The Poisson Process

Presented by Darrin Gershman and

Dave Wilkerson
Overview of Presentation
Who was Poisson?
What is a counting process?
What is a Poisson process?
What useful tools develop from the Poisson
process?
What types of Poisson processes are there?
What are some applications of the Poisson
process?

Simon Denis Poisson
Born: 6/21/1781-
Pithiviers, France
Died: 4/25/1840-
Sceaux, France
Life is good for only
two things:
discovering
mathematics and
teaching
mathematics.
Simon Denis Poisson
Poissons father originally wanted him to
become a doctor. After a brief apprenticeship
with an uncle, Poisson realized he did not want
to be a doctor.
After the French Revolution, more
opportunities became available for Poisson,
whose family was not part of the nobility.
Poisson went to the cole Centrale and later
the cole Polytechnique in Paris, where he
excelled in mathematics, despite having much
less formal education than his peers.

Poissons education and work
Poisson impressed his teachers Laplace and Lagrange
with his abilities.
Unfortunately, the cole Polytechnique specialized in
geometry, and Poisson could not draw diagrams well.
However, his final paper on the theory of equations
was so good he was allowed to graduate without
taking the final examination.
After graduating, Poisson received his first teaching
position at the cole Polytechnique in Paris, which
rarely happened.
Poisson did most of his work on ordinary and partial
differential equations. He also worked on problems
involving physical topics, such as pendulums and
sound.
Poissons accomplishments
Poisson held a professorship at the cole
Polytechnique, was an astronomer at the Bureau des
Longitudes, was named chair of the Facult des
Sciences, and was an examiner at the cole Militaire.
He has many mathematical and scientific tools
named for him, including Poisson's integral, Poisson's
equation in potential theory, Poisson brackets in
differential equations, Poisson's ratio in elasticity, and
Poisson's constant in electricity. He first published
his Poisson distribution in 1837 in Recherches sur la
probabilit des jugements en matire criminelle et
matire civile. Although this was important to
probability and random processes, other French
mathematicians did not see his work as significant.
His accomplishments were more accepted outside
France, such as in Russia, where Chebychev used
Poissons results to develop his own.
Counting Processes
{N(t), t > 0} is a counting process if N(t) is
the total number of events that occur by
time t
Ex. (1) number of cars passing by ,
EX. (2) number of home runs hit by a
baseball player
Facts about counting process N(t):
(a) N(t) > 0
(b) N(t) is integer-valued for all t
(c) If t > s, then N(t) > N(s)
(d) If t > s, then N(t)-N(s)=the number of
events in the interval (s,t]

Independent and stationary increments
A counting process N(t) has:
independent increments: if the number of events
occurring in disjoint time intervals are independent.
stationary increments The number of events
occurring in interval (s, s+t) has the same
distribution for all s (i.e., the number of events
occurring in an interval depends only on the length of
the interval).
Ex. The Store example

Poisson Processes
Definition 1:
Counting process {N(t), t > 0} is a Poisson process with rate ,
> 0, if:
(i) N(0)=0
(ii) N(t) has independent increments
(iii) the number of events in any interval of length t ~ Poi(t)
( s,t > 0, P{N(t+s) N(s) = n} =

From condition (iii), we know that N(t) also has stationary
increments and E[N(t)]= t
Conditions (i) and (ii) are usually easy to show, but condition
(iii) is more difficult to show. Thus, an alternate set of
conditions is useful for showing some N(t) is a Poisson
process.
,... 2 , 1 , 0 ,
!
) (
=

n
n
t
e
n
t

Alternate definition of Poisson process

{N(t), t > 0} is a Poisson process with rate , > 0, if:
(i) N(0)=0
(ii) N(t) has stationary and independent increments
(iii) P{N(h) = 1} = h + o(h)
(iv) P{N(h) > 2} = o(h)
where function f is said to be o(h) if

The first definition is useful when given that a sequence
is a Poisson process.
This alternate definition is useful when showing that a
given object is a Poisson process.
0
) (
lim
0
=

h
h f
h
Theorem: the alternate definition implies
definition 1.
Proof:
Fix , and let


by independent increments
by stationary increments

Assumptions (iii) and (iv) imply




0 > u
] [ ) (
) (t uN
e E t g

=
] [ ) (
] [ ] [
] [
] [ ) (
) (
)) ( ) ( ( ) (
)) ( ) ( ( ) (
) (
h uN
t N h t N u t uN
t N h t N u t uN
h t uN
e E t g
e E e E
e e E
e E h t g

+
+
+
=
=
=
= +
) ( 1 } 0 ) ( { h o h h N P + = =
Conditioning on whether N(h) = 0, N(h) = 1,
or N(h) 2 implies






As we get,

Which is the same as



>
h
h o
e t g
h
t g h t g
h o h e h t g h t g
h o h e h
h o h o h e h o h e E
u
u
u
u h uN
) (
) 1 ( ) (
) ( ) (
) ( ) 1 )( ( ) (
) ( 1
) ( )) ( ( ) ( 1 ] [
) (
+ =
+

+ + = +
+ + =
+ + + + =

0 h
) 1 ( ) ( ) ( ' =
u
e t g t g
) 1 (
) (
) ( '
=
u
e
t g
t g

Integrating and setting g(0)=1 gives,

Solving for g(t) we obtain,


This is the Laplace transform of a Poisson
random variable with mean .
) 1 ( )) ( log( =
u
e t t g
)} 1 ( {
) (

=
u
e t
e t g

t
Interarrival times
We will now look at the distribution of the times
between events in a Poisson process.
T
1
= time of first event in the Poisson process
T
2
= time between 1
st
and 2
nd
events
T
n
= time between (n-1)st and nth events.
{T
n
, n=1,2,} is the sequence of interarrival
times
What is the distribution of T
n
?

