# Chapter 5 1

Exponential Distribution &
Poisson Process
Memorylessness & other exponential
distribution properties; Poisson process;
Nonhomogeneous & compound P.P.’s
Chapter 5 2
Exponential Distribution: Basic Facts
• Density
• CDF
• MGF
• Mean
• Variance
( )
, 0
, 0
0, 0
x
e x
f x
x
λ
λ
λ

¦

= >
´
<
¹
( )
1 , 0
0, 0
x
e x
F x
x
λ −
¦
− ≥
=
´
<
¹
( )
tX
t E e
t
λ
φ
λ
(
= =
¸ ¸

| |
1
E X
λ
=
| |
2
1
Var X
λ
=
Coefficient of variation
| |
| |
1
Var
E X
X
=
Chapter 5 3
Key Property: Memorylessness
• Reliability: Amount of time a component has been in
service has no effect on the amount of time until it fails
• Inter-event times: Amount of time since the last event
contains no information about the amount of time until the
next event
• Service times: Amount of remaining service time is
independent of the amount of service time elapsed so far
{ } { }
for all , 0 P X s t X t P X s s t > + > = > ≥
Chapter 5 4
Other Useful Properties
Competing Exponentials:
If X
1
and X
2
are independent
exponential r.v.’s with
parameters λ
1
and λ
2
, resp.,
then
(generalizes to any number
of competing r.v.’s)
Minimum of exponentials:
If X
1
, X
2
, …, X
n
are
independent exponential
r.v.’s where X
n
has parameter
λ
i
, then
min(X
1
, X
2
, …, X
n
) is
exponential w/parameter
λ
1
+ λ
2
+ … + λ
n
Sum of n independent exponential r.v.’s with common
parameter λ has a gamma distribution w/parameters (n, λ)
{ }
1
1 2
1 2
P X X
λ
λ λ
< =
+
Chapter 5 5
Counting Process
A stochastic process {N(t), t ≥ 0} is a counting process if N(t)
represents the total number of events that have occurred in
[0, t]
Then {N(t), t ≥ 0} must satisfy:
N(t) ≥ 0
N(t) is an integer for all t
If s < t, then N(s) ≤ N(t)
For s < t, N(t) - N(s) is the number of events that occur in
the interval (s, t].
Chapter 5 6
Stationary & Independent Increments
• A counting process has independent increments if, for any
That is, the numbers of events that occur in nonoverlapping
intervals are independent random variables.
• A counting process has stationary increments if the
distribution if, for any s < t, the distribution of N(t) – N(s)
depends only on the length of the time interval, t – s.
( ) ( ) ( ) ( )
0 , is independent of s t u v N t N s N v N u ≤ < ≤ < − −
Chapter 5 7
Poisson Process Definition 1
A counting process {N(t), t ≥ 0} is a Poisson process with
rate λ, λ > 0, if
N(0) = 0
The process has independent increments
The number of events in any interval of length t follows a
Poisson distribution with mean λt (therefore, it has
stationary increments), i.e.,
( ) ( ) { }
( )
, 0,1,...
!
n
t
e t
P N t s N s n n
n
λ
λ

+ − = = =
Chapter 5 8
Poisson Process Definition 2
A function f is said to be o(h) (“Little oh of h”) if
A counting process {N(t), t ≥ 0} is a Poisson process with rate
λ, λ > 0, if
N(0) = 0
The process has stationary and independent increments
Definitions 1 and 2 are equivalent!
( )
0
lim 0
h
f h
h

=
( ) { } ( )
1 P N h h o h λ = = +
( ) { } ( )
2 P N h o h ≥ =
Chapter 5 9
Interarrival and Waiting Times
The times between arrivals
T
1
, T
2
, … are independent
exponential r.v.’s with mean
1/λ:
The (total) waiting time until
the nth event has a gamma
dist’n:
t
N(t)
T
2
T
1
T
3
T
4
S
1
S
2
S
3
S
4
{ } ( ) { }
1
0
t
P T t P N t e
λ −
> = = =
{ }
2 1
t
P T t T s e
λ −
> = =
1
n
n i
i
S T
=
=

