Palm–Khintchine theorem

In probability theory, the PalmKhintchine theorem, the work of Conny Palm and Aleksandr Khinchin, expresses that a large number of renewal processes, not necessarily Poissonian, when combined ("superimposed") will have Poissonian properties.[1]

It is used to generalise the behaviour of users or clients in queuing theory. It is also used in dependability and reliability modelling of computing and telecommunications.

Theorem

According to Heyman and Sobel (2003),[1] the theorem states that the superposition of a large number of independent equilibrium renewal processes, each with a finite intensity, behaves asymptotically like a Poisson process:

Let be independent renewal processes and be the superposition of these processes. Denote by the time between the first and the second renewal epochs in process . Define the th counting process, and .

If the following assumptions hold

1) For all sufficiently large :

2) Given , for every and sufficiently large : for all

then the superposition of the counting processes approaches a Poisson process as .

See also

References

  1. Daniel P. Heyman, Matthew J. Sobel (2003). "5.8 Superposition of Renewal Processes". Stochastic Models in Operations Research: Stochastic Processes and Operating Characteristics.
This article is issued from Wikipedia. The text is licensed under Creative Commons - Attribution - Sharealike. Additional terms may apply for the media files.