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Maximum loss and maximum gain of spectrally negative Levy processes

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Vardar-Acar, Ceren

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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.

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Springer

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Mathematics, interdisciplinary applications, Statistics and probability

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10.1007/s10687-016-0279-8

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