Poisson functionals of Markov processes and queueing networks

Abstract

We present conditions under which a point process of certain jump times of a Markov process is a Poisson process. The central idea is that if the Markov process is stationary and the compensator of the point process in reverse time has a constant intensity a, then the point process is Poisson with rate a. A known example is that the output flow from an M/M/1 queueing system is Poisson. We present similar Poisson characterizations of more general marked point process functionals of a Markov process. These results yield easy-to-use criteria for a collection of such processes to be multivariate Poisson, compound Poisson, or marked Poisson with a specified dependence or independence. We discuss several applications for queueing systems with batch arrivals and services and for networks of queues. We also indicate how our results extend to functionals of non-Markovian processes.