Poisson Process

IE 502: Probabilistic Models

Jayendran Venkateswaran
IE & OR

IEOR @ IITBombay IE502: Probabilistic Models

 Poisson Process: Definition 2 - revisited
A counting process {N(t), t ≥ 0} is a Poisson process
with rate λ, λ > 0, if
i. N(0) = 0
ii. The process has independent increments
iii. P{N(t+h) − N(t) = 1} = λh + o(h)
iv. P{N(t+h) − N(t) ≥ 2} = o(h)

• In plain English, what does assumptions (iii) and

(iv) mean?

IEOR @ IITBombay IE502: Probabilistic Models

 Inter-Arrival Time Distribution
• Tn ~ time between (n-1)th event and nth event, n>1
T1 T2 T3 T4

time
e1 e2 e3 e4 e5
0

• {Tn, n = 1, 2, …} → sequence of inter-arrival times.

→ inter-arrival times of sequence of events
• Determine the distribution of Tn

• Definition: A Poisson process with rate λ is a

sequence of events such that the inter-arrival times
are i.i.d. Exponential r.v. with rate λ and N(0) = 0.
IEOR @ IITBombay IE502: Probabilistic Models
 Waiting time distribution
• Sn ~ arrival time of the nth event; or waiting time
until the nth event.

• Distribution of Sn is…

IEOR @ IITBombay IE502: Probabilistic Models

 Merging Independent Poisson Processes
• We have two independent Poisson Processes
– Process 1: Poisson process with rate of λ1
– Process 2: Poisson process with rate of λ2.

• Suppose we merge Process 1 and Process 2,

what will the resulting process be?

• Compute the probability that n events occur in

Process 1 before m events have occurred in
Process 2.

IEOR @ IITBombay IE502: Probabilistic Models

 Splitting Poisson Processes
• Given a Poisson Process with rate λ, suppose
each event is classified as either Type 1 with
probability p or Type 2 with probability 1-p.
• Then Type 1 events form a Poisson process with
rate pλ, Type B events form a Poisson process
with rate (1 − p)λ, and these two processes are
independent.

• Prove the above proposition.

IEOR @ IITBombay IE502: Probabilistic Models