General draw-down times for refracted spectrally negative Lévy processes

DOI10.1007/S11009-022-09933-6MaRDI QIDQ2152244zbMATH OpenOpenAlexFDO

Authors 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)

Recommendations

• A drawdown reflected spectrally negative Lévy process
• On the refracted-reflected spectrally negative Lévy processes
• On moments of downward passage times for spectrally negative Lévy processes
• Maximum drawdown and drawdown duration of spectrally negative Lévy processes decomposed at extremes
• Passage times for a spectrally negative Lévy process with applications to risk theory
• Draw-down Parisian ruin for spectrally negative Lévy processes
• On weighted occupation times for refracted spectrally negative Lévy processes
• On taxed spectrally negative Lévy processes with draw-down stopping
• Spectrally negative Lévy processes with applications in risk theory

Cites work

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

Cited in

(13)

• A drawdown reflected spectrally negative Lévy process
• On the drawdowns and drawups in diffusion-type models with running maxima and minima
• Generalized refracted Lévy process and its application to exit problem
• On weighted occupation times for refracted spectrally negative Lévy processes
• On the refracted-reflected spectrally negative Lévy processes
• Two-side exit problems for taxed Lévy risk process involving the general draw-down time
• A Wiener-Hopf factorization related potential measure for spectrally negative Lévy process
• Maximum drawdown and drawdown duration of spectrally negative Lévy processes decomposed at extremes
• On future drawdowns of Lévy processes
• On moments of downward passage times for spectrally negative Lévy processes
• Exit problems for general draw-down times of spectrally negative Lévy processes
• Occupation times, drawdowns, and drawups for one-dimensional regular diffusions
• On the maximum drawdown of a Brownian motion

This page was built for publication: General draw-down times for refracted spectrally negative Lévy processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2152244)