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Maximum loss and maximum gain of spectrally negative Levy processes

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dc.contributor.coauthorVardar-Acar, Ceren
dc.contributor.departmentDepartment of Mathematics
dc.contributor.kuauthorFaculty Member, Çağlar, Mine
dc.contributor.schoolcollegeinstituteCollege of Sciences
dc.date.accessioned2024-11-10T00:06:58Z
dc.date.issued2017
dc.description.abstractThe 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.
dc.description.indexedbyWOS
dc.description.indexedbyScopus
dc.description.issue2
dc.description.openaccessYES
dc.description.publisherscopeInternational
dc.description.sponsoredbyTubitakEuN/A
dc.description.sponsorshipScientific and Technological Research Council of Turkey, TUBITAK[110T674] This work is supported by the Scientific and Technological Research Council of Turkey, TUBITAKProject No. 110T674
dc.description.volume20
dc.identifier.doi10.1007/s10687-016-0279-8
dc.identifier.eissn1572-915X
dc.identifier.issn1386-1999
dc.identifier.quartileQ3
dc.identifier.scopus2-s2.0-85004098287
dc.identifier.urihttps://doi.org/10.1007/s10687-016-0279-8
dc.identifier.urihttps://hdl.handle.net/20.500.14288/16695
dc.identifier.wos399837300003
dc.keywordsMaximum drawdown
dc.keywordsMaximum drawup
dc.keywordsSpectrally negative
dc.keywordsReflected process
dc.keywordsFluctuation theory
dc.keywordsExit
dc.language.isoeng
dc.publisherSpringer
dc.relation.ispartofExtremes
dc.subjectMathematics, interdisciplinary applications
dc.subjectStatistics and probability
dc.titleMaximum loss and maximum gain of spectrally negative Levy processes
dc.typeJournal Article
dspace.entity.typePublication
local.contributor.kuauthorÇağlar, Mine
local.publication.orgunit1College of Sciences
local.publication.orgunit2Department of Mathematics
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