On the drawdown of completely asymmetric Lévy processes

DOI10.1016/j.spa.2012.06.012zbMath1252.60046arXiv1103.1460MaRDI QIDQ454869

Martijn R. Pistorius, Aleksandar Mijatović

Publication date: 10 October 2012

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

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

zbMATH Keywords

excursion theory; fluctuation theory; reflected process; drawdown; sextuple law; spectrally one-sided Lévy process

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

60G17: Sample path properties

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