Stat 150 Stochastic Processes Spring 2009

Lecture 21: Poisson Processes

Lecturer: Jim Pitman
Poisson processes
General idea: Want to model a random scatter of points in some space.
# of points is random
locations are random
want model to be simple, exible and serve as a building block
Variety of interpretations:
Natural phenomena such as weather, earthquakes, meteorite impacts
points represent discrete events, occurrences, arrivals in some con-
tinous space of possibilities
Continuous aspect: location/attributes of points in physical space/time
Discrete aspect: counts of numbers of points in various regions of space/time
give values in {0, 1, 2, 3, . . . }
Abstractly: A general, abstract space S. Suitable subsets B of S for which we
discuss counts, e.g. intervals, regions for which area can be dened, volumes in
space, ...
Generically N(B) should be interpreted as the number of occurrence/arrivals/events
with attributes in B. Then by denition, if B
1
, B
2
, . . . , B
n
are disjoint subsets
of S, then
N(B
1
B
2
B
n
) = N(B
1
) + +N(B
n
)
Simple model assumptions that lead to Poisson processes:
(1) Independence: If B
1
, B
2
, . . . , B
n
are disjoint subsets of S, then the counts
N(B
i
) are independent.
(2) No multiple occurrences. Example: we model #s of accidents, not #s of
people killed in accidents, or numbers of vehicles involved in accidents.
1
Lecture 21: Poisson Processes 2
It can be shown in great generality that these assumptions imply the Poisson
model: N(B) Poisson((B)) for some measure on subsets B of S. If
is times some notion of length/area/volume on S, then the process is called
homogeneous and is called the rate. In general, (B) is the expected number
of points in B. In the homogeneous case, the rate is the expected number of
points per unit of length/area/volume.
Specic
Most basic study is for a Poisson arrival process on a time line [0, ) with
arrival rate .


t
a
b
(a, b] = interval of time
(a, b] (b, c] = (a, c]
N(a, b] := # of arrivals in (a, b] Poisson ((
Length
..
b a))
. .
E[# of arrivals]
N
t
:= N(0, t]. (N
t
, t 0) continuous time counting process:
only jumps by 1
stationary independent increments
for 0 s t, N
t
N
s
d
= N
ts
d
= Poisson((t s))
Dene
T
r
:= W
1
+W
2
+ +W
r
= inf{t : N
t
= r}, 0 = T
0
< T
1
< T
2

W
i
:= T
i+1
T
i
Lecture 21: Poisson Processes 3
t
N
t





W
1
W
2
W
3
W
4
W
5
T
1
T
2
T
3
T
4
T
5
Fact/Theorem
(N
t
, t 0) is a Poisson process with rate W
1
, W
2
, W
3
, . . . is a sequence
of iid Exp().
(W
1
> t) (N
t
= 0)
P(W
1
> t) = P(N
t
= 0) = e
t
Fundamental constructions: Marked Poisson point process
Assume space of marks is [0,1] at rst.
Points arrive according to a PP()
Each point is assigned an independent uniform mark in [0,1]
Let the space of marks be split into two subsets of length p and q with p+q = 1.
t 0
1
q
p

Each point is a with probability p and with probability q. Let

N

(t) : # of up to t
N

(t) : # of up to t
Lecture 21: Poisson Processes 4
Then
N

(t) Poisson(pt)
N

(t) Poisson(qt)
N(t) = N

(t) +N

(t)
These relations hold because of the Poisson thinning property: if you have
Poisson number of individuals with mean , then
keep each individual with probability p
discard each individual with probability q
Then # kept and # discarded are independent Poissons with means p and q,
respectively. Pushing this further, (N

(t), t 0) and (N

(t), t 0) are two

independent homogeneous Poisson processes with rates p and q respectively.
Take a xed region (t, u) space, count the number of (T
i
, U
i
) with (T
i
, U
i
) R.
In the graph below, there are two. Since the sum of independent Poissons is
Poisson, the number of (T
i
, U
i
) has to be Poisson as well.
t

Here we simply suppose the marks are uniform

Generalize to marks which are independent identical with density f(x)
T
1
, T
2
, . . . are time arrivals of PP()
X
1
, X
2
, . . . are independent identical with P(X
i
dx) = f(x)dx.
Then (T
1
, X
1
), (T
2
, X
2
), . . . are the points of a Poisson process in [0, ) R
with measure density dtf(x)dx
Lecture 21: Poisson Processes 5
t
X
&%
'$
B

Here, N
B
Poisson with mean
__
B
dtf(x)dx
Practical example (Queueing model)
Customers arrive according to a PP()
A customer arrives at time t and stays in the system for a random time
interval with density f(x).
Find a formula for the distribution of # of customers in system at time t.
t



X
1
X
2
X
3
T
1
T
2
T
3
t

X
1
X
2
X
3
T
1
T
2
T
3
Mark each arrival by time spent in the system.
=
_
t
0
ds
_

ts
f(x)dx
=
_
t
0
ds(1 F(s)), where F(s) =
_
s
0
f(x)dx
Actual number is Poisson with mean calculated above.
Connection between PP and uniform order statistics
Construction of a PP with rate on [0,1]
Step 1: Let N
1
Poisson(). This will be the total number of points in [0,1]
Lecture 21: Poisson Processes 6
Step 2: Given N
1
= n, let U
1
, . . . , U
n
be independent and uniform on [0,1].
Let the points of PP be at U
1
, U
2
, . . . , U
n
. Let
T
1
= min
1in
U
i
T
k
= min{U
i
: U
i
> T
k1
, 1 i n} for k > 1
We can only dene T
1
, T
2
, . . . , T
n
= ordered values of U
1
, U
2
, . . . , U
n
. Pick
all the T
r
s with T
r
1 this way.
Create (N
t
, 0 t 1) : N
t
= #{i : U
i
t} =

i=1
1(N
1
i, U
i
t)
Claim: (N
t
, 0 t 1) is the usual PP()
This means
N
t
Poisson(t)
N
t
1
, N
t
2
N
t
1
, . . . , N
tn
N
t
n1
, N
1
N
tn
are independent for 0 t
1

t
n
1
N
t
N
s
Poisson((t s))
Why?
N
t
Poisson(t) by thinning.
Independence also by thinning: I can assign Poisson(N
1
) counts into categories
(0, t
1
], (t
1
, t
2
], . . . , (t
n
, 1] with probabilities t
1
, t
2
t
1
, . . . , 1 t
n
.
Poissonization of multinomials:
P(N
t
1
= n
1
, N
t
2
N
t
1
= n
2
, . . . , N
1
N
t
k1
= n
k
|n
1
+n
2
+ +n
k
= n)
=P(N
1
= n
1
+ +n
k
)P(N
t
1
= n
1
, N
t
2
N
t
1
= n
2
, . . . , N
1
N
t
k1
= n
k
|N
1
= n
1
+ +n
k
)
=e

n
1
++n
k
(n
1
+ n
k
)!
_
n
1
+ +n
k
n
1
, n
2
, . . . , n
k
_
t
n
1
1
(t
2
t
1
)
n
2
(1 t
k1
)
n
k
=e
t
1
(t
1
)
n
1
n
1
!
e
(t
2
t
1
)
((t
2
t
1
))
n
2
n
2
!
e
(1t
k1
)
((1 t
k1
))
n
k
n
k
!
Therefore N
t
1
, N
t
2
N
t
1
, . . . , N
tn
N
t
n1
, N
1
N
tn
are independent Poisson as
claimed.