Pages that link to "Item:Q454869"
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The following pages link to On the drawdown of completely asymmetric Lévy processes (Q454869):
Displayed 38 items.
- Perpetual American options in diffusion-type models with running maxima and drawdowns (Q271879) (← links)
- Markov chain approximations to scale functions of Lévy processes (Q492961) (← links)
- On the drawdowns and drawups in diffusion-type models with running maxima and minima (Q890509) (← links)
- On the depletion problem for an insurance risk process: new non-ruin quantities in collective risk theory (Q903681) (← links)
- Maximum loss and maximum gain of spectrally negative Lévy processes (Q1675705) (← links)
- Drawdown: from practice to theory and back again (Q1679554) (← links)
- Magnitude and speed of consecutive market crashes in a diffusion model (Q1703022) (← links)
- Pricing insurance drawdown-type contracts with underlying Lévy assets (Q1742698) (← links)
- Fair valuation of Lévy-type drawdown-drawup contracts with general insured and penalty functions (Q1987324) (← links)
- Parisian excursion below a fixed level from the last record maximum of Lévy insurance risk process (Q2001232) (← links)
- Pricing American drawdown options under Markov models (Q2030371) (← links)
- Maximum drawdown and drawdown duration of spectrally negative Lévy processes decomposed at extremes (Q2042048) (← links)
- Exit problems for positive self-similar Markov processes with one-sided jumps (Q2091523) (← links)
- Variational formulas for the exit time of hunt processes generated by semi-Dirichlet forms (Q2132543) (← links)
- General draw-down times for refracted spectrally negative Lévy processes (Q2152244) (← links)
- On the maximum increase and decrease of one-dimensional diffusions (Q2196380) (← links)
- On the analysis of deep drawdowns for the Lévy insurance risk model (Q2234758) (← links)
- Analysis of a drawdown-based regime-switching Lévy insurance model (Q2260949) (← links)
- Buffer-overflows: joint limit laws of undershoots and overshoots of reflected processes (Q2347452) (← links)
- On future drawdowns of Lévy processes (Q2360246) (← links)
- On the Laplace transforms of the first exit times in one-dimensional non-affine jump-diffusion models (Q2520532) (← links)
- The Parisian and ultimate drawdowns of Lévy insurance models (Q2682983) (← links)
- The moments of the discounted loss and the discounted dividends for a spectrally negative Lévy risk process (Q3449925) (← links)
- DRAWDOWN MEASURES AND RETURN MOMENTS (Q4555853) (← links)
- Drawdown analysis for the renewal insurance risk process (Q4575464) (← links)
- ON SOME FUNCTIONALS OF THE FIRST PASSAGE TIMES IN MODELS WITH SWITCHING STOCHASTIC VOLATILITY (Q4608109) (← links)
- A unified approach for drawdown (drawup) of time-homogeneous Markov processes (Q4684875) (← links)
- Time since maximum of Brownian motion and asymmetric Lévy processes (Q4686779) (← links)
- General drawdown of general tax model in a time-homogeneous Markov framework (Q5014313) (← links)
- Dividend payments until draw-down time for risk models driven by spectrally negative Lévy processes (Q5055203) (← links)
- Geometrically Convergent Simulation of the Extrema of Lévy Processes (Q5085135) (← links)
- Optimal discounted drawdowns in a diffusion approximation under proportional reinsurance (Q5087005) (← links)
- The<i>W</i>,<i>Z</i>scale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems (Q5135954) (← links)
- On some functionals of the first passage times in jump models of stochastic volatility (Q5206083) (← links)
- Exit problems for general draw-down times of spectrally negative Lévy processes (Q5226250) (← links)
- A pontryaghin maximum principle approach for the optimization of dividends/consumption of spectrally negative markov processes, until a generalized draw-down time (Q5242231) (← links)
- Occupation Times, Drawdowns, and Drawups for One-Dimensional Regular Diffusions (Q5246178) (← links)
- A general method for analysis and valuation of drawdown risk (Q6111436) (← links)