Just got my final back, and this was the only problem I couldn't figure out. Could someone show me how to do this? Thanks!

A Poisson process N(t) has rate $\displaystyle \lambda$= 1. Let $\displaystyle X_2$ be the time between the first and second arrivals of the process. Suppose there are exactly 2 arrivals in the interval $\displaystyle 0\leq t\leq 1$, so N(1) = 2. Find the conditional pdf of $\displaystyle X_2$ given that N(1) = 2. Use your result to calculate the mean and standard deviation of $\displaystyle X_2$ given that N(1) = 2.

We were given the hint to use the theorem of conditional arrival times, namely that given N(t) = n, the n arrival times $\displaystyle S_1,...,S_n$ have the same distribution as the order statistics corresponding to n independent random variables uniformly distributed on (0,t).

The only headway I was able to make was that $\displaystyle X_2 = S_2 - S_1$, so the conditional pdf of $\displaystyle X_2$ would be the pdf of $\displaystyle S_2$ minus the pdf of $\displaystyle S_1$. But when I used that to find the expected value, I got a ln(t), which is undefined at 0 so I figured I was wrong.