Frenk, J.B.G.; Nicolai, R.P. - Erasmus Research Institute of Management (ERIM), ERIM … - 2007
in detail the cumulative distribution function (cdf) of this so-called randomized hitting time. We first relate the cdf … of the (randomized) hitting time of a non-stationary gamma process to the cdf of a related hitting time of a stationary …
Approximating the Randomized Hitting Time Distribution
of a Non-stationary Gamma Process
J …