Characterizations of the Poisson process as a renewal process via two conditional moments

Given two independent positive random variables, under some minor conditions, it is known that fromE(X^rX+Y)=a(X+Y)^r andE(X^sX+Y)=b(X+Y)^s, for certain pairs ofr ands, wherea andb are two constants, we can characterizeX andY to have gamma distributions. Inspired by this, in this article we will characterize the Poisson process among the class of renewal processes via two conditional moments. More precisely, let {A(t), t0} be a renewal process, with {S_k, k1} the sequence of arrival times, andF the common distribution function of the inter-arrival times. We prove that for some fixedn andk, kn, ifE(S_k^rA(t)=n)=at^r andE(S_k^sA(t)=n)=bt^s, for certain pairs ofr ands, wherea andb are independent oft, then {A(t), t0} has to be a Poisson process. We also give some corresponding results about characterizingFto be geometric whenF is discrete.Support for this research was provided in part by the National Science Council of the Republic of China, Grant No. NSC 81-0208-M110-06.