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Up until Lecture 10, we have been discussing discrete time and discrete state-space stochastic
process {Xn : n ≥ 1} . That is, Xn ∈ S where S is discrete. The indexing set of X is also
discrete. It can be N. However, there are important stochastic processes for which S is discrete
but the indexing set is continuous. These processes may change their values at any instant of
time rather than at specified epochs. In other words, the stochastic process can change
instantaneously. Such a process is a family {X(t) : t ≥ 0} of random variables indexed by the
half line [0, ∞) and X(t) taking values in some discrete set S .
⎧ λh + o(h) m = 1
⎪
c. If s ,
< t N (t) − N (s) , which denotes the number of events in the interval (s, t] is
independent of the number of events during the time [0, s], i.e. N (t) − N (s) is independent
of N (s).
The Poisson process with intensity λ is the process N (t) that represent the number
of events that occured up to time t. The first condition says that it need to satisfy that
N (0) = 0 , which means the number of events occured at time 0 is 0. As time
increases, the number of events can only increase. The second condition says that,
suppose there are n events occurs in the interval [0, t], then the probability that there
will be m events occuring in the interval (t, t + h] is given by the formula in (b). o(h)
term signifies that if h is small, then the probability that there will be more than one
event occuring in the interval (t, t + h] is very small. The third condition means that
for any two disjoint intervals, then number of events occured in one interval is
independent with number of events occured in the other interval.
Applications: Here are some typical scenairos where Poisson process is used to model the data.
2. The number of phone calls received by a call center within a time interval.
Theorem 12.1 Let N (t) be the number of events in [0, t] under the definition of Poisson process
j
(λt)
(Definition 12.1), then P (N (t) = j) = e
−λt
for j = 0, 1, ⋯ . Thus, N (t) .
∼ P ois(λt)
j!
i≠j,j−1
+ ∑ o(h)P (N (t) = i)
i≠j,j−1
i≠j,j−1
i≠j,j−1
= λhpj−1 (t) + (1 − λh)pj (t) + o(h) (because the last term is free of h)
pj (t + h) − pj (t) o(h)
= −λpj (t) + λpj−1 (t) + (12.5)
h h
pj (t + h) − pj (t)
′
p (t) = lim
j
h→0 h
(12.6)
o(h)
= lim [−λpj (t) + λpj−1 (t) + ] = −λpj (t) + λpj−1 (t)
h→0 h
for j ≠ 0 .
′
p (t) = −λp0 (t) (12.8)
0
1 j = 0
pj (0) = { (12.9)
0 j ≠ 0
This is beacuse that pj (0) = P (N (0) = j) , from the definition of Poisson process we know
N (0) = 0 .
We start with (12.8), that is, p′0 (t) + λp0 (t) = 0 . Multiply both sides by eλt , we have
λt ′ λt
e p (t) + λe p0 (t) = 0 (12.10)
0
Thus, we have
d
λt
[e p0 (t)] = 0 (12.11)
dt
t
d
λs λt
∫ [e p0 (s)]ds = e p0 (t) − p0 (0) = 0 (12.12)
ds
0
−λt
p0 (t) = e (12.13)
′ −λt
p (t) = −λp1 (t) + λp0 (t) = −λp1 (t) + λe (12.14)
1
d
λt
[e p1 (t)] = λ (12.15)
dt
t
d
λs λt
∫ [e p1 (s)]ds = e p1 (t) − p1 (0) = λt (12.16)
0
ds
−λt
p1 (t) = λte (12.17)
j!
.
(j−1)!
j−1
(λt)
′ −λt
p (t) = −λpj (t) + λe (12.18)
j
(j − 1)!
which implies
j−1
(λt)
′ −λt
p (t) + λpj (t) = λe (12.19)
j
(j − 1)!
j−1
d λ(λt)
λt
[e pj (t)] = (12.20)
dt (j − 1)!
t
d
λs λt
∫ [e pj (s)]ds = e pj (t) − pj (0)
ds
0
(12.21)
j t j j j
λ λ t (λt)
j−1
= ∫ s ds = =
(j − 1)! (j − 1)! j j!
0
j
(λt)
−λt
pj (t) = e (12.22)
j!
Theorem 12.1 suggests that there is a deep connection between the Poisson process ▢
and the p.m.f. of Poisson distribution. The number of event occuring between (0, t]
follows a Poisson distribution with parameter λt. As the length of the interval
increases, the mean of the Poisson distribution also increases linearly.
Definition 12.2 (Birth and death process) {N (t) : t ≥ 0} is a birth and death process if there
exist {λi }i≥0 , {μi }i≥0 with μ0 = 0 and μi , λi ≥ 0 such that
(12.23) tells us that if the number of events happend in [0, t] is i, then how many events will occur
in (t, t + h].
There is a basic difference between the birth and death process and the Poisson
process. Note in the Poisson process, the number of events can only increase over
time, while in the birth and death process, the number of events can also decrease.
When the number of events increase, we call it a birth process and when the number
of events decrease, we call it a death process. For example, if you have up to time t, i
events occured. Then between t to t + h, there can be a birth, a death, or nothing
happens, with probability given by the first three equations in (12.23). λi is called the
birth rate and μi is called the death rate. The last equation in (12.23) suggests that the
probabilities that there will be more than one birth or more than one death will be very
small if the time interval is small.
Application: Here are some typical scenairos where birth and death process is used to model the
data.
2. Queuing theory: in a counter, look at the number of people in the queue. A person is served
and leaves the queue is called a “death”, and a person joins the queue is called a “birth”.
We will use a similar technique to study birth and death process. Also denote
pj (t) = P (N (t) = j) , and for P (N (t + h) = j) we have
i≠j,j−1,j+1
It implies that
pj (t + h) = [1 − (λj + μj )h]pj (t) + [λj−1 h]pj−1 (t) + [μj+1 h]pj+1 (t) + o(h) (12.25