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Gamma process

This article is about the stochastic process. For the astrophysical nucleosynthesis process, see Gamma process (astrophysics).
Two different gamma processes from time 0 until time 4. The red process has more occurrences in the timeframe compared to the blue process because its shape parameter is larger than the blue shape parameter.

A gamma process, also called the Moran-Gamma subordinator,[1] is a two-parameter stochastic process which models the accumulation of effort or wear over time. The gamma process has independent and stationary increments which follow the gamma distribution, hence the name. The gamma process is studied in mathematics, statistics, probability theory, and stochastics, with particular applications in deterioration modeling[2] and mathematical finance.[3]

  1. ^ Klenke 2008, p. 536.
  2. ^ Sánchez-Silva & Klutke 2016, p. 93.
  3. ^ Fu & Madan 2007, p. 38.

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