Formulas for stopped diffusion processes with stopping times based on the maximum

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40)

Cited in

(46)

On the analysis of deep drawdowns for the Lévy insurance risk model
Stochastic modeling and fair valuation of drawdown insurance
On a doubly reflected risk process with running maximum dependent reflecting barriers
Drawdown analysis for the renewal insurance risk process
Some time-invariant stopping rule problems
TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems
A drawdown reflected spectrally negative Lévy process
Generalized expected discounted penalty function at general drawdown for Lévy risk processes
On taxed spectrally negative Lévy processes with draw-down stopping
A general method for analysis and valuation of drawdown risk
Speed and duration of drawdown under general Markov models
Drawdowns preceding rallies in the Brownian motion model
Exit problems for general draw-down times of spectrally negative Lévy processes
Expected utility of the drawdown-based regime-switching risk model with state-dependent termination
Properties of Kagi and Renko moments for homogeneous diffusion processes
Optimal trading with a trailing stop
General draw-down times for refracted spectrally negative Lévy processes
Analysis of a drawdown-based regime-switching Lévy insurance model
On the drawdown of completely asymmetric Lévy processes
Unified approach for solving exit problems for additive-increase and multiplicative-decrease processes
Some contributions to the study of stochastic processes of the classes (H) and ()
Pricing American drawdown options under Markov models
Drawdowns of diffusions
A Wiener-Hopf factorization related potential measure for spectrally negative Lévy process
Quickest detection with exponential penalty for delay
On the drawdowns and drawups in diffusion-type models with running maxima and minima
Omega diffusion risk model with surplus-dependent tax and capital injections
Draw-down Parisian ruin for spectrally negative Lévy processes
Formulas for stopped diffusion processes with stopping times based on drawdowns and drawups
Fiscal stimulus as an optimal control problem
General drawdown of general tax model in a time-homogeneous Markov framework
Designing options given the risk: The optimal Skorokhod-embedding problem
General drawdown based dividend control with fixed transaction costs for spectrally negative Lévy risk processes
Drawdown: from practice to theory and back again
On the impact of the penalty on the cancellable American options
Occupation times, drawdowns, and drawups for one-dimensional regular diffusions
Drawdowns, drawups, and occupation times under general Markov models
Exit problems for positive self-similar Markov processes with one-sided jumps
General drawdown-based de Finetti optimization for spectrally negative Lévy risk processes
A Pontryaghin maximum principle approach for the optimization of dividends/consumption of spectrally negative Markov processes, until a generalized draw-down time
A class of remarkable submartingales
A unified approach for drawdown (drawup) of time-homogeneous Markov processes
A time-homogeneous diffusion model with tax
Drawdowns and the speed of market crash
Magnitude and speed of consecutive market crashes in a diffusion model
Forward-looking experimentation of correlated alternatives

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