Discrete-time stochastic processes

# Thus the interarrival times and the arrival epochs

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Unformatted text preview: ing process is equivalent to the Erlang density for the successive arrival epochs. Specifying the probability density for S1 , S2 , . . . , as Erlang speciﬁes the marginal densities of S1 , S2 , . . . ,, but need not specify the joint densities of these rv’s. Figure 2.4 illustrates this in terms of the joint density of S1 , S2 , given as fS1 S2 (s1 s2 ) = ∏2 exp(−∏s2 ) for 0 ≤ s1 ≤ s2 and 0 elsewhere. The ﬁgure illustrates how the joint density can be changed without changing the marginals. ✑ ✑ ✑ ✑ s1 ✑ ✑ ✑ ✑ ✑ ✑ 0 fS1 S2 (s1 s2 ) > 0 s2 Figure 2.4: The joint density of S1 , S2 is nonzero in the region shown. It can be changed, while holding the marginals constant, by reducing the joint density by ε in the upper left and lower right squares above and increasing it by ε in the upper right and lower left squares. There is a similar eﬀect with the Bernoulli process in that a discrete counting process for which the number of arrivals from 0 to t, for each integer t is a binomial rv, but the process is not Bernoulli. This is explored in Exercise 2.5. The next deﬁnition of a Poisson process is based on its incremental properties. Consider e the number of arrivals in some very small interval (t, t + δ ]. Since N (t, t + δ ) has the same 68 CHAPTER 2. POISSON PROCESSES distribution as N (δ ), we can use (2.15) to get n o e Pr N (t, t + δ ) = 0 = e−∏δ ≈ 1 − ∏δ + o(δ ) n o e Pr N (t, t + δ ) = 1 = ∏e−∏δ ≈ ∏δ + o(δ ) n o e Pr N (t, t + δ ) ≥ 2 ≈ o(δ ). (2.17) Deﬁnition 3 of a Poisson process: A Poisson counting process is a counting process that satisﬁes (2.17) and has the stationary and independent increment properties. We have seen that Deﬁnition 1 implies Deﬁnition 3. The essence of the argument the other way is that for any interarrival interval X , FX (x + δ ) − FX (x) is the probability of an arrival in an appropriate inﬁnitesimal interval of width δ , which by (2.17) is ∏δ + o(δ ). Turning this into a diﬀerential equation (see Exercise 2.7), we get the desired exponential interarrival intervals. Deﬁnition 3 has an intuitive appeal, since it is based on the idea of independent arrivals during arbitrary disjoint intervals. It has the disadvantage that one must do a considerable amount of work to be sure that these conditions are mutually consistent, and probably the easiest way is to start with Deﬁnition 1 and derive these properties. Showing that there is a unique process that satisﬁes the conditions of Deﬁnition 3 is even harder, but is not necessary at this point, since all we need is the use of these properties. Section 2.2.5 will illustrate better how to use this deﬁnition (or more precisely, how to use (2.17)). What (2.17) accomplishes, beyond the assumption of independent and stationary increments, in Deﬁnition 3 is the prevention of bulk arrivals. For example, consider a counting process in which arrivals always occur in pairs, and the intervals between successive pairs are IID and exponentially distributed with parameter ∏ (see Figure 2.5). For this process, n o n o e e Pr N (t, t + δ )=1 = 0, and Pr N (t, t+δ )=2 = ∏δ + o(δ ), thus violating (2.17). This process has stationary and independent increments, however, since the process formed by viewing a pair of arrivals as a single incident is a Poisson process. N (t) 4 ✛ 2 ✛ 0 X1 X2 ✲3 ✲1 S1 S2 Figure 2.5: A counting process modeling bulk arrivals. X1 is the time until the ﬁrst pair of arrivals and X2 is the interval between the ﬁrst and second pair of arrivals. 2.2. DEFINITION AND PROPERTIES OF THE POISSON PROCESS 2.2.5 69 The Poisson process as a limit of shrinking Bernoulli processes The intuition of Deﬁnition 3 can be achieved in a much less abstract way by starting with the Bernoulli process, which has the properties of Deﬁnition 3 in a discrete-time sense. We then go to an appropriate limit of a sequence of these processes, and ﬁnd that this sequence of Bernoulli processes converges in various ways to the Poisson process. Recall that a Bernoulli process is an IID sequence, Y1 , Y2 , . . . , of binary random variables for which pY (1) = q and pY (0) = 1 − q . We can visualize Yi = 1 as an arrival at time i and Yi = 0 as no arrival, but we can also ‘shrink’ the time scale of the process so that for some integer j > 0, Yi is an arrival or no arrival at time i2−j . We consider a sequence indexed by j of such shrinking Bernoulli processes, and in order to keep the arrival rate constant, we let q = ∏2−j for the j th process. Thus for each unit increase in j , the Bernoulli process shrinks by replacing each slot with two slots, each with half the previous arrival probability. The expected number of arrivals per time unit is then ∏, matching the Poisson process that we are approximating. If we look at this j th process relative to Deﬁnition 3 of a Poisson process, we see that for these regularly spaced increments o...
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## This note was uploaded on 09/27/2010 for the course EE 229 taught by Professor R.srikant during the Spring '09 term at University of Illinois, Urbana Champaign.

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