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I'm looking at the formula derivation process as shown below. I can't seem to understand how $E[X(t_3)|X(t_1)X(t_2)]$ turns to $X(t_2)$. I understand how the first equation turns into the second (thanks to the MSE community), but from second to third, I'm lost.

\begin{align}E[X(t_1)X(t_2)X(t_3)]&=E[X(t_1)X(t_2)E[X(t_3)\mid X(t_1)X(t_2)]]\\ &=E[X(t_1)X(t_2)X(t_2)]. \end{align}

Thanks a lot!

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A first step towards understanding might be greater precision. The first and third line of your equation have unbalanced brackets. –  joriki Dec 3 '12 at 3:56
    
yeah just caught that. thanks. –  user1486802 Dec 3 '12 at 7:59
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Recently you asked several very basic questions about conditional probability. I am not sure that your understanding of the subject is progressing (in the present case, obviously you forgot a hypothesis and once this hypothesis will be added, the proof will be trivial). All in all, this might be the right time to grab a good textbook on the subject and to study it in depth. What do you think? –  Did Dec 3 '12 at 8:14
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