Distribution of T
n
First consider T
1
:
P{T
1
> t} = P{N(t)=0} = e
-t
(condition (iii) with s=0,
n=0)
Thus, T
1
~ exponential()
Now consider T
2
:
P{T
2
>t | T
1
=s} = P{0 events in (s,s+t] | T
1
=s} =
= P{0 events in (s,s+t] (by stationary increments)
= P{0 events in (0,t]} (by independent increments)
= P{N(t)=0} = e
-t

Thus, T
2
~ exponential() (same as T
1
)
Conclusion: The interarrival times T
n
, n=1,2, are iid
exponential() (mean 1/ )
Thus, we can say that the interarrival times are
memory less.

Waiting Times
We say S
n
, n=1,2, is the waiting time (or
arrival time) until the nth event occurs.
S
n
= , n > 1
S
n
is the sum of n iid exponential() random
variables.
Thus, S
n
~ Gamma(n, 1/)

=
n
i
i T
0
Poisson processes with multiple
types of events
Let {N(t), t>0} be a Poisson process with rate
Now partition events into type I, II
p=P(event of type I occurs), 1-p=P(event of type II
occurs)
N
1
(t) and N
2
(t) are the number of type I and type II
events
Results: (1) N(t) = N
1
(t) + N
2
(t)
(2) {N
1
(t), t>0} and {N
2
(t), t>0} are Poisson
processes with rates p and (1-p) respectively.
(3) {N
1
(t), t>0} and {N
2
(t), t>0} are independent.
example: males/females
Poisson processes that have more than 2 types of
events yield results analogous to those above.
Nonhomogeneous Poisson Processes
A nonhomogeneous Poisson process allows for the
arrival rate to be a function of time (t) instead of a
constant .
The definition for such a process is:
(i) N(0)=0
(ii) N(t) has independent increments
(iii) P{N(t+h) N(t) = 1} = (t)h + o(h)
(iv) P{N(t+h) N(t) > 2} = o(h)
Nonhomogeneous Poisson processes are useful when
the rate of events varies. For example, when
observing customers entering a restaurant, the
numbers will be much greater during meal times than
during off hours.
Compound Poisson Processes
Let {N(t), t > 0} be a Poisson process and let
{Y
i
, i > 1} be a family of iid random variables
independent of the Poisson process.

If we define X(t) = , t > 0, then {X(t), t > 0} is a

compound Poisson process.
ex. At a bus station, buses arrive according to a Poisson
process, and the amounts of people arriving on each bus
are independent and identically distributed. If X(t)
represents the number of people who arrive at the
station before time t.

=
) (
1
t N
i
i Y
Order Statistics
If N(t) = n, then n events occurred in [0,t]
Let S
1
,S
n
be the arrival times of those n
events.
Then the distribution of arrival times S
1
,S
n

is the same as the distribution of the order
statistics of n iid Unif(0,t) random variables.
Reminder: From a random sample X
1
,X
n
,
the ith order statistic is the ith smallest value,
denoted X
(i)
.
This makes intuitive sense, because the
Poisson process has stationary and
independent increments. Thus, we expect
the arrival times to be uniformly spread
across the interval [0,t]
Applications
Electrical engineering-(queueing systems) telephone
calls arriving to a system
Astronomy-the number of stars in a sector of space,
the number of solar flares
Chemistry-the number of atoms of a radioactive
element that decay
Biology-the number of mutations on a given strand of
DNA
History/war-the number of bombs the Germans
dropped on areas of London
Famous example (Bortkiewicz)-number of soldiers in
the Prussian cavalry killed each year by horse-kicks.

References
http://www-gap.dcs.stand.ac.uk/~history/Mathematicians/Poisson.html
http://www-gap.dcs.st-and.ac.uk/~history/PictDisplay/Poisson.html
http://www.worldhistory.com/wiki/P/Poisson-process.htm
http://www.wordiq.com/definition/Poisson_distribution
http://www.quantnotes.com/fundamentals/backgroundmaths/poission.htm
Grandell, Jan, Mixed Poisson Processes, New York: Chapman and Hall,
1997.
Hogg, Robert V. and Craig, Allen T., Introduction to Mathematical
Statistics, 5
th
Ed., Upper Saddle River, New Jersey: Prentice-Hall Inc.,
1995, pp. 126-8.
Ross, Sheldon M., Introduction to Probability Models, 8
th
Ed., New York:
Academic Press, pp. 288-322.