Exit problems for general draw-down times of spectrally negative Lévy processes

DOI10.1017/JPR.2019.31zbMATH Open1415.60048arXiv1702.07259OpenAlexW2964471208MaRDI QIDQ5226250FDOQ5226250

Authors: Bo Li, Nhat Linh Vu, Xiaowen Zhou 

Publication date: 31 July 2019

Published in: Journal of Applied Probability (Search for Journal in Brave)

Abstract: For spectrally negative L'evy processes, we prove several fluctuation results involving a general draw-down time, which is a downward exit time from a dynamic level that depends on the running maximum of the process. In particular, we find expressions of the Laplace transforms for the two-sided exit problems involving the draw-down time. We also find the Laplace transforms for the hitting time and creeping time over the running-maximum related draw-down level, respectively, and obtain an expression for a draw-down associated potential measure. The results are expressed in terms of scale functions for the spectrally negative L'evy processes.

Full work available at URL: https://arxiv.org/abs/1702.07259

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zbMATH Keywords

hitting timeexit problempotential measuredraw-down timespectrally negative Lévy processcreeping time

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Processes with independent increments; Lévy processes (60G51) Transition functions, generators and resolvents (60J35)

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Cited In (26)

• Optimal stopping problems for maxima and minima in models with asymmetric information
• On a doubly reflected risk process with running maximum dependent reflecting barriers
• TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems
• A drawdown reflected spectrally negative Lévy process
• Generalized expected discounted penalty function at general drawdown for Lévy risk processes
• On taxed spectrally negative Lévy processes with draw-down stopping
• Parisian excursion with capital injection for drawdown reflected Lévy insurance risk process
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• Title not available (Why is that?)
• Two-side exit problems for taxed Lévy risk process involving the general draw-down time
• General draw-down times for refracted spectrally negative Lévy processes
• The Parisian and ultimate drawdowns of Lévy insurance models
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• A Wiener-Hopf factorization related potential measure for spectrally negative Lévy process
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• Draw-down Parisian ruin for spectrally negative Lévy processes
• General drawdown of general tax model in a time-homogeneous Markov framework
• Dividend payments until draw-down time for risk models driven by spectrally negative Lévy processes
• General drawdown based dividend control with fixed transaction costs for spectrally negative Lévy risk processes
• A Lévy risk model with ratcheting dividend strategy and historic high-related stopping
• Gerber-Shiu function at draw-down Parisian ruin time for the spectrally negative Lévy risk process
• Exit problems for positive self-similar Markov processes with one-sided jumps
• Risk modelling on liquidations with Lévy processes
• Maximum drawdown and drawdown duration of spectrally negative Lévy processes decomposed at extremes

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