Hi,

Next time I promise I won't learn a new chapter just the day before the exam

We have two Poisson processes $\displaystyle N_1(t)$ and $\displaystyle N_2(t)$ which are independent (with parameters $\displaystyle \lambda,\mu$)

Then $\displaystyle N(t)=N_1(t)+N_2(t)$ is a Poisson process with parameter $\displaystyle \lambda+\mu$. Okay with that.

And it follows (how ??) that $\displaystyle N_2(t)-N_1(t)$ have the same distribution as $\displaystyle \sum_{i=1}^{N(t)} \epsilon_i$, where $\displaystyle P(\epsilon_i=1)=\frac{\lambda}{\lambda+\mu}$ and $\displaystyle P(\epsilon_i=-1)=\frac{\mu}{\lambda+\mu}$

I don't understand at all where the last part comes from

Thanks for any help