Module poisson

Poisson processes.

Structs

PoissonProcess

Homogeneous, constant intensity Poisson process. The intensity of the process is given by the average number of events between two instants: $$ \lambda = \lim_{h\to 0} \frac{\mathbb E[N_{t+h} - N_t]}{h} $$

VariablePoissonProcess

Poisson process with variable intensity. The average number of events between $t$ and $t+dt$ is $$ \mathbb{E}[ dN_t ] = \lambda(t) dt $$ where $\lambda(t)$ is a deterministic process.