Consider a Poisson process on the real line, and denote by

Chapter , Problem 22

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Consider a Poisson process on the real line, and denote by \(N(t_1, t_2)\) the number of events in the interval \((t_1, t_2)\). If \(t_0 < t_1 < t_2\), find the conditional distribution of \(N(t_0, t_1)\) given that \(N(t_0, t_2) = n\). (Hint: Use the fact that the numbers of events in disjoint subsets are independent.)

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