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Maximum drawdown and drawdown duration of spectrally negative Lévy processes decomposed at extremes

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Vardar-Acar, Ceren
Avram, Florin

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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.

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Springer Nature

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Mathematics

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Journal of Theoretical Probability

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10.1007/s10959-020-01014-z

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