Publication: Maximum drawdown and drawdown duration of spectrally negative Lévy processes decomposed at extremes
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Program
KU-Authors
KU Authors
Co-Authors
Vardar-Acar, Ceren
Avram, Florin
Advisor
Publication Date
2021
Language
English
Type
Journal Article
Journal Title
Journal ISSN
Volume Title
Abstract
Path decomposition is performed to characterize the law of the pre-/post-supremum, post-infimum and the intermediate processes of a spectrally negative Lévy process taken up to an independent exponential time T. As a result, mainly the distributions of the supremum of the post-infimum process and the maximum drawdown of the pre-/post-supremum, post-infimum processes and the intermediate processes are obtained together with the law of drawdown durations.
Description
Source:
Journal of Theoretical Probability
Publisher:
Springer Nature
Keywords:
Subject
Mathematics