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Sums and weighted sums of a gamma Markov sequence
Published online by Cambridge University Press: 14 July 2016
Abstract
We derive the Laplace transforms of sums and weighted sums of random variables forming a Markov chain whose stationary distribution is gamma. Both seasonal and non-seasonal cases are considered. The results are applied to two problems in stochastic reservoir theory.
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- Copyright © Applied Probability Trust 1988
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