Exit problems for general draw-down times of spectrally negative Lévy processes

Bo Li, Nhat Linh Vu, Xiaowen Zhou

Type: Preprint

Publication Date: 2017-01-01

Citations: 6

DOI: https://doi.org/10.48550/arxiv.1702.07259

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+	An Excursion-Theoretical Approach to Some Boundary Crossing Problems and the Skorokhod Embedding for Reflected Lévy Processes	2007	Martijn Pistorius
+ PDF Chat	Une solution simple au probleme de Skorokhod	1979	Jacques Azéma Marc Yor
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+ PDF Chat	Occupation densities in solving exit problems for Markov additive processes and their reflections	2012	Jevgeņijs Ivanovs Zbigniew Palmowski
+	Fluctuations of Lévy Processes with Applications	2014	Andreas E. Kyprianou
+	LÉVY PROCESSES (Cambridge Tracts in Mathematics 121)	1998	S. J. Taylor
+ PDF Chat	On Azéma-Yor processes, their optimal properties and the Bachelier-drawdown equation	2012	Nicole El Karoui Laurent Carraro Jan Obłój
+	On the drawdown of completely asymmetric Lévy processes	2012	Aleksandar Mijatović Martijn Pistorius
+ PDF Chat	Occupation Times, Drawdowns, and Drawups for One-Dimensional Regular Diffusions	2015	Hongzhong Zhang