Poisson Processes

• As previously stated, the Poisson process is used to model arrival-type processes suitable for
representation using continuous random variables.
• In the previous discussion, that section illustrates the initial use of a Bernoulli process to model an
arrival type of process which defines the no. of arrivals,
m, before time T = m∆ (∆-time step size).
This has a Binomial PMF which can be expressed as
m
P
m (n) =   (λT / m) n (1 − λT / m) m − n ,
n
where λ > 0 is the arrival rate. Using the principles on the topic of discrete random variables, it was
shown that as m → ∞ , or the equivalent, ∆ → 0, the PMF of
m becomes a Poisson random variable

(T) with PMF
 (λT )n e − λT / n! n = 0,1,2,...
P
(T ) (n) =  .
 0 otherwise
• “Arrival” is used to apply to any counting process, which is a stochastic process where the sample
function n(t,s) = 0, for t < 0, is integer valued and non-decreasing with time.
Poisson Process ≡ A counting process
(t) is a Poisson process of rate λ if
(a) The number of arrivals in any interval (t0, t1),
(t1)-
(t0), is a Poisson random variable with expected
value λ(t1-t0).
(b) For any non-overlapping intervals (t0, t1] and (t0', t1'], the number of arrivals in each interval,
(t1)-
(t0)
and
(t1')-
(t0'), respectively, are independent random variables.
• E[
(t)]/t = λ , the expected number of arrivals per unit of time, is called rate of the process.
• By the definition of a Poisson random variable, M =
(t1)-
(t0), has the following PMF:

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 ( Yes PMF, because this refers to number of arrivals that can only be quantified using integer values)
 [λ (t1 − t 0 )]m −λ ( t −t ) m = 0,1,2,...
 e 1 0

PM (m) =  m!
 otherwise .
0
• For a set of time instants t1 < t 2 L < t k , the number of arrivals in non-overlapping intervals are
are independent, so that the joint PMF of
(t1 ),K,
(t k ) is expressed as the product of their
respective probabilities. This is formalized in the following theorem.
Theorem 10.2 For a Poisson process
(t) of rate λ, the joint PMF
= [
(t1 ),...,
(t k )]′, for ordered time
instances t1 < t 2 L < t k is,
α 1n e −α α 2n −n e −α
1 1 2 1 2 k
α 2n −n e −α 0 ≤ n ≤ L ≤ n
k −1 k

 ⋅ L
P
(n) =  n1! (n2 − n1 )! (nk − nk −1 )! 1 k

 otherwise.
0
where α 1 = λ t,1 and for i = 2,K, k , α i = λ (t i − t i −1 ) .
• The Poisson process is memoryless, i.e., the probability of arrival during any instant is independent
of the past history of the process.
Theorem 10.3 For a Poisson process of rate λ, the interarrival times X 1 ,K, X n is an iid random
sequence with an exponential PDF
 λ e − λx x≥0
f X ( x) = 
 0 otherwise .

Example 5.11: Data packets transmitted by a modem over a telephone line form a Poisson process
with a rate of 10 packets/sec. Using Mk to denote the no. of packets transmitted in the kth hour, find
the joint PMF of M1 and M2. (Note: To determine the no. of packets transmitted – no. of arrivals.)

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 • The first and second hours are non-overlapping intervals. Since there are 3600 secs in one hour,
and the Poisson process has a rate of 10 packets/sec, the expected no. of packets in each hour
is E[ M i ] = α = 36,000 packets .

Hence M 1 and M 2 are independent Poisson random variables each with PMF
 α m e −α / m! m = 0,1,2,K
PM (m) = 
 0 i
otherwise .
From T10,2, the joint PMF of M 1 and M 2 is given by
 α m + m e −2α / m1!m2 ! m1 = m2 = 0,1,2,....
1 2

PM M [m1 m2 ] = PM (m1 ) ⋅ PM (m2 ) = 

1 2 1 2
 0 otherwise .
• Given interarrival times X 1 = x1 , X 2 = x2 ,K, X n −1 = xn −1 , arrival n -1 occurs at time t n −1 = x1 + x2 + L.+ xn −1
x
t
0 x1 x2 x3 xn-1 xn
arrivals: k=1 k=2 k=3 L k=n-1 k=n
time: t1 t2 t3 tn-1 tn
• For x > 0, Xn > x, iff there are zero arrivals in the interval (tn-1, tn-1+x] . Otherwise if there are arrivals
then Xn ≤ x .
• The number of arrivals in (tn-1, tn-1+x] is independent of the past arrivals w/ interarrival times X1,…,Xn-1.
This means that
P[ X n > x | X1 = x1,K, X n −1 = xn −1 ] = P[
(tn −1+ x ) −
(tn −1 ) = 0] = [[λ (tn −1 + x − tn −1 )]0 / 0!]e −λ (t n−1 + x −t n−1 ) = e −λx .

