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poisson process

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Let P be a random countable subset of S and for any A S let N (A) be the number of points in A P . A Poisson process P on S is a random countable subset of S such that 1. for any disjoint subsets A1 , A2 , . . . , An of S , N (A1 ), N (A2 ), . . . , N (An ) are independent and 2. N (A) has a Poisson distribution for each subset A of S In item 2 above, the parameter for N (A) depends on the set A. We call the parameter (A). If (A) = 0 then P (A P ) = 0) = 1. That is, no points of P land in A with probability 1. If (A) = then with probability 1 innitely many points in P land in A with probability 1. If (A) is between 0 and then the number of points of P that land in A has the Poisson distribution with parameter (A). Suppose A1 and A2 are disjoint sets in S so that A1 A2 = . Then N (A1 ) + N (A2 ) = N (A1 A2 ). Likewise, if A1 , A2 , . . . are a disjoint sequence of subsets of S then

N (Ai ) = N

i=1 i=1

Ai

(Ai ) =

i=1 i=1

Ai

Often a Poisson process has an intensity function (also known as a rate function). This is a function such that (x) 0 for all x S . If P is a Poisson process in Rd with intensity , then for any A Rd we have (A) =

A

(x)dx

where x = (x1 , x2 , . . . , xd ). The term rate function is often used when d = 1. This is the case most of you are probably more familiar with. For example, let d = 1 and (x) = is a constant if x 0 and (x) = 0 if x < 0. What is the distribution of points that occur in the interval [1, 3]? The mean number of points that will appear in [1, 3] is

3 0 3

([1, 3]) =

1

(x)dx =

1

0dx +

0

dx = 3.

Then the distribution is Poisson with mean 3 or P (N ([1, 3]) = k ) = (3)k e3 for k 0. k!

This could represent the number of customers that arrive in a queue or the number of phone calls made in the future as long as the rate is constant. The reason I set (x) = 0 if x < 0 is that we only want to consider positive time. Note that for any interval [a, b] with a > 0 we have N ([a, b]) is Poisson with mean (b a). This is the example you rst learn about and we will revisit it later.

In general, (x) = is a constant then the Poisson process is called a uniform or homogeneous Poisson process. For any set A, the mean number of points that land in A is (A) = Area(A). Example: Let P be a Poisson process in R2 with intensity measure (x, y ) = |x| + |y |. What is the average number of points that lie in the square whose corners are (1, 1), (1, 1), (1, 1), (1, 1)? Let A represent the square. The average number of points that land in A is

1 1

(A) =

A

(x, y )d(x, y ) = 4

0 0

(x + y )dxdy = 4.

Example: Suppose a new product is being released which is initially popular but quickly becomes standard. We will let P be a set of points on the interval [0, ) which represent the times at which the product is purchased. The company is expecting to sell the product at a rate of 2000 per day initially and sales will drop to an average of 50 per day over time so that P has rate (t) = 1950et + 50 where t is in days. How many customers does the company expect to have in the rst week? In the second week? According to this model, what is the distribution for the time at which the company sells their 100th unit of this product? The expected number of customers in the rst week is

7

0

1

7

Let Z represent the time at which the 100th unit is sold. The distribution of Z is given by P (Z t) for t 0. For Z t to occur, there must be 100 or more units sold by time t. That is, {Z t} = {N ([0, t]) 100}. Using this we compute

k=100

P (N ([0, t]) = k ).

The random variable N ([0, t]) has a Poisson distribution with mean 1950(1 et )+50t. Therefore, for a xed t, the probability that 100 units have been sold by time t is (1950(1 et ) + 50t)k e1950(1e P (Z t) = k! k=100

t )+50t

There is not a convenient way to simplify this formula but it could be computed for any given t. Break We now turn our attention to some of the main theorems about Poisson processes. The rst is called the superposition theorem. This theorem essentially says that if we combine the points of two Poisson processes we get a new Poisson process. For example, suppose that a store has 4 queues. At three of the queues customers buy clothes and returns are made at a fourth queue. Each queue may be represented as a Poisson process. We now wish to model the total number of customer transactions. Assuming the number of customers that arrive in each line is independent, the superposition theorem states that the total number of transactions is still a Poisson process. First we state a lemma that will be necessary to prove the theorem. The proof for the lemma is omitted.

Lemma 1. Let P1 and P2 be independent Poisson processes with intensities 1 and 2 and let A be a set such that 1 (x)dx < and 2 (x)dx < .

