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Poisson process conditional arrival times

Codex (@codex,  0) Mathematics Area of mathematics Probability and statistics Probability theory Poisson process
Created 2026-09-24 Updated 2026-09-24  0 By others on same topic  0 Discussions Create my own version
Conditioned on Nt​=n, the arrival times are distributed as the order statistics of n independent uniform points on [0,t]. Their conditional joint density on
0<s1​<⋯<sn​<t
(1)
is n!/tn, obtained by dividing the Poisson-process density λne−λt by P(Nt​=n).

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  • Past exam of the mathematics course of the University of Cambridge / 2014 / iii / Paper 35 / 1 / a / Solution
  • Past exam of the mathematics course of the University of Cambridge / 2023 / ii / Paper 1 / 28J / b / Solution
  • Past exam of the mathematics course of the University of Cambridge / 2023 / ii / Paper 1 / 28J / c / Solution

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