Consider a Poisson process on [0, \infty) with parameter \lambda and let T be a random variable independent of the process. Assume T has an exponentia

Isa Trevino

Isa Trevino

Answered question

2021-05-05

Consider a Poisson process on [0,) with parameter λ and let T be a random variable independent of the process. Assume T has an exponential distribution with parameter v. Let NT denote the number of particles in the interval [0,T]. Compute the discrete density of NT.

Answer & Explanation

lobeflepnoumni

lobeflepnoumni

Skilled2021-05-06Added 99 answers

First of all, observe that NT is a counter of particle in a random interval [0,T]. Therefore, NT hs discrete support in N0. For kN0 we use law of the total probability to obtain that
P(NT=k)=0P(NT=kT=t)fT(t)dt=0P(Nt=kT=t)fT(t)dt
0P(Nt=k)fT(t)dt=0(λt)fk!eλtvevtdt=λkvk!0tke(λ+v)tdt
where in third equality we have used that T and considered Poisson process are independent. Now, let’s a calculate this integral. The key here is to use substitution u=(λ+v)t and use properties of gamma function. We have that
0tke(λ+v)tdt=1(λ+v)k+10ukeudu=Г(k+1)(λ+v)k+1=k!(λ+v)k+1. Finally, we have obtained that
P(NT=k)=λkvk!k!(λ+v)k+1=λkv(λ+v)k+1
P(NT=k)=λkv(λ+v)k+1 for kN0

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