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I have set up a Linux server in DMZ.
There is another Windows server running in same DMZ.
These two servers can be pinged via internet using my home PC.
However, the another Linux server rented from a hosting service provider can only be pinged from the Windows Server and not from the Linux server (accessed via internet).

So the situation is:

Windows server (DMZ) ---ping---> Rented Server.....Successful
Linux server (DMZ) ---ping---> Rented Server.......Unreachable
Home PC ---ping---> Linux server (DMZ).......Successful
Home PC ---ping---> Windows server (DMZ).....Successful

When I ran tcpdump on my Linux Server(DMZ) and started ping from Rented Server, it showed that the Linux Server(DMZ) is receiving ping and replying.

There is no restriction defined in hosts.deny and hosts.allow file that might cause this problem.

What else should I check to get this working?

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your linux server (DMZ) can ping anything else to the outer world ? You icmp packages may fail in the next hop. You could use a tcp ping tool, or traceroute to check the path it follows

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Yes it can. I tracerouted and its correctly reaching Rented Server's boundary router. There seems to be nothing wrong with the path it follows as the traceroute result from Linux Server(DMZ) shows almost identical results as the traceroute from home PC. – misamisa Dec 11 '12 at 23:58

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