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

DOI10.1017/JPR.2019.31MaRDI QIDQ5226250zbMATH OpenOpenAlexFDO

Authors Bo Li, Nhat Linh Vu, Xiaowen Zhou

Publication date 31 July 2019

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

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

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)

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.

Recommendations

• General draw-down times for refracted spectrally negative Lévy processes
• A drawdown reflected spectrally negative Lévy process
• Draw-down Parisian ruin for spectrally negative Lévy processes
• Two-side exit problems for taxed Lévy risk process involving the general draw-down time
• Gerber-Shiu function at draw-down Parisian ruin time for the spectrally negative Lévy risk process

Cites work

• scientific article; zbMATH DE number 3644254 (Why is no real title available?)
• scientific article; zbMATH DE number 918811 (Why is no real title available?)
• An Excursion-Theoretical Approach to Some Boundary Crossing Problems and the Skorokhod Embedding for Reflected Lévy Processes
• Drawdown analysis for the renewal insurance risk process
• Exit Problems for Spectrally Negative Lévy Processes Reflected at Either the Supremum or the Infimum
• Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options
• Fluctuations of Lévy processes with applications. Introductory lectures
• Formulas for stopped diffusion processes with stopping times based on the maximum
• Occupation densities in solving exit problems for Markov additive processes and their reflections
• Occupation times, drawdowns, and drawups for one-dimensional regular diffusions
• On Azéma-Yor processes, their optimal properties and the Bachelier-drawdown equation
• On exit and ergodicity of the spectrally one-sided Lévy process reflected at its infimum
• On magnitude, asymptotics and duration of drawdowns for Lévy models
• On taxed spectrally negative Lévy processes with draw-down stopping
• On the drawdown of completely asymmetric Lévy processes
• Smoothness of scale functions for spectrally negative Lévy processes

Cited in

(26)

• Maximum drawdown and drawdown duration of spectrally negative Lévy processes decomposed at extremes
• On a doubly reflected risk process with running maximum dependent reflecting barriers
• Optimal stopping problems for maxima and minima in models with asymmetric information
• 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
• Some fluctuation identities for Lévy processes with jumps of the same sign
• scientific article; zbMATH DE number 2149874 (Why is no real title available?)
• 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
• Optimal loss-carry-forward taxation for Lévy risk processes stopped at general draw-down time
• A Wiener-Hopf factorization related potential measure for spectrally negative Lévy process
• On the last exit times for spectrally negative Lévy processes
• On the drawdowns and drawups in diffusion-type models with running maxima and minima
• Draw-down Parisian ruin for spectrally negative Lévy processes
• On moments of downward passage times for spectrally negative Lévy processes
• General drawdown of general tax model in a time-homogeneous Markov framework
• General drawdown based dividend control with fixed transaction costs for spectrally negative Lévy risk processes
• Dividend payments until draw-down time for risk models driven by spectrally negative Lévy 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

This page was built for publication: Exit problems for general draw-down times of spectrally negative Lévy processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5226250)