Publication: Maximum drawdown and drawdown duration of spectrally negative Lévy processes decomposed at extremes
dc.contributor.coauthor | Vardar-Acar, Ceren | |
dc.contributor.coauthor | Avram, Florin | |
dc.contributor.department | Department of Mathematics | |
dc.contributor.kuauthor | Çağlar, Mine | |
dc.contributor.kuprofile | Faculty Member | |
dc.contributor.other | Department of Mathematics | |
dc.contributor.schoolcollegeinstitute | College of Sciences | |
dc.contributor.yokid | 105131 | |
dc.date.accessioned | 2024-11-09T13:26:06Z | |
dc.date.issued | 2021 | |
dc.description.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. | |
dc.description.fulltext | YES | |
dc.description.indexedby | WoS | |
dc.description.indexedby | Scopus | |
dc.description.issue | 3 | |
dc.description.openaccess | YES | |
dc.description.publisherscope | International | |
dc.description.sponsoredbyTubitakEu | TÜBİTAK | |
dc.description.sponsorship | Scientific and Technological Research Council of Turkey (TÜBİTAK) | |
dc.description.version | Author's final manuscript | |
dc.description.volume | 34 | |
dc.format | ||
dc.identifier.doi | 10.1007/s10959-020-01014-z | |
dc.identifier.eissn | 1572-9230 | |
dc.identifier.embargo | NO | |
dc.identifier.filenameinventoryno | IR03318 | |
dc.identifier.issn | 0894-9840 | |
dc.identifier.link | https://doi.org/10.1007/s10959-020-01014-z | |
dc.identifier.quartile | Q4 | |
dc.identifier.scopus | 2-s2.0-85086024457 | |
dc.identifier.uri | https://hdl.handle.net/20.500.14288/3472 | |
dc.identifier.wos | 538360400001 | |
dc.keywords | Doob h-transform | |
dc.keywords | Drawdown duration | |
dc.keywords | Extreme values | |
dc.keywords | Maximum drawdown | |
dc.keywords | Scale function | |
dc.language | English | |
dc.publisher | Springer Nature | |
dc.relation.grantno | 117F273 | |
dc.relation.uri | http://cdm21054.contentdm.oclc.org/cdm/ref/collection/IR/id/10099 | |
dc.source | Journal of Theoretical Probability | |
dc.subject | Mathematics | |
dc.title | Maximum drawdown and drawdown duration of spectrally negative Lévy processes decomposed at extremes | |
dc.type | Journal Article | |
dspace.entity.type | Publication | |
local.contributor.authorid | 0000-0001-9452-5251 | |
local.contributor.kuauthor | Çağlar, Mine | |
relation.isOrgUnitOfPublication | 2159b841-6c2d-4f54-b1d4-b6ba86edfdbe | |
relation.isOrgUnitOfPublication.latestForDiscovery | 2159b841-6c2d-4f54-b1d4-b6ba86edfdbe |
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