Mathematics Stack Exchange is a question and answer site for people studying math at any level and professionals in related fields. Join them; it only takes a minute:

Sign up
Here's how it works:
  1. Anybody can ask a question
  2. Anybody can answer
  3. The best answers are voted up and rise to the top

I'm writing a bachelor thesis about Poisson Processes, and I need a method for the construction of these processes.

I know that I can construct them defining inter-arrival times with the exponential distribution, but this method don't work with inhomogeneous processes. Someone can help me?

share|cite|improve this question
By "construct" a process you mean numerically generate some realization (i.e. simulate it) ? – leonbloy Sep 9 '11 at 14:57

You can first generate a "canonical" Poisson process with constant intensity $\lambda=1$ and then construct your desired inhomogeneous process by remapping the "time", see here, section 5.

share|cite|improve this answer

In the case you're interested in the straightforward algorithm this can be useful for you. There is given a step by step algorithm together with an explanation.

share|cite|improve this answer

Your Answer


By posting your answer, you agree to the privacy policy and terms of service.

Not the answer you're looking for? Browse other questions tagged or ask your own question.