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Poisson Process: Direct Calculation problem Consider a Poisson Process X (t) with intensity A. Let Yx denote the time to see the Kth arrival. Let

Poisson Process: Direct Calculation problem

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Consider a Poisson Process X (t) with intensity A. Let Yx denote the time to see the Kth arrival. Let us use the following direct approach to calculate the joint PDF of Y1, Y2. (a) Consider any two positive numbers y1 y1, Y2 > y2), and then find the joint PDF of Y1 and Y2 using the inclusion-exclusion principle

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