ABSTRACT
In this chapter we study an important special class of continuous-time stochastic processes called Poisson processes. These processes are defined in terms of random variables with exponential distribution, called “exponential random variables” for short. We shall see in this and the next few chapters that exponential random variables are used to build a large number of stochastic models. It is critical for a student to develop an ability to deal with the exponential distribution with ease, without having to think too much. With this in mind we have collected several relevant properties of the exponential distribution in this section. We begin with the definition.