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 • To determine the CDF we have the ff:
 1 − e − λx x>0
FX ( x) = P[ X n ≤ x] = 1 − P[ X n > x] =  .
n
 0 otherwise
• Note: To obtain the result of Theorem 10.3 we simply get the 1st derivative.
Theorem 10.4: A counting process with independent exponential (λ) interarrivals X1, X2,F, Xn,
is a Poisson process of rate λ.
P[ X n > t + x, X n > t ] −λx
• Consider the ff: P[ X n > t + x | X n > t ] = =e .
P[ X n > t ]
• The preceding equation states that the probability that the nth interarrival time is greater than the sum
of times t + x, is equal to e-λx.. That is, the probability that the nth arrival will not occur within t + x from
Xn-1, is also a Poisson process. Hence, the process starting at the nth is also a Poisson process
indistinguishable from X1,…,Xn-1 Poisson process.
• Using the above interpretation, we look at the integration and separation of Poisson processes:
Consider the sum
(t) =
1(t) +
2(t) of two independent Poisson processes
1(t) and
2(t). Note that

(t) is a counting process since any sample function of
(t) is nondecreasing. Since both have
continuous exponential rv’s, the probability of arrivals happening at the same time is zero. Thus the
arrivals happen one at a time and the sum is also Poisson. This leads us to the next theorem.
Theorem 10.5: Let
1(t) and
2(t) be two independent Poisson processes of rate λ1 and λ2. The counting
process
(t) =
1(t) +
2(t) is a Poisson process of rate λ1+ λ2..
Proof: Show that the interarrival times of the
(t) process are iid exponential rv’s.
• Suppose the
(t) has just had an arrival, this could come from either
1(t) or
2(t). Xi the time until
the next arrival
i(t), has an exponential PDF.
• X, the next interarrival time of
(t) must also be independent of the past values of both
1(t) or
2(t).

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 • X > x, iff X1 > x and X2 > x . This implies that P[X > x] = P[X1 > x, X2 > x] .
• Since X1 and X2 are independent then we have
 1 x<0
P[ X > x] = P[ X 1 > x] P[ X 2 > x] =  − ( λ1 + λ2 ) x
.
 e x≥0
Thus X is an exponential (λ1 + λ2) rv.
Example 5.12: This example is intended to be illustrative of the use of experimental data in
determining certain characteristics of a data communications terminal which could be a PC or a
workstation (figure below). The objective is to have a better understanding of the relationship of
call lengths with respect to the mean call length.
Assume that the workstation has x input and y output channels. These channels may be
telephone lines and/or computer networks. Consider that it has been established that call arrivals
can be modeled as a Poisson distribution. The length of a call has an exponential distribution with
parameter λ, where λ is the reciprocal of the mean length of a call. That is, λ = 1/µL , where µL is the
mean call length.

Figure: Example 5.12

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 The objective is to show that µL can be determined from the cumulative probability distribution table.

• Since we have a Poisson distribution, the exponential pdf for the call length L is given by,
1 −1 / µ L
f L (l ) = λ e − λl = e , l≥0 .
µL
L is the rv representing the call length with mean µL.
• The CDF is then obtained as
l l
1
FL (l ) = P[ L ≤ l ] = ∫ f L ( x)dx = ∫ e − x / µ dx = − e − x / µ ]l0 = 1 − e −l / µ .
L L L

0 0 µL
• Then P[ L > l ] = 1 − P[ L ≤ l ] = 1 − (1 − e − l / µ ) = e − l / µ ,
L L

where P[L > l] may be determined from a CDF table such as in the ff. table.

Table for Example 5.12.

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 • Since the data shown in the table is that of a Poisson process, we estimate µL by using P[L ≤ l]
with l = µL , so that we have the ff:
P[ L ≤ µ L ] = 1 − e −1 = 0.64 .
• Comparing this value with the values in the table, we see that is approximately 5 mins.

