Maximum loss and maximum gain of spectrally negative Lévy processes

DOI10.1007/S10687-016-0279-8zbMath1373.60074arXiv1510.03629OpenAlexW2566396015MaRDI QIDQ1675705

Ceren Vardar-Acar, Mine Caglar

Publication date: 2 November 2017

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1510.03629

zbMATH Keywords

fluctuation theoryreflected processmaximum drawdownmaximum drawupspectrally negative

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Signal detection and filtering (aspects of stochastic processes) (60G35) Sample path properties (60G17)

Related Items (2)

On the maximum increase and decrease of one-dimensional diffusions ⋮ Maximum drawdown and drawdown duration of spectrally negative Lévy processes decomposed at extremes

Cites Work

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• On the correlation of the supremum and the infimum and of maximum gain and maximum loss of Brownian motion with drift
• Fluctuations of Lévy processes with applications. Introductory lectures
• Old and New Examples of Scale Functions for Spectrally Negative Lévy Processes
• Probability and Stochastics
• The Theory of Scale Functions for Spectrally Negative Lévy Processes

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