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

DOI10.1007/s10959-020-01014-zzbMath1491.60065arXiv1910.08297MaRDI QIDQ2042048

Florin Avram, Ceren Vardar-Acar, Mine Caglar

Publication date: 26 July 2021

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1910.08297

zbMATH Keywords

scale function; Doob \(h\)-transform; maximum drawdown; drawdown duration

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

60G17: Sample path properties

60J35: Transition functions, generators and resolvents