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

dc.contributor.coauthorVardar-Acar, Ceren
dc.contributor.coauthorAvram, Florin
dc.contributor.departmentDepartment of Mathematics
dc.contributor.kuauthorÇağlar, Mine
dc.contributor.kuprofileFaculty Member
dc.contributor.otherDepartment of Mathematics
dc.contributor.schoolcollegeinstituteCollege of Sciences
dc.contributor.yokid105131
dc.date.accessioned2024-11-09T13:26:06Z
dc.date.issued2021
dc.description.abstractPath 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.fulltextYES
dc.description.indexedbyWoS
dc.description.indexedbyScopus
dc.description.issue3
dc.description.openaccessYES
dc.description.publisherscopeInternational
dc.description.sponsoredbyTubitakEuTÜBİTAK
dc.description.sponsorshipScientific and Technological Research Council of Turkey (TÜBİTAK)
dc.description.versionAuthor's final manuscript
dc.description.volume34
dc.formatpdf
dc.identifier.doi10.1007/s10959-020-01014-z
dc.identifier.eissn1572-9230
dc.identifier.embargoNO
dc.identifier.filenameinventorynoIR03318
dc.identifier.issn0894-9840
dc.identifier.linkhttps://doi.org/10.1007/s10959-020-01014-z
dc.identifier.quartileQ4
dc.identifier.scopus2-s2.0-85086024457
dc.identifier.urihttps://hdl.handle.net/20.500.14288/3472
dc.identifier.wos538360400001
dc.keywordsDoob h-transform
dc.keywordsDrawdown duration
dc.keywordsExtreme values
dc.keywordsMaximum drawdown
dc.keywordsScale function
dc.languageEnglish
dc.publisherSpringer Nature
dc.relation.grantno117F273
dc.relation.urihttp://cdm21054.contentdm.oclc.org/cdm/ref/collection/IR/id/10099
dc.sourceJournal of Theoretical Probability
dc.subjectMathematics
dc.titleMaximum drawdown and drawdown duration of spectrally negative Lévy processes decomposed at extremes
dc.typeJournal Article
dspace.entity.typePublication
local.contributor.authorid0000-0001-9452-5251
local.contributor.kuauthorÇağlar, Mine
relation.isOrgUnitOfPublication2159b841-6c2d-4f54-b1d4-b6ba86edfdbe
relation.isOrgUnitOfPublication.latestForDiscovery2159b841-6c2d-4f54-b1d4-b6ba86edfdbe

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