General draw-down times for refracted spectrally negative Lévy processes

DOI10.1007/S11009-022-09933-6zbMATH Open1489.91067OpenAlexW4213088292MaRDI QIDQ2152244FDOQ2152244

Xuan Huang, Jieming Zhou

Publication date: 7 July 2022

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-022-09933-6

zbMATH Keywords

exit problemspotential measuredraw-down timerefracted spectrally negative Lévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Continuous-time Markov processes on general state spaces (60J25) Stopping times; optimal stopping problems; gambling theory (60G40) Risk models (general) (91B05)

Cites Work

• Introductory lectures on fluctuations of Lévy processes with applications.
• Hitting, occupation and inverse local times of one-dimensional diffusions: Martingale and excursion approaches
• Occupation times of intervals until first passage times for spectrally negative Lévy processes
• Gerber-Shiu risk theory
• On the drawdown of completely asymmetric Lévy processes
• Occupation times of spectrally negative Lévy processes with applications
• Occupation Times, Drawdowns, and Drawups for One-Dimensional Regular Diffusions
• Formulas for stopped diffusion processes with stopping times based on the maximum
• On the time spent in the red by a refracted L\'evy risk process
• The Joint Laplace Transforms for Diffusion Occupation Times
• Refracted Lévy processes
• Laplace transforms related to excursions of a one-dimensional diffusion
• Parisian ruin for a refracted Lévy process
• Generalized refracted Lévy process and its application to exit problem
• A drawdown reflected spectrally negative Lévy process
• On taxed spectrally negative Lévy processes with draw-down stopping
• General drawdown-based de Finetti optimization for spectrally negative Lévy risk processes
• On spectrally positive Lévy risk processes with Parisian implementation delays in dividend payments
• \(n\)-dimensional Laplace transforms of occupation times for pre-exit diffusion processes
• Exit problems for general draw-down times of spectrally negative Lévy processes
• Fluctuation theory for level-dependent Lévy risk processes

Cited In (4)

• On moments of downward passage times for spectrally negative Lévy processes
• On the maximum drawdown of a Brownian motion
• On weighted occupation times for refracted spectrally negative Lévy processes
• On future drawdowns of Lévy processes

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