The understanding of Poisson process

poisson processprobabilitystochastic-processes

I am learning Poisson Process right now and confused about some concepts about it.

First, we know a stochastic process has two parameters, the event $\omega$ and the time $t$. For a given $t$, the process will be a random variable, and for a given $\omega$, it will be a sample path. But for a Poisson process, how to fix a $\omega$ or more precisely, what is the $\omega$ in a Poisson Process. Could you put forward an example showing how to fix the $\omega$.

Second, I understand that in a Poisson Process, for a relatively small $h$, $P\left\{N\left(t+h\right)-N\left(t\right) \geqq 2\right\} = o\left(h\right)$, which means there is a tiny probability that an event can happen more than twice at a certain point. Does this property contradict with the definition of the Poisson Distribution, that is for a given $t$, the event can happen once, twice and so on.

Best Answer

  1. For a homogeneous Poisson point process (as a counting process $\{N(t,\omega): t\in\mathbb{R}_+, \omega\in\Omega\}$), the possible sample paths $\{N(\cdot,\omega):\omega\in\Omega\}$ are just right-continuous step functions with unit jumps, so each path is uniquely specified by its jump locations, say $\omega=(t_1,t_2,\ldots)\in\mathbb{R}_+^\infty.$ Once all these "arrival times" are specified, $N(\cdot,\omega)$ is fixed as the corresponding step function. (In other words, we can take the underlying "possibility space" $\Omega$ to be the set of all possible arrival-time sequences.)

  2. The random variable $N(t)=N(t,\cdot)$ counts the number of arrivals in the interval $(0,t]$, so $N\left(t+h\right)-N\left(t\right)$ is the number of arrivals in $(t,t+h]$. Now, $P\left\{N\left(t+h\right)-N\left(t\right) \ge 2\right\} = o\left(h\right)$ means that this probability divided by $h$, approaches $0$ as $h\to 0$; i.e., the probability of more than one arrival in $(t,t+h]$, divided by $h$, approaches $0$ as the interval width $h\to 0.$ But this is exactly what we have if $N(t+h)-N(t)$ has a $\text{Poisson}(\lambda h)$ Distribution: $$\begin{align}&\lim_{h\to 0}{P(N(t+h)-N(t)\ge 2)\over h}\\ &=\lim_{h\to 0}{1-P(N(t+h)-N(t)=0)-P(N(t+h)-N(t)=1)\over h}\\[2ex] &=\lim_{h\to 0}{1-e^{-\lambda h}(\lambda h)^0/0!-e^{-\lambda h}(\lambda h)^1/1!\over h}\\[2ex] &=\lim_{h\to 0}{1-(1-\lambda h+o(h))-(1-\lambda h+o(h))(\lambda h)\over h}\\[2ex] &=0 \end{align}$$

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