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July 3rd, 2017, 12:38 PM  #1 
Newbie Joined: Jul 2017 From: Delft Posts: 1 Thanks: 1  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. Th, + 

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