Maximum loss and maximum gain of spectrally negative Lévy processes

DOI10.1007/S10687-016-0279-8MaRDI QIDQ1675705zbMATH OpenOpenAlexFDO

Authors Ceren Vardar-Acar, Mine Çağlar

Publication date 2 November 2017

Published in Extremes (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1510.03629

zbMATH Keywords

fluctuation theoryreflected processmaximum drawdownmaximum drawupspectrally negative

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Signal detection and filtering (aspects of stochastic processes) (60G35) Sample path properties (60G17)

Abstract: The joint distribution of the maximum loss and the maximum gain is obtained for a spectrally negative Levy process until the passage time of a given level. Their marginal distributions up to an independent exponential time are also provided. The existing formulas for Brownian motion with drift are recovered using the particular scale functions.Keywords Maximum drawdown Maximum drawup Spectrally negative Reflected process Fluctuation theory

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Cites work

• scientific article; zbMATH DE number 1232408 (Why is no real title available?)
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Cited in

(4)

• Survival and maximum of spectrally negative branching Lévy processes with absorption
• On the maximum increase and decrease of one-dimensional diffusions
• Maximum drawdown and drawdown duration of spectrally negative Lévy processes decomposed at extremes
• Exact joint laws associated with spectrally negative Lévy processes and applications to insurance risk theory

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