Chapter 2: Poisson Processes
Truong-Nhat Le, Ph.D
March 5, 2024
1. Some related distributions.
Poisson distribution
Exercise 1. A Boston subway station services the red, green, and orange lines. Subways on
each line arrive at the station according to three independent Poisson processes. On average,
there is one red train every 10 minutes, one green train every 15 minutes, and one orange train
every 20 minutes.
a) When you arrive at the station what is the probability that the first subway that arrives is
for the green line?
b) How long will you wait, on average, before some train arrives?
c) You have been waiting 20 minutes for a red train and have watched three orange trains go
by. What is the expected additional time you will wait for your subway?
a) 0.31 b) 4.615 (minutes) c) You will wait, on average, 10 more minutes
Exercise 2. The number of claims received each day by a claims center has a Poisson distribu-
tion. On Mondays, the center expects to receive 2 claims but on other days of the week, the
claims center expects to receive 1 claim per day. The numbers of claims received on separate
days are mutually independent of one another.
a) Find the probability that the claim center receives at least 2 claims in a day week (Monday
to Friday).
b) Find the probability that the claim center receives at least 3 claims in 5 days week.
Exponential distribution
Exercise 3. The time T required to repair a machine is Exp(2).
a) What’s the probability that a repair time exceeds 0.5 hour?
b) What’s the probability that a repair time exceeds 12.5 hours given that it’s greater than
12?
fT (x)
c) Using fT |T <c (x) = , find E[T |T < c].
P(T < c)
1
Chapter 2. Poisson Processes
d) Prove or disprove E[T |T > 2] = E[T + 2].
e) Prove or disprove E[T 2 |T > 2] = E[(T + 2)2 ].
f) Prove or disprove E[T 2 |T > 2] = E[T 2 ] + 2.
g) Prove or disprove E[T 2 |T > 2] = (E[T ] + 2)2 .
1 ce−λc
a) e−1 b) e−1 c) − d) yes (the memoryless of T ) e) yes f) no g)
λ 1 − e−λc
Exercise 4. Let X1 and let X2 be i.i.d. Exp(λ). Let X(1) = min(X1 , X2 ) and let X(2) =
max(X1 , X2 ).
a) Find the density function, mean and variance of X(1) .
b) Find the density function, mean and variance of X(2) .
3 5
a) X(1) ∼ Exp(2λ). b) fX(2) (x) = 2λ(e−λx − e−2λx ), x > 0 E(X(2) ) = , Var(X(2) ) =
2λ 4λ2
Exercise 5. The service times of customers coming through a checkout counter in retail store
are independent random variables with an exponential distribution with mean 1.5 minutes.
Approximate the probability that 100 customers can be services in less than 3 hours of total
service time.
0.9772
Exercise 6. A critical submarine component has a lifetime which is exponential distributed with
mean 10 days. Upon failure, replacement with anew component with identically characteristic
occurs What is the smallest number of spare components that the submarine should stock if it is
leaving for one year tour and wishes the probability of an inoperative caused by failure exceeding
the spare inventory to be less than 0.02?
Exercise 7. One has 100 bulbs whose light times are independent exponentials with mean 5
hours. If the bulbs are used one at time, with a failed bulb being immediately replaced by a new
one, what is the probability that there is still a working bulb after 525 hours.
Exercise 8. An insurance company sells two types of auto insurance policies: Basic and Deluxe.
The time until the next Basic Policy claim is an exponential random variable with mean two days.
The time until the next Deluxe Policy claim is an independent exponential random variable with
mean three days. What is the probability that the next claim will be a Deluxe Policy claim?
Exercise 9. Let λ > 0. Take a random variable T ∼ Exp(λ). Given T, let a random variable X
follow the Poisson distribution P (T 2 ).
a) Compute E(X|T = t) and E(X 2 |T = t). And so, E(X|T ) and E(X 2 |T ).
b) Using E[X] = E[E(X|T )] and E[X 2 ] = E[E(X 2 |T )], compute E(X) and Var(X).
Exercise 10. A machine consists of 3 components. The lifetime of these components constitute
independent r.v.’s with an exponential distributions and parameters 2, 3 and 6. The machine
will work only if only its parts work. Find the expected lifetime of the machine.