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Sums and weighted sums of a gamma Markov sequence

Published online by Cambridge University Press:  14 July 2016

Ravindra M. Phatarfod
Ravindra M. Phatarfod*
Affiliation:
Monash University
*
∗ Postal address: Department of Mathematics, Monash University, Clayton, VIC 3168, Australia.
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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.

Keywords

SEASONALRESERVOIRS
Type
Short Communications
Information
Journal of Applied Probability , Volume 25 , Issue 1 , March 1988 , pp. 204 - 209
Copyright
Copyright © Applied Probability Trust 1988 

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References

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