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

= >

<

( )
1 , 0
0, 0
x
e x
F x
x

=

<

( )
tX
t E e
t

(
= =


| |
1
E X

=
| |
2
1
Var X

=
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
1
and
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

i
, then
min(X
1
, X
2
, , X
n
) is
exponential w/parameter

1
+
2
+ +
n
Sum of n independent exponential r.v.s with common
parameter has a gamma distribution w/parameters (n, )
{ }
1
1 2
1 2
P X X


< =
+
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 , > 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 t (therefore, it has
stationary increments), i.e.,
( ) ( ) { }
( )
, 0,1,...
!
n
t
e t
P N t s N s n n
n

+ = = =
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
, > 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 = = +
( ) { } ( )
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/:
The (total) waiting time until
the nth event has a gamma
distn:
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

> = = =
{ }
2 1
t
P T t T s e

> = =
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 , 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 p and (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
1
and
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


+
+
=
+
| | | | | |
< =
| | |
+ +
\ .\ . \ .

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 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 (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 + = = +
( ) ( ) { } ( )
2 P N t h N t o h + =
( ) ( )
0
t
m t y dy =

( ) ( ) { }
( ) ( )
( ) ( ) ( )
, 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

= (

(
= (