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 (42)

Stochastic modeling and fair valuation of drawdown insurance
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Some time-invariant stopping rule problems
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A general method for analysis and valuation of drawdown risk
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
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
Unified approach for solving exit problems for additive-increase and multiplicative-decrease processes
Occupation Times, Drawdowns, and Drawups for One-Dimensional Regular Diffusions
On the drawdown of completely asymmetric Lévy processes
Pricing American drawdown options under Markov models
A pontryaghin maximum principle approach for the optimization of dividends/consumption of spectrally negative markov processes, until a generalized draw-down time
A Time-Homogeneous Diffusion Model with Tax
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
General drawdown of general tax model in a time-homogeneous Markov framework
Fiscal stimulus as an optimal control problem
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
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 unified approach for drawdown (drawup) of time-homogeneous Markov processes
A class of remarkable submartingales
Drawdowns and the speed of market crash
Magnitude and speed of consecutive market crashes in a diffusion model
Some contributions to the study of stochastic processes of the classes and
On the analysis of deep drawdowns for the Lévy insurance risk model

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