Publication: Maximum loss and maximum gain of spectrally negative Levy processes
| dc.contributor.coauthor | Vardar-Acar, Ceren | |
| dc.contributor.department | Department of Mathematics | |
| dc.contributor.kuauthor | Çağlar, Mine | |
| dc.contributor.kuprofile | Faculty Member | |
| dc.contributor.other | Department of Mathematics | |
| dc.contributor.schoolcollegeinstitute | College of Sciences | |
| dc.contributor.yokid | 105131 | |
| dc.date.accessioned | 2024-11-10T00:06:58Z | |
| dc.date.issued | 2017 | |
| dc.description.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. | |
| dc.description.indexedby | WoS | |
| dc.description.indexedby | Scopus | |
| dc.description.issue | 2 | |
| dc.description.openaccess | YES | |
| dc.description.publisherscope | International | |
| dc.description.sponsoredbyTubitakEu | N/A | |
| dc.description.sponsorship | Scientific 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.volume | 20 | |
| dc.identifier.doi | 10.1007/s10687-016-0279-8 | |
| dc.identifier.eissn | 1572-915X | |
| dc.identifier.issn | 1386-1999 | |
| dc.identifier.quartile | Q3 | |
| dc.identifier.scopus | 2-s2.0-85004098287 | |
| dc.identifier.uri | http://dx.doi.org/10.1007/s10687-016-0279-8 | |
| dc.identifier.uri | https://hdl.handle.net/20.500.14288/16695 | |
| dc.identifier.wos | 399837300003 | |
| dc.keywords | Maximum drawdown | |
| dc.keywords | Maximum drawup | |
| dc.keywords | Spectrally negative | |
| dc.keywords | Reflected process | |
| dc.keywords | Fluctuation theory | |
| dc.keywords | Exit | |
| dc.language | English | |
| dc.publisher | Springer | |
| dc.source | Extremes | |
| dc.subject | Mathematics, interdisciplinary applications | |
| dc.subject | Statistics and probability | |
| dc.title | Maximum loss and maximum gain of spectrally negative Levy processes | |
| dc.type | Journal Article | |
| dspace.entity.type | Publication | |
| local.contributor.authorid | 0000-0001-9452-5251 | |
| local.contributor.kuauthor | Çağlar, Mine | |
| relation.isOrgUnitOfPublication | 2159b841-6c2d-4f54-b1d4-b6ba86edfdbe | |
| relation.isOrgUnitOfPublication.latestForDiscovery | 2159b841-6c2d-4f54-b1d4-b6ba86edfdbe |