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(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].


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