English

On the moment distance of Poisson processes

Discrete Mathematics 2017-08-21 v9

Abstract

Consider the distance between two i.i.d. and independent Poisson processes with arrival rate λ>0\lambda>0 and respective arrival times X1,X2,X_1,X_2,\dots and Y1,Y2,Y_1,Y_2,\dots on a line. We give a closed analytical formula for the %expected distance to the power aa \EXk+rYka,\E{|X_{k+r}-Y_k|^a}, for any integer k1,r0k\ge 1, r\ge 0 and a1.a\ge 1. The expected difference of the arrival times to the power aa between two i.i.d. and independent Poisson processes we represent as the combination of the Pochhammer polynomials. Especially, for r=0r=0 and any positive integer a,a, the following identity is valid \EXkYka=a!λaΓ(a2+k)Γ(k)Γ(a2+1), \E{|X_k-Y_k|^a}=\frac{a!}{\lambda^a}\frac{\Gamma\left(\frac{a}{2}+k\right)}{\Gamma(k)\Gamma\left(\frac{a}{2}+1\right)}, where Γ(z)\Gamma(z) is Gamma function.

Cite

@article{arxiv.1507.01048,
  title  = {On the moment distance of Poisson processes},
  author = {Rafał Kapelko},
  journal= {arXiv preprint arXiv:1507.01048},
  year   = {2017}
}