(Solved): A2. Let {N(t):t>=0} be a Poisson process with intensity \lambda >0. For
n=1,2,dots, let S_(n) ...
A2. Let {N(t):t>=0} be a Poisson process with intensity \lambda >0. For
n=1,2,dots, let S_(n) be the epoch when the nth event occurs.
(1) For n=1,2,dots, find P(S_(n)<=t,S_(n+2)>t).
(2) Find E[S_(2)-S_(1)|N(1)=2].