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Question on Poisson processes

  1. Aug 24, 2011 #1
    1. The problem statement, all variables and given/known data

    Let [itex]N(t)[/itex] be a Poisson process with intensity [itex]a[/itex]. Let [itex]T[/itex] be the occurrence of the first event in [itex](0,t][/itex] for some [itex]t>0[/itex], if there is such a one. If there are no events in [itex](0,t][/itex] we set [itex]T=t[/itex]. Compute [itex]E(T)[/itex].

    2. Relevant equations
    None.


    3. The attempt at a solution
    I have no clue, but I would really appreciate some help.
     
  2. jcsd
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