Module 2:Poisson Process and Kolmorogov equations
  Lecture 6:Derivation of Poisson Process
 

Note

  • In Figure 2.6, the event number which is fixed is in increments of 1
  • In Figure 2.6, the time between occurrence of events is non-deterministic

Now what is of relevance to us is the distribution of . In order to obtain the distribution of  we should note the following. In case   it means that no events occur in the time interval  and  has exponential distribution with a mean value of .

Now to find the distribution of ,  this gives us:

Hence ,  are i.i.d exponential random variables with mean