Poisson Process

 These are processes with discrete states but

observed over continuous times.
 For example,

births and deaths can occur at any time, they

are dependence on time
the arrival of telephone calls at an office
 These are examples of a process with discrete

states but observed over continuous times.

 Poisson Process is a model for representing a
 sequence of events with discrete values.
.
 The main feature of the Poisson process
is that it does not know the exact time of
the occurrence of the event, but we know
the average time for the occurrence of the
event
 Another interesting property for the Poisson
process is memory-less. The memoryless
property of the Poisson process refers to the
fact that the occurrence of an event is not
related to previous events and is independent
of them.
 Any Poisson process must hold under the
following conditions:

 If X is the number of times that an event occurs

in a time interval or place, it is clear that the
values X is a subset of natural numbers.
 The occurrence of one event does not affect
the probability of the occurrence of other
events. This means that the events are
independent of each other.
 The average number of occurrences of events
is constant. In other words, the average
number of incidents does not increase or
decrease in any interval or time interval or
the same place.
 Two events do not happen at the same time.

An event has two states of occurrence (1) and

non-occurrence (0), of which only one will
occur in each small subinterval.
 Let N(t) be a time-varying random variable
representing the population size at time t.

 Consider the probability of population size n

at time t given by
 This is a Poisson probability (mass) function
with parameter or intensity .
  The mean μ(t) of the Poisson distribution will
be a function of time

Note that the mean value increases linearly

with time at rate
.
 variance of the Poisson distribution is λt

 the Poisson distribution has the property that

its mean is the same as its variance
 arrival time
 The Poisson process is one of the most
widely-used counting processes.

  It is usually used in scenarios where we are

counting the occurrences of certain events
that appear to happen at a certain rate, but
completely at random (without a certain
structure). 
 For example,

  suppose that from historical data, we know

that earthquakes occur in a certain area with
a rate of 22 per month. Other than
this information, the timings of earthquakes
seem to be completely random. Thus, we
conclude that the Poisson process might be a
good model for earthquakes
 Suppose that we would like to model the
arrival of events that happen completely at
random at a rate λ� per unit time
 The arrival times of events in a Poisson

process will be continuous random variables.

In particular, the time between two successive
events, say event n − 1 and event n, we can
denote by Tn. This is called the interarrival
time or waiting time. In this notation, the
waiting time for the first event/arrival is T1
 We can also define the total time until the nth
event as Sn. Then in terms of the interarrival
times we have

By the same token we have:

 For example
 Consider, then, the first arrival, for which

which is the probability that the first event

has not arrive, on or before a time, t, is the
same as the probability that no events
have occurred in the time interval [0, t].
That is:
It follows that:
 But this is nothing but the probability
distribution function. Furthermore, it is the
well-known exponential distribution. Therefore,
for a Poisson process, the waiting time for the
first arrival/event is exponentially distributed.
 This is consistent with the idea that both the
Poisson process and exponential processes are
memoryless distributions.
 In a similar manner, one can deduce the
distribution for any interarrival time Tn
the nth arrival, for which
Sn = T1+T2+T3+…+Tn. Then P(Tn > t), which
is the probability that the nth
event has not arrive, on or before a time, t, is
the same as the probability that no events have
occurred in the time interval [0, t]. That is:
-

That is all waiting times have identical distributions (exponential),

and as we have already seen:
 Example 5.2 Incoming telephone calls to an
operator are assumed to be a Poisson process
 with parameter λ. Find the density function of the
length of time for n calls to be received, and find
the mean time and variance of the random
variable of the length of time for n calls
 We are now interested in the time Tn, which is the
earliest time at which the random variable
 N(t) = n occurs, and its distribution. The
probability distribution of the random variable Tn
 is given by.
The corresponding density function is
 which is the density function of a gamma
distribution with parameters n and λ. The
mean of this density function is

                  = n/λ
 Example 5.3 A fire and emergency rescue service receives calls
for assistance at a rate of ten
 per day. Teams man the service in twelve hour shifts. Assume
that requests for help form a
 Poisson process.
 (i) From the beginning of a shift, how long would the team
expect to wait until their first call?
 (ii) What is the probability that a team would receive six requests
for help in a shift?
 (iii) What is the probability that a team has no requests for
assistance in a shift
 (iv) Of calls for assistance, one in five is a false alarm. What is
the probability that a team has
 six requests for help in a shift but no false alarms?