Question

(5) Fix an integer n > 1. (a) Show that the joint law of the arrival times YİJG…· for a Poisson(A) process has pdf 1 2.In y1 , . . . ,yn) = : otherwise. Hint: Exploit the relation to the waiting times Ti, T2,...,Tn to compare MGFs. (b) Find the joint law of Yi,%, . ..,y, conditioned on Y,-+1 = 1.

Answer 1

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