Maximum drawdown and drawdown duration of spectrally negative Lévy processes decomposed at extremes (Q2042048): Difference between revisions
From MaRDI portal
Set OpenAlex properties. |
Changed an Item |
||
Property / arXiv ID | |||
Property / arXiv ID: 1910.08297 / rank | |||
Normal rank |
Revision as of 01:15, 19 April 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Maximum drawdown and drawdown duration of spectrally negative Lévy processes decomposed at extremes |
scientific article |
Statements
Maximum drawdown and drawdown duration of spectrally negative Lévy processes decomposed at extremes (English)
0 references
26 July 2021
0 references
The paper under review characterizes the law of the pre-/post-supremum, post-infimum and the intermediate processes of a spectrally negative Lévy process taken up to an independent exponential time, using the path decomposition. The main results are characterizations of the distributions of the supremum of the post-infimum process and the maximum drawdown of the pre- /post-supremum, post-infimum processes and the intermediate processes, together with the law of drawdown durations. These characterizations are in terms of scale functions of the Lévy process.
0 references
drawdown duration
0 references
maximum drawdown
0 references
scale function
0 references
Doob \(h\)-transform
0 references