Chapter 5 10
Other Poisson Process Properties
Poisson Splitting:
Suppose {N(t), t ≥ 0} is a P.P. with rate λ, and suppose that
each time an event occurs, it is classified as type I with
probability p and type II with probability 1-p,
independently of all other events. Let N
1
(t) and N
2
(t),
respectively, be the number of type I and type II events up
to time t.
Then {N
1
(t), t ≥ 0} and {N
2
(t), t ≥ 0} are independent
Poisson processes with respective rates λp and λ(1-p).
Chapter 5 11
Other Poisson Process Properties
Competing Poisson Processes:
Suppose {N
1
(t), t ≥ 0} and {N
2
(t), t ≥ 0} are independent
Poisson processes with respective rates λ
1
and λ
2
.
Let S
n
i
be the time of the nth event of process i, i = 1,2.
{ }
1
1
1 2
1 1
1 2 1 2
1
k n m k
n m
n m
k n
n m
P S S
k
λ λ
λ λ λ λ
+ − −
+ −
=
+ −
| | | | | |
< =
| | |
+ +
\ .\ . \ .

Chapter 5 12
Other Poisson Process Properties
If Y
1
, Y
2
, …, Y
n
are random variables, then Y
(1)
, Y
(2)
, …, Y
(n)
are their order statistics if Y
(k)
is the kth smallest value
among Y
1
, Y
2
, …, Y
n
, k = 1, …, n.
Conditional Distribution of Arrival Times:
Suppose {N(t), t ≥ 0} is a Poisson process with rate λ and
for some time t we know that N(t) = n. Then the arrival
times S
1
, S
2
, …, S
n
have the same conditional distribution
as the order statistics of n independent uniform random
variables on (0, t).
Chapter 5 13
Nonhomogeneous Poisson Process
A counting process {N(t), t ≥ 0} is a nonhomogeneous Poisson
process with intensity function λ(t), t ≥ 0, if:
N(0) = 0
The process has independent increments (not stationary incr.)
Let
Then
( ) ( ) { } ( ) ( )
1 P N t h N t t h o h λ + − = = +
( ) ( ) { } ( )
2 P N t h N t o h + − ≥ =
( ) ( )
0
t
m t y dy λ =

( ) ( ) { }
( ) ( )
( ) ( ) ( )
, 0,1,...
!
n
m s t m s
m s t m s
P N t s N s n e n
n
− + − (
¸ ¸
+ −
+ − = = =
Chapter 5 14
Compound Poisson Process
A counting process {X(t), t ≥ 0} is a compound Poisson process
if:
where {N(t), t ≥ 0} is a Poisson process and {Y
i
, i = 1, 2, …}
are independent, identically distributed r.v.’s that are
independent of {N(t), t ≥ 0}.
By conditioning on N(t), we can obtain:
( )
( )
1
, 0
N t
i
i
X t Y t
=
= ≥

( ) | |
( )
1
2
1
Var
E X t tE Y
X t tE Y
λ
λ
= (
¸ ¸
(
= (
¸ ¸
¸ ¸

x < 0 • MGF φ ( t ) = E e  =   λ −t 1 • Mean E [ X ] = λ • Variance Var [ X ] = 12 tX Chapter 5 λ Coefficient of variation E[X ] Var [ X ] =1 2 λ . x < 0 1 − e − λ x . x ≥ 0 • CDF F ( x ) =  0. x ≥ 0 .Exponential Distribution: Basic Facts λ e − λ x . λ >0 • Density f ( x ) =  0.

t ≥ 0 • Reliability: Amount of time a component has been in service has no effect on the amount of time until it fails • Inter-event times: Amount of time since the last event contains no information about the amount of time until the next event • Service times: Amount of remaining service time is independent of the amount of service time elapsed so far Chapter 5 3 .Key Property: Memorylessness P { X > s + t X > t} = P { X > s} for all s.

’s) Chapter 5 . ….’s with common parameter λ has a gamma distribution w/parameters (n. then Minimum of exponentials: If X1. resp..Other Useful Properties Sum of n independent exponential r.v. X2 . λ) Competing Exponentials: If X1 and X2 are independent exponential r.’s where Xn has parameter λi. then min(X1. X2 .v.’s with parameters λ1 and λ2. Xn) is exponential w/parameter λ1 + λ2 + … + λn 4 P { X1 < X 2} = λ1 + λ2 λ1 (generalizes to any number of competing r. Xn are independent exponential r.v. ….v.

t ≥ 0} must satisfy: N(t) ≥ 0 N(t) is an integer for all t If s < t. t ≥ 0} is a counting process if N(t) represents the total number of events that have occurred in [0. Chapter 5 5 . t] Then {N(t).Counting Process A stochastic process {N(t). t]. N(t) .N(s) is the number of events that occur in the interval (s. then N(s) ≤ N(t) For s < t.

