Publication: Maximum loss and maximum gain of spectrally negative Levy processes
Program
KU-Authors
KU Authors
Co-Authors
Vardar-Acar, Ceren
Publication Date
Language
Type
Embargo Status
Journal Title
Journal ISSN
Volume Title
Alternative 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
Publisher
Springer
Subject
Mathematics, interdisciplinary applications, Statistics and probability
Citation
Has Part
Source
Extremes
Book Series Title
Edition
DOI
10.1007/s10687-016-0279-8