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)

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

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