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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?

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

2 Answers 2

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.

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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.

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