Example 5.13: Cars, trucks and buses arrive at a toll booth as independent Poisson processes with
rates λc = 1.2 cars/min, λt = 0.9 trucks/min, and λb = 0.7 buses/min. In a 10-minute interval, what is
the PMF of
, the number of vehicles (cars, trucks and buses) that arrive?
• By using the same reasoning used in arriving at the result in Theorem 10.5, we say that the arrival
of the combined types of vehicles is also a Poisson process. Hence the rate of the process is
λ = 1.2 + 0.9 + 0.7 = 2.8 vehicles/ min .
In a 10-min interval, λT = 28 vehicles. The PMF of
is as follows:
 28 n e −28 n / n! n = 0,1,2,...
P
(n) = 
 0 otherwise.

Theorem 10.7 Let
(t) =
1(t) +
2(t) be the sum of two independent Poisson processes with rates
λ1 and λ2 . Given that the
(t) process has an arrival, the conditional probability that the arrival is
from
1(t) is λ1/(λ1+ λ2).

• Intuitively, by examination of the formula for the conditional probability of arrival and taking into
consideration that the rates of the two Poisson processes are λ1 and λ2, it is logically easy to see
the correctness of the result in Theorem 10.7.

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 Example 5.14: Customers arrive at the VF bank as a Poisson process of rate λ customers per
minute. Each arriving customer is immediately served by a teller. After being served, each customer
immediately leaves the bank. The time a customer is being served is called service time. If the
service time per customer is exactly two minutes, what is the PMF of the no. of customers
(t)
served at the bank at time t?
• Since the service time per customer is exactly two minutes, for t ≤ 2, all customers that arrived is
still being served. Since we have a Poisson no. of arrivals during the interval (0, t], then the PMF is
 (λ t ) n e − λ t n = 0,1,2,...

P
( t ) (n) =  n! 0≤t ≤2
 0 otherwise

• For t ≥ 2, the customers being served are those that arrived in the interval (t – 2, t].
• Based on the definition of a Poisson process, the mean of the number of arrivals is λ(t1 – t0) is then
λ[t − (t − 2)] = 2λ .
The PMF of
(t) is then given by

 (2λ ) n e −2 λ n = 0,1,2,...

P
( t ) (n) =  n! t ≥ 2.
 0 otherwise

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 Example 5.15: A sequence of queries are made to a database system. The response time of the
system, T seconds, is an exponential random variable with mean 8. As soon as the system responds
to a query, the next query is made at time zero. Let
(t) denote the number of queries made by time t.
(a) What is the P[T ≥ 4], the probability that a single query will last at least four seconds ?
(b) If the database user has been waiting five seconds for a response, what is P[T ≥ 13|T ≥ 5], the
probability that the query will last at least eight more seconds ?
(c) What is the PMF of
(t) ?
• The response time T of the system is depicted below, i.e., another query arrives as soon as the
system responds to a query. Note this is similar to the length of calls arriving at a telephone switch.

• From Theorem 10.3, for a Poisson process of rate λ, the interarrival times X1, X2, … are an iid
random sequence with exponential PDF and λ = 1/µ = 1/8.
 λ e − λx x≥0  (1/ 8) e − t / 8 t ≥0
f X ( x) =  ⇒ f T (t ) = 
 0 otherwise  0 otherwise .
t
t
FT (t ) = P[T ≤ t ] = ∫ (1 / 8) e −t / 8 dt = (1 / 8) e −t / 8 0 = 1 − e −t / 8 .
0
P[T > t ] = 1 − P[T ≤ t ] = 1 − (1 − e − t / 8 ) = e − t / 8 .
(a) P[T ≥ 4] = e −4 / 8 = 0.6065 .
(b) P[T ≥ 13 | T ≥ 5] = P[T ≥ 13, T ≥ 5] = P[T ≥ 13] = e −13 / 8 = 0.1969 .
P[T ≥ 5]

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 (c) Since the queries start at t = 0,
(t) is not exactly a Poisson process since in a Poisson process
the arrival happens after t = 0. However, the process
(t) – 1 is a Poisson process with rate of 1/8.
The probability for n = 0, 1, 2, …
P[
(t ) − 1 = n] = (t / 8) n e − t / 8 / n !
Thus for n = 1, 2, 3, …
P[
(t ) − 1 = n − 1] = (t / 8) n −1 e − t / 8 /(n − 1) !
The PMF is then
 (t / 8) n −1 e − t / 8 /(n − 1) ! n = 1,2,...
P
( t ) (n) = 
 0 otherwise .

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