Stationary & Independent Increments • A counting process has independent increments if. for any 0 ≤ s < t ≤ u < v. t – s. the distribution of N(t) – N(s) depends only on the length of the time interval. N ( t ) − N ( s ) is independent of N ( v ) − N ( u ) That is. Chapter 5 6 . for any s < t. the numbers of events that occur in nonoverlapping intervals are independent random variables. • A counting process has stationary increments if the distribution if.

i. λ > 0.. n = 0.1.. P { N ( t + s ) − N ( s ) = n} = n! Chapter 5 7 . n − λt e ( λt ) . it has stationary increments).Poisson Process Definition 1 A counting process {N(t). if N(0) = 0 The process has independent increments The number of events in any interval of length t follows a Poisson distribution with mean λt (therefore.e. t ≥ 0} is a Poisson process with rate λ...

t ≥ 0} is a Poisson process with rate λ. λ > 0. if N(0) = 0 The process has stationary and independent increments P { N ( h ) = 1} = λ h + o ( h ) P { N ( h ) ≥ 2} = o ( h ) Definitions 1 and 2 are equivalent! Chapter 5 8 .f (h) =0 A function f is said to be o(h) (“Little oh of h”) if lim h →0 h Poisson Process Definition 2 A counting process {N(t).

T2.v.’s with mean 1/λ: P {T1 > t} = P { N ( t ) = 0} = e − λt P {T2 > t T1 = s} = e − λt S1 S2 T1 T2 T3 S3 S4 T4 t The (total) waiting time until the nth event has a gamma n dist’n: S = T n ∑ i =1 i Chapter 5 9 .Interarrival and Waiting Times N(t) The times between arrivals T1. … are independent exponential r.

and suppose that each time an event occurs.Other Poisson Process Properties Poisson Splitting: Suppose {N(t). it is classified as type I with probability p and type II with probability 1-p. t ≥ 0} is a P. be the number of type I and type II events up to time t. Let N1(t) and N2(t). t ≥ 0} are independent Poisson processes with respective rates λp and λ(1-p). t ≥ 0} and {N2(t). independently of all other events. respectively. Chapter 5 10 . Then {N1(t). with rate λ.P.

t ≥ 0} and {N2(t).2. i = 1. t ≥ 0} are independent Poisson processes with respective rates λ1 and λ2. Let Sni be the time of the nth event of process i. P {S < S 1 n 2 m }= ∑ k =n n + m −1  n + m − 1  λ1   λ1       k    λ1 + λ2   λ1 + λ2  k n + m −1− k Chapter 5 11 .Other Poisson Process Properties Competing Poisson Processes: Suppose {N1(t).

…. Yn are random variables. t ≥ 0} is a Poisson process with rate λ and for some time t we know that N(t) = n. Y(n) are their order statistics if Y(k) is the kth smallest value among Y1. …. Chapter 5 12 . S2. Y2. Y(2). t). …. Then the arrival times S1. Y2. ….Other Poisson Process Properties If Y1. then Y(1). n. Sn have the same conditional distribution as the order statistics of n independent uniform random variables on (0. …. Yn. Conditional Distribution of Arrival Times: Suppose {N(t). k = 1.

.1. if: N(0) = 0 The process has independent increments (not stationary incr.. t ≥ 0} is a nonhomogeneous Poisson process with intensity function λ(t).Nonhomogeneous Poisson Process A counting process {N(t). t ≥ 0. P { N ( t + s ) − N ( s ) = n} = e  n! Chapter 5 13 t .. n = 0.) P { N ( t + h ) − N ( t ) = 1} = λ ( t ) h + o ( h ) P { N ( t + h ) − N ( t ) ≥ 2} = o ( h ) Let m ( t ) = λ ( y )dy ∫0 n Then −  m( s + t ) − m( s ) ( m ( s + t ) − m ( s ) )  .

identically distributed r.Compound Poisson Process A counting process {X(t).’s that are independent of {N(t). t ≥ 0} is a compound Poisson process if: N (t ) X ( t ) = ∑ Yi . By conditioning on N(t). t ≥ 0} is a Poisson process and {Yi. i = 1. t ≥ 0}. 2. …} are independent. t ≥ 0 i =1 where {N(t). we can obtain: E  X ( t )  = λ tE [Y1 ]   2 Var  X ( t )  = λtE Y1      Chapter 5 14 .v.

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