Poisson process

A Poisson process, named after the French mathematician Siméon-Denis Poisson (1781 - 1840), is a stochastic process which is used for modeling random events in time that occur to a large extent independently of one another (the word event used here is not an instance of the concept of event frequently used in probability theory). Possible examples of such events include telephone calls arriving at a switchboard or webpage requests on a server.

The Poisson process is a collection $$\scriptstyle\{ N(t) : t \geq 0 \}$$ of random variables, where N(t) is the number of events that have occurred up to time t (starting from time 0). The number of events between time a and time b is given as N(b) &minus; N(a) and has a Poisson distribution. Each realization of the process {N(t)} is a non-negative integer-valued step function that is non-decreasing, but for intuitive purposes it is usually easier to think of it as a point pattern on [0,&infin;) (the points in time where the step function jumps, i.e. the points in time where an event occurs).

The Poisson process is a continuous-time process: its discrete-time counterpart is the Bernoulli process. The Poisson process is one of the most well-known Lévy processes. Poisson processes are also examples of continuous-time Markov processes. A Poisson process is a pure-birth process, the simplest example of a birth-death process. By the aforementioned interpretation as a random point pattern on [0,&infin;) it is also a point process on the real half-line.

Homogeneous Poisson process


A homogeneous Poisson process is characterized by a rate parameter &lambda;, also known as intensity, such that the number of events in time interval $$(t,t+ \tau]$$ follows a Poisson distribution with associated parameter $$\lambda\tau$$. This relation is given as


 * $$ P [(N(t+ \tau) - N(t)) = k] = \frac{e^{-\lambda \tau} (\lambda \tau)^k}{k!} \qquad k= 0,1,\ldots,$$

where N(t + &tau;) &minus; N(t) describes the number of events in time interval (t, t + &tau;].

Just as a Poisson random variable is characterized by its scalar parameter &lambda;, a homogeneous Poisson process is characterized by its rate parameter &lambda;, which is the expected number of "events" or "arrivals" that occur per unit time.

N(t) is a sample homogeneous Poisson process, not to be confused with a density or distribution function.

Non-homogeneous Poisson process
(also known as an inhomogeneous Poisson process)

In general, the rate parameter may change over time. In this case, the generalized rate function is given as &lambda;(t). Now the expected number of events between time a and time b is


 * $$\lambda_{a,b} = \int_a^b \lambda(t)\,dt.$$

Thus, the number of arrivals in the time interval (a, b], given as N(b) &minus; N(a), follows a Poisson distribution with associated parameter &lambda;a,b


 * $$ P [(N(b) - N(a)) = k] = \frac{e^{-\lambda_{a,b}} (\lambda_{a,b})^k}{k!} \qquad k= 0,1,\ldots.$$

A homogeneous Poisson process may be viewed as a special case when &lambda;(t) = &lambda;, a constant rate.

Spatial Poisson process
A further variation on the Poisson process, called the spatial Poisson process, introduces a spatial dependence on the rate function and is given as $$\lambda(\vec{x},t)$$ where $$\vec{x} \in D$$ for some vector space V (e.g. R2 or R3). For any set $$S \subset V$$ (e.g. a spatial region) with finite measure, the number of events occurring inside this region can be modelled as a Poisson process with associated rate function &lambda;S(t) such that


 * $$\lambda_S(t) = \int_S \lambda(\vec{x},t)\,d\vec{x}.$$

In the special case that this generalized rate function is a separable function of time and space, we have:


 * $$\lambda(\vec{x},t) = f(\vec{x}) \lambda(t)$$

for some function $$f(\vec{x})$$. Without loss of generality, let


 * $$\int_V f(\vec{x}) \, d\vec{x}=1.$$

else we may scale $$f(\vec{x})$$ and $$\lambda(t)$$ appropriately. Now, $$f(\vec{x})$$ represents the spatial probability density function of these random events in the following sense. The act of sampling this spatial Poisson process is equivalent to sampling a Poisson process with rate function &lambda;(t), and associating with each event a random vector $$\vec{X}$$ sampled from the probability density function $$f(\vec{x})$$. A similar result can be shown for the general (non-separable) case.

General characteristics of the Poisson process
In its most general form, the only two conditions for a stochastic process to be a Poisson process are:


 * Orderliness: which roughly means


 * $$\lim_{\Delta t\to 0} P(N(t+\Delta t) - N(t) > 1 \mid N(t+\Delta t) - N(t) \geq 1)=0 $$


 * which implies that arrivals don't occur simultaneously (but this is actually a mathematically-stronger statement).


 * Memorylessness (also called evolution without after-effects): the number of arrivals occurring in any bounded interval of time after time t is independent of the number of arrivals occurring before time t.

These seemingly unrestrictive conditions actually impose a great deal of structure in the Poisson process. In particular, they imply that the time between consecutive events (called interarrival times) are independent random variables. For the homogeneous Poisson process, these inter-arrival times are exponentially-distributed with parameter &lambda;. Also, the memorylessness property shows that the number of events in one time interval is independent from the number of events in an interval that is disjoint from the first interval. This latter property is known as the independent increments property of the Poisson process.

To illustrate the exponentially-distributed inter-arrival times property, consider a homogeneous Poisson process N(t) with rate parameter &lambda;, and let Tk be the time of the kth arrival, for k = 1, 2, 3, ... . Clearly the number of arrivals before some fixed time t is less than k if and only if the waiting time until the kth arrival is more than t. In symbols, the event [ N(t) < k ] occurs if and only if the event [ Tk > t ]. Consequently the probabilities of these events are the same:


 * $$P(T_k>t) = P(N(t)t)=P(N(t)=0)=P [(N(t) - N(0)) = 0] = \frac{e^{-\lambda t} (\lambda t)^0}{0!} = e^{-\lambda t}.$$

Consequently, the waiting time until the first arrival $$T_1$$ has an exponential distribution, and is thus memoryless. One can similarly show that the other interarrival times $$T_k-T_{k-1}$$ share the same distribution. Hence, they are independent, identically-distributed (i.i.d.) random variables with parameter &lambda; > 0; and expected value 1/&lambda;. For example, if the average rate of arrivals is 5 per minute, then the average waiting time between arrivals is 1/5 minute.

Examples

 * The number of web page requests arriving at a server may be characterized by a Poisson process except for unusual circumstances such as coordinated denial of service attacks.


 * The number of telephone calls arriving at a switchboard, or at an automatic phone-switching system, may be characterized by a Poisson process.


 * The number of photons hitting a photodetector, when lit by a laser source, may be characterized by a homogeneous Poisson process. Other sources may show either a bunching or an antibunching of the photons.


 * The number of particles emitted via radioactive decay by an unstable substance may be characterized by a non-homogeneous Poisson process, where the rate decays as the substance stabilizes.


 * The number of raindrops falling over a wide spatial area may be characterized by a spatial Poisson process.


 * The arrival of "customers" is commonly modelled as a Poisson process in the study of simple queueing systems.