If $X∼\textrm{Gamma}(a,b_1)$ and $Y∼\textrm{Gamma}(a,b_2)$, $X$ and $Y$ are independent, what is the distribution of $X-Y$?
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You may want to look at this: http://stats.stackexchange.com/questions/48378/difference-of-gamma-random-variables – Arash May 04 '14 at 21:46
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Thank you for the link, but here the two shape parameters are the same. – user258682 May 04 '14 at 21:52