Maximum drawdown and drawdown duration of spectrally negative Lévy processes decomposed at extremes (Q2042048)

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.