Related Processes

• Arrival time process: Let N(t) be Poisson with rate λ. The arrival time
process Tn, n ≥ 0 is a discrete time process such that: ◦ T0 = 0 ◦ Tn is
the arrival time of the nth event of N(t)

• Interarrival time process: Let N(t) be a Poisson process with rate λ.

The interarrival time process is Xn = Tn − Tn−1 for n ≥ 1

• Xn is an IID process with Xn ∼ Exp(λ)

􏰉n
• Tn = Xi is an independent increment process with Tn2−Tn1
i=1

∼Gamma(λ,n2−n1)forn2>n1≥1,i.e., λn2−n1tn2−n1−1 fTn2−Tn1(t) = (n2 − n1 −

−λt
e
1)!

• Example: Let N1(t) and N2(t) be two independent Poisson processes

with rates λ1 and λ2, respectively. What is the probability that N1(t) =
1 beforeN2(t) = 1?