On future drawdowns of Lévy processes (Q2360246)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On future drawdowns of Lévy processes |
scientific article |
Statements
On future drawdowns of Lévy processes (English)
0 references
30 June 2017
0 references
Lévy process
0 references
reflected process
0 references
drawdown process
0 references
Cramér asymptotics
0 references
heavy-tailed distributions
0 references
queueing
0 references
workload process
0 references
Black-Scholes-Samuelson model
0 references
