Maximum Drawdown and Drawdown Duration of Spectrally Negative Lévy Processes Decomposed at Extremes

Ceren Vardar-Acar, Mine Çağlar, Florin Avram

Type: Article

Publication Date: 2020-06-06

Citations: 2

DOI: https://doi.org/10.1007/s10959-020-01014-z

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Journal of Theoretical Probability - View
arXiv (Cornell University) - View - PDF
Digital Collections portal (Koç University) - View - PDF

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Citing (13)

Action	Title	Year	Authors
+ PDF Chat	On maximum increase and decrease of Brownian motion	2007	Paavo Salminen Pierre Vallois
+ PDF Chat	Path decompositions for real Levy processes	2003	Thomas Duquesne
+	Splitting at the infimum and excursions in half-lines for random walks and Lévy processes	1993	Jean Bertoin
+ PDF Chat	On Lévy processes conditioned to stay positive.	2005	Loïc Chaumont R. A. Doney
+ PDF Chat	Zero-one laws and the minimum of a Markov process	1977	P. W. Millar
+ PDF Chat	The Theory of Scale Functions for Spectrally Negative Lévy Processes	2012	Alexey Kuznetsov Andreas E. Kyprianou Víctor M. Hernández Rivero
+	Fluctuations of Lévy Processes with Applications	2014	Andreas E. Kyprianou
+	Probability and Stochastics	2011	Erhan Çınlar
+	Fluctuations of Lévy Processes with Applications: Introductory Lectures	2014	Andreas E. Kyprianou
+	On future drawdowns of Lévy processes	2017	Erik J. Baurdoux Zbigniew Palmowski Martijn Pistorius
+ PDF Chat	Path decomposition of ruinous behavior for a general Lévy insurance risk process	2012	Philip S. Griffin Ross Maller
+	On the drawdown of completely asymmetric Lévy processes	2012	Aleksandar Mijatović Martijn Pistorius
+	On magnitude, asymptotics and duration of drawdowns for Lévy models	2016	David Landriault Bin Li Hongzhong Zhang