i) Let (Tk) be the inter event time between the (k-1)th and kth events in a Poisson process.So for example T1 is the time from the start of the process until the first event. What is the probability density function of T1?
ii) Let Wn = T1 + T2 + ..... + Tn be the time until the nth event occurs.Derive the probability density function of Wn