0} is a Poisson process with rate λ if and only if
X1 , X2 , . . . are i.i.d. Exp(λ) random variables
• In particular, if Tn = X1 + · · · Xn then Tn has a Gamma
distribution with parameters n and λ

MATH136/STAT219 Lecture 25, November 21, 2008 – p. 9/12


Poisson Process: Equivalent Definition 3

A counting process {N (t), t ≥ 0} is a Poisson process with rate


λ if and only if
• {N (t), t ≥ 0} is continuous in probability
• For any positive integer k , 0 < t1 < · · · < tk , and
nonnegative integers n1 , n2 , . . . nk , and h > 0, both

IP (N (tk + h) − N (tk ) = 1|N (tj ) = nj , j ≤ k) = λh + o(h), and


IP (N (tk + h) − N (tk ) ≥ 2|N (tj ) = nj , j ≤ k) = o(h)

Notation: o(h) denotes a function g(h) which satisfies

g(h)
→ 0 as h ↓ 0
h

MATH136/STAT219 Lecture 25, November 21, 2008 – p. 10/12


Markov Property of Poisson Process

• Let {N (t), t ≥ 0} be a Poisson process with rate λ


• Then {N (t), t ≥ 0} is a homogenous Markov process with
• State space: S = {0, 1, 2, . . .}
• Initial distribution: π({0}) = 1
• Stationary transition probability function:

e−λt (λt)k
pt (n + k|n) = , t ≥ 0, n, k = 0, 1, 2, . . .
k!
• A Poisson process is a strong Markov process

MATH136/STAT219 Lecture 25, November 21, 2008 – p. 11/12


Compensated Poisson Process

• Let {N (t), t ≥ 0} be a Poisson process with rate λ


• Let {Ft } be the canonical filtration of N
• Define M (t) = N (t) − λt
• The process {M (t), t ≥ 0} is called a compensated Poisson
process
• {M (t), Ft } is a martingale
• {M 2 (t) − λt, Ft } is a martingale

MATH136/STAT219 Lecture 25, November 21, 2008 – p. 12/12

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