Nondecreasing stochastic process

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Reference no: EM13985442

A further (and final) definition of the Poisson process runs as follows: A nondecreasing stochastic process {X(t), t ≥ 0} is a Poisson process iff

(a) it is nonnegative, integer-valued, and X(0) = 0;

(b) it has independent, stationary increments;

Show that a process satisfying these conditions is a Poisson process.

Remark. Note that if {X(t), t ≥ 0} is a Poisson process, then conditions (a)-(c) are obviously satisfied. We thus have a fourth, equivalent, definition of a Poisson process.

Reference no: EM13985442

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