On the drawdown of completely asymmetric Lévy processes (Q454869): Difference between revisions

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+G51
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+G17
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+6092502
@@ Property / zbMATH DE Number: 6092502 / rank @@
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@@ Property / zbMATH Keywords @@
+spectrally one-sided Lévy process
@@ Property / zbMATH Keywords: spectrally one-sided Lévy process / rank @@
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+reflected process
@@ Property / zbMATH Keywords: reflected process / rank @@
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+drawdown
@@ Property / zbMATH Keywords: drawdown / rank @@
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+fluctuation theory
@@ Property / zbMATH Keywords: fluctuation theory / rank @@
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+excursion theory
@@ Property / zbMATH Keywords: excursion theory / rank @@
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+sextuple law
@@ Property / zbMATH Keywords: sextuple law / rank @@
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+MaRDI publication profile
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+W2073465431
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+.1460
@@ Property / arXiv ID: 1103.1460 / rank @@
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@@ Property / cites work @@
+Numerical Inversion of Laplace Transforms of Probability Distributions
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@@ Property / cites work @@
+Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options
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@@ Property / cites work @@
+Q3397638
@@ Property / cites work: Q3397638 / rank @@
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@@ Property / cites work @@
+Q4888858
@@ Property / cites work: Q4888858 / rank @@
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@@ Property / cites work @@
+Exponential decay and ergodicity of completely asymmetric Lévy processes in a finite interval
+Normal rank
@@ Property / cites work @@
+Q4331490
@@ Property / cites work: Q4331490 / rank @@
+Normal rank
@@ Property / cites work @@
+On Azéma-Yor processes, their optimal properties and the Bachelier-drawdown equation
+Normal rank
@@ Property / cites work @@
+Smoothness of scale functions for spectrally negative Lévy processes
+Normal rank
@@ Property / cites work @@
+On Lévy processes conditioned to stay positive
@@ Property / cites work: On Lévy processes conditioned to stay positive / rank @@
+Normal rank
@@ Property / cites work @@
+DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION
@@ Property / cites work: DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION / rank @@
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@@ Property / cites work @@
+Séminaire de Probabilités XXXVIII
@@ Property / cites work: Séminaire de Probabilités XXXVIII / rank @@
+Normal rank
@@ Property / cites work @@
+On Probability Characteristics of "Downfalls" in a Standard Brownian Motion
+Normal rank
@@ Property / cites work @@
+Risk processes perturbed by α-stable Lévy motion
+Normal rank
@@ Property / cites work @@
+Drawdowns preceding rallies in the Brownian motion model
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+Introductory lectures on fluctuations of Lévy processes with applications.
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+Exact and asymptotic \(n\)-tuple laws at first and last passage
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+Formulas for stopped diffusion processes with stopping times based on the maximum
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+On the maximum drawdown of a Brownian motion
@@ Property / cites work: On the maximum drawdown of a Brownian motion / rank @@
+Normal rank
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+Q4453259
@@ Property / cites work: Q4453259 / rank @@
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+Exit Properties of Stochastic Processes with Stationary Independent Increments
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+Q4662396
@@ Property / cites work: Q4662396 / rank @@
+Normal rank
@@ Property / cites work @@
+On exit and ergodicity of the spectrally one-sided Lévy process reflected at its infimum
+Normal rank
@@ Property / cites work @@
+An Excursion-Theoretical Approach to Some Boundary Crossing Problems and the Skorokhod Embedding for Reflected Lévy Processes
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@@ Property / cites work @@
+Formulas for stopped diffusion processes with stopping times based on drawdowns and drawups
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@@ Property / cites work @@
+The Russian option: Reduced regret
@@ Property / cites work: The Russian option: Reduced regret / rank @@
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@@ Property / cites work @@
+A stopped Brownian motion formula
@@ Property / cites work: A stopped Brownian motion formula / rank @@
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@@ Property / cites work @@
+Drawdowns and rallies in a finite time-horizon. Drawdowns and rallies
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@@ links / mardi / name / links / mardi / name @@
+Publication:454869