Solved – How to derive Poisson distribution from gamma distribution

distributionsexponential distributiongamma distributionpoisson distributionprobability

Let $T_1, T_2, \dots$ be iid sequence of exponential random variables with parameter $\lambda$. The sum $S_n = T_1 + T_2 + \dots + T_n$ is a Gamma distribution. Now as I understand the Poisson distribution is defined by $N_t$ as follows:

$$N_t = \max\{k: S_k \le t\}$$

How do I formally show that $N_t$ is a Poisson random variable?

Any suggestions appreciated. I tried to work out a number of proofs but cannot get to the final equation.

References

http://en.wikipedia.org/wiki/Exponential_distribution

http://en.wikipedia.org/wiki/Gamma_distribution

http://en.wikipedia.org/wiki/Poisson_distribution

Best Answer

I'm sure that Durrett's proof is nice. A straight forward solution to the question asked is as follows.

For $n \geq 1$

$$ \begin{array}{rcl} P(N_t = n) & = & \int_0^t P(S_{n+1} > t \mid S_n = s) P(S_n \in ds) \\ & = & \int_0^t P(T_{n+1} > t-s) P(S_n \in ds) \\ & = & \int_0^t e^{-\lambda(t-s)} \frac{\lambda^n s^{n-1} e^{-\lambda s}}{(n-1)!} \mathrm{d} s \\ & = & e^{-\lambda t} \frac{\lambda^n }{(n-1)!} \int_0^t s^{n-1} \mathrm{d} s \\ & = & e^{-\lambda t} \frac{(\lambda t)^n}{n!} \end{array} $$

For $n = 0$ we have $P(N_t = 0) = P(T_1 > t) = e^{-\lambda t}$.

This does not prove that $(N_t)_{t \geq 0}$ is a Poisson process, which is harder, but it does show that the marginal distribution of $N_t$ is Poisson with mean $\lambda t$.

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