Publication: Maximum loss and maximum gain of spectrally negative Levy processes
Program
KU-Authors
KU Authors
Co-Authors
Vardar-Acar, Ceren
Advisor
Publication Date
Language
English
Type
Journal Title
Journal ISSN
Volume Title
Abstract
The joint distribution of the maximum loss and the maximum gain is obtained for a spectrally negative L,vy process until the passage time of a given level. Their marginal distributions up to an independent exponential time are also provided. The existing formulas for Brownian motion with drift are recovered using the particular scale functions.
Source:
Extremes
Publisher:
Springer
Keywords:
Subject
Mathematics, interdisciplinary applications, Statistics and probability