In a Poisson process with intensity λ, let X1 be the time untill the first event and let X2 be the time between the first and the second event. Let Y be the time untill the second event, that is, Y = X1 + X2. Find the density function f(y).
Attempt:
Probability that no events occur in time y:
\(
p(0; \lambda X1) = e^{- \lambda t}
\)
I don't know if this will be helpful at all...
Attempt:
Probability that no events occur in time y:
\(
p(0; \lambda X1) = e^{- \lambda t}
\)
I don't know if this will be helpful at all...