[Math] Conditional probability of a Poisson Process with overlapping Intervals

probability theorystochastic-processes

Customers arrive at a bank according to a Poisson Process with parameter $\lambda>0$.

Determine the (conditional) probability of exactly three customers arriving during the interval (1,3], given that exactly one customer will arrive during the interval (2,4].

Best Answer

One conditions on the event that exactly $1$ customer arrives in $(2,4)$. The arrival date of this unique customer is uniformly distributed on $(2,4)$ hence the number $N_{2,3}$ of customers arriving in $(2,3)$ is Bernoulli, that is, either $0$ or $1$ with equal probability. On the other hand, the number $N_{1,2}$ of customers arriving in $(1,2)$ is Poisson $\lambda$ and independent of the number of customers arriving in $(2,4)$. Finally, the number of customers arriving in $(1,3)$ is $N_{1,3}=N_{1,2}+N_{2,3}$. Thus, considering a Poisson random variable $X$ with parameter $\lambda$, $$ P(N_{1,3}=n\mid N_{2,4}=1)=\frac12P(X=n)+\frac12P(X=n-1), $$ that is, $$ P(N_{1,3}=0\mid N_{2,4}=1)=\frac12\mathrm e^{-\lambda}, $$ and, for every $n\geqslant1$, $$ P(N_{1,3}=n\mid N_{2,4}=1)=\frac12\mathrm e^{-\lambda}\left(\frac{\lambda^n}{n!}+\frac{\lambda^{n-1}}{(n-1)!}\right). $$