Nicolai, R.P.; Frenk, Frenk, J.B.G. - Faculteit der Economische Wetenschappen, Erasmus … - 2007
The non-stationary gamma process is a non-decreasing stochastic process with independent increments. By this monotonic … of the (randomized) hitting time of a non-stationary gamma process to the cdf of a related hitting time of a stationary … gamma process. Even for a stationary gamma process this cdf has in general no elementary formula and its evaluation is time …