What is the distribution of the difference of two gamma distributions with same scale parameter, and shape parameter of the first one is k(1+e), e -> 0 and second one is k. What i exactly want to know is the following. X~Gamma(K(1+e),\theta) Y~Gamma(K,\theta) Prob (X>Y) or P(X-Y)>0. While trying to integrate i am stuck at the following intermediate step. int (0,inf) (y)^(Ke-1) exp(-y/"\theta") Gamma(K,y/"\thata") dy. Please suggest any way out.