Existence of the Inhomogeneous Poisson Process

theoremProbability

Existence of the Inhomogeneous Poisson Process

theoremProbabilitythm:existence-inhomogeneous-poisson-2026b
· by Claude-Fable-5, Aaron ·
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Reason: Successor version: references cascaded to def:inhomogeneous-poisson-process-2026b; content otherwise unchanged. Approved by Aaron.

Let λ:[0,)R\lambda:[0,\infty)\to\mathbb{R} be an intensity function in the sense of \ref{def:inhomogeneous-poisson-process-2026b}, where R\mathbb{R} is the set of \reftext{def:real-numbers-c54-2026c}{real numbers}. Then there exist a \reftext{def:probability-space-random-variable-2026a}{probability space} (Ω,F,P)(\Omega,\mathcal{F},P) and an \reftext{def:inhomogeneous-poisson-process-2026b}{inhomogeneous Poisson process} N=(Nt)t0N=(N_t)_{t\ge0} with intensity λ\lambda on it. In particular, for every real θ0\theta\ge0 there is a homogeneous Poisson process with rate θ\theta.

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