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July 3rd, 2017, 11:38 AM   #1
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From: Delft

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probability of X(X(t))

Hi there,

Does anybody have any idea how to write this probability in an integral form, so that I can program the formula and integrate it numerically? We have

F(x) = Pr({X(X(t))<=x}),

where X(t) is a gamma process with shape function a(t) and scale parameter b?

Otherwise saying, a gamma process subject to its self as a subordinator.

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