Waiting time distribution is defined as the distribution of the time interval between two successive events. I'm looking at stochastic processes in discrete space and continuous time with non-exponential waiting time distributions. I want to see how these waiting time distributions relate with the probability of an event occurring in time interval $dt$.
While I know for exponential distributions how this can be done, I'm having trouble figuring it out for an arbitrary waiting time distributions.
Any help is appreciated :)