A A

Then P (P1 P2 A = ) = 1. Theorem 2 (Superposition Theorem). Let P1 and P2 , . . . be independent Poisson processes with intensity functions 1 and 2 . Then P = P1 P2 is a Poisson process with intensity = 1 + 2 . Proof. First we show that P is a Poisson process. Let A S . Let N1 (A) and N2 (A) be the number of points of P1 and P2 in A and let N (A) be the number of points of P in A. Then, by the previous lemma, N (A) = N1 (A) + N2 (A). We have shown that the sum of two random variables with the Poisson distribution has the Poisson distribution so N (A) has the Poisson distribution. We also need to show that if A B = then N (A) and N (B ) are independent. We can rewrite N (A) = N1 (A) + N2 (A) and N (B ) = N1 (B ) + N2 (B ). If A B = then N1 (A) and N1 (B ) are independent and N2 (A) and N2 (B ) are independent. Because P1 is independent of P2 we have N (A) is independent of N (B ). This shows that P is a Poisson process. Finally, we need to show P has intensity . Let A S . We have shown above that E [N (A)] = E [N1 (A)] + E [N1 (B )]. By denition, E [N1 (A)] + E [N1 (B )] =

A

1 (x)dx +

A

2 (x)dx =

A

(x)dx.

We will not prove the more general version: Theorem 3. Let P1 , P2 , . . . be Poisson processes with intensities 1 , 2 , . . . . Then

P=

i=1

i=1

i .

Another simple but useful result is the following: Theorem 4. Let P be a Poisson process on a space S with intensity . Let S S . Then the points in P = P S form a Poisson process on S with intensity = |S . The Poisson process P is called the restriction of P to the set S . The proof is checking that the conditions for the denition of a Poisson process are satised. Proof. Let A S . Then N (A) = A P = A P S = A S = N (A) and N (A) = N (A) = (x)dx. Therefore, for any A S , A P has a Poisson distribution with expected value A (x)dx = A (x)|S dx. A If A and B are disjoint subsets of S then N (A) and N (B ) are independent because P is a Poisson process on S . By denition N (A) = N (A) and N (B ) = N (B ) so N (A) and N (B ) are independent. Thus, P is a Poisson process on S . Example: Suppose a machine that needs three functioning parts. Call the parts Part A, Part B and Part C. Suppose that Part A breaks at a rate of once every week. Part B breaks at a rate of once every 2 weeks. Part C breaks at a rate of once every 5 weeks. When a part breaks in the machine it is immediately repaired.

How many times will the machine break on average in a week? How many times will the machine break on average in 5 weeks? Suppose we are to inspect the machine and it is running. How long can we expect the machine to continue functioning? The times at which each part breaks down can be modeled by a Poisson process on R1 where the space R1 can be thought of as time. The rate of the Poisson process which represents the times at which Part A breaks is 1. For Part B the rate is 1/2 and for Part C the rate is 1/5. By 1 +1 = 17 . We can the superposition theorem, the rate at which any part breaks down is 1 + 2 5 10 represent the times at which the machine breaks down and gets repaired as a Poisson process P with intensity (x) = 17/10. The average number of times the machine breaks down in a given week is

1 0

17 17 dx = = 1.7. 10 10

Likewise, the average number of times the machine will break down in 5 weeks is 5 17 = 17 = 8.5 10 2 17t In fact, one may observe that E [N ([0, t])] = 10 . To answer the last question we should time the distribution for the time at which the next break occurs. Let T be the next time the machine breaks. For t 0 we have P (T t) = P (N ([0, t]) 1) = 1 P (N ([0, t]) = 0) = 1 e17t/10 . An exponential random variable X with mean has distribution P (X t) = 1 et/ . Therefore, T is an exponentially distributed random variable with mean 10/17. This is in fact a general relationship between a constant rate Poisson process in R1 and exponentially distributed random variables. If an event occurs at rate r then the next occurrence has the exponential distribution with mean 1/r. If the points at which such events occur are marked through time then the result will be a Poisson process of rate r. This relies partly on the computation above and also that the exponential random variable has the memoryless property. Because of the memoryless property, the number of points in a given interval are independent. That is, if we look at the number of events that occur in a given interval in R1 the time at which the rst event occurs in the interval does not depend on where the last event occurred outside the interval. Once we start at the left end point of the interval and look for the rst point, the exponential forgets where the last point occurred and the rst point in the interval will have an exponential distribution no matter what proceeded it. Another thing to note is that when we covered Markov chains we showed that if X1 , X2 , . . . , Xn is a sequence of exponentially distributed random variables with parameters 1 , 2 , . . . , n then

n

i=1

i .

This is related to the superposition theorem. If P1 , . . . , Pn are the analogous Poisson processes and P = n i=1 Pi then the rst point to occur in P is min{X1 , X2 , . . . , Xn }. The rate should be the sum of the rates since the intensity of P is the sum of the intensities of the Pi .

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