L22.7 Time of the K-th Arrival
We now follow a program that parallels our development for the case of the Bernoulli process. We will study the time until the first arrival, a random variable that we denote by T1. We're interested in finding the probability distribution of this random variable. And later on, we will continue and try to study the time until the kth arrival. Now T1 is a continuous random variable, because the Poisson process runs in continuous time. And therefore, it has a PDF. But instead of finding the PDF directly, we will first find the CDF of this random variable. So we fix a certain time, T. And we're asking for the probability that the first arrival happens during this interval. Now this is 1 minus the probability that the first arrival happens outside this interval. So we can write this probability as 1 minus the probability that T1 is bigger than t. But what is this event? The first arrival occurring after time, little t, is the same as saying that there were no arrivals ...