General draw-down times for refracted spectrally negative Lévy processes

DOI10.1007/S11009-022-09933-6zbMath1489.91067OpenAlexW4213088292MaRDI QIDQ2152244

Xuan Huang, Jie-Ming 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

potential measureexit problemsdraw-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

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