On the drawdown of completely asymmetric Lévy processes

DOI10.1016/J.SPA.2012.06.012zbMATH Open1252.60046arXiv1103.1460OpenAlexW2073465431MaRDI QIDQ454869FDOQ454869

Authors: Aleksandar Mijatović, Martijn R. Pistorius 

Publication date: 10 October 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: The {em drawdown} process $Y$ of a completely asymmetric L'{e}vy process $X$ is equal to $X$ reflected at its running supremum $$: $$. In this paper we explicitly express in terms of the scale function and the L'{e}vy measure of $X$ the law of the sextuple of the first-passage time of $Y$ over the level $a>0$, the time $$ of the last supremum of $X$ prior to $a{u}_a$, the infimum $unl{X}_{a{u}_a}$ and supremum $ovl{X}_{a{u}_a}$ of $X$ at $a{u}_a$ and the undershoot $a-Y_{a{u}_a-}$ and overshoot $Y_{a{u}_a}-a$ of $Y$ at $a{u}_a$. As application we obtain explicit expressions for the laws of a number of functionals of drawdowns and rallies in a completely asymmetric exponential L'{e}vy model.

Full work available at URL: https://arxiv.org/abs/1103.1460

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zbMATH Keywords

fluctuation theoryreflected processexcursion theorydrawdownsextuple lawspectrally one-sided Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Sample path properties (60G17)

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Cited In (42)

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