On future drawdowns of Lévy processes (Q2360246): Difference between revisions

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+W1485453989
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+.3780
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+Russian and American put options under exponential phase-type Lévy models.
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+Cramér's estimate for Lévy processes
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+MAXIMUM DRAWDOWN INSURANCE
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+Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model
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+Financial Modelling with Jump Processes
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+On the infimum attained by a reflected Lévy process
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+Queues and Lévy fluctuation theory
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+THE NUMÉRAIRE PROPERTY AND LONG-TERM GROWTH OPTIMALITY FOR DRAWDOWN-CONSTRAINED INVESTMENTS
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+Ruin probabilities and overshoots for general Lévy insurance risk processes
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+Meromorphic Lévy processes and their fluctuation identities
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+The Theory of Scale Functions for Spectrally Negative Lévy Processes
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+Introductory lectures on fluctuations of Lévy processes with applications.
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+On magnitude, asymptotics and duration of drawdowns for Lévy models
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+On the drawdown of completely asymmetric Lévy processes
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+Markov chain approximations to scale functions of Lévy processes
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+Cramér asymptotics for finite time first passage probabilities of general Lévy processes
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+A Lévy input model with additional state-dependent services
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+On exit and ergodicity of the spectrally one-sided Lévy process reflected at its infimum
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+Formulas for stopped diffusion processes with stopping times based on drawdowns and drawups
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+Evaluating Scale Functions of Spectrally Negative Lévy Processes
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+VOTRE LÉVY RAMPE-T-IL?
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+Occupation Times, Drawdowns, and Drawups for One-Dimensional Regular Diffusions
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+Stochastic modeling and fair valuation of drawdown insurance
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