Maximum loss and maximum gain of spectrally negative Lévy processes

被引：0
|
作者：
Ceren Vardar-Acar
Mine Çağlar
机构：
[1] Middle East Technical University,Department of Statistics
[2] Koç University,Department of Mathematics
来源：
Extremes | 2017年 / 20卷
关键词：
Maximum drawdown; Maximum drawup; Spectrally negative; Reflected process; Fluctuation theory; 60G17; 60G70; 60G35;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
The joint distribution of the maximum loss and the maximum gain is obtained for a spectrally negative Lévy process until the passage time of a given level. Their marginal distributions up to an independent exponential time are also provided. The existing formulas for Brownian motion with drift are recovered using the particular scale functions.
引用
收藏
页码：301 / 308
页数：7
相关论文
共 50 条
  • [1] Maximum loss and maximum gain of spectrally negative Levy processes
    Vardar-Acar, Ceren
    Caglar, Mine
    EXTREMES, 2017, 20 (02) : 301 - 308
  • [2] Maximum Drawdown and Drawdown Duration of Spectrally Negative Lévy Processes Decomposed at Extremes
    Ceren Vardar-Acar
    Mine Çağlar
    Florin Avram
    Journal of Theoretical Probability, 2021, 34 : 1486 - 1505
  • [3] Local Times for Spectrally Negative Lévy Processes
    Bo Li
    Xiaowen Zhou
    Potential Analysis, 2020, 52 : 689 - 711
  • [4] Maximal displacement of spectrally negative branching Lévy processes
    Profeta, Christophe
    BERNOULLI, 2024, 30 (02) : 961 - 982
  • [5] Smoothness of scale functions for spectrally negative L,vy processes
    Chan, T.
    Kyprianou, A. E.
    Savov, M.
    PROBABILITY THEORY AND RELATED FIELDS, 2011, 150 (3-4) : 691 - 708
  • [6] Smoothness of scale functions for spectrally negative Lévy processes
    T. Chan
    A. E. Kyprianou
    M. Savov
    Probability Theory and Related Fields, 2011, 150 : 691 - 708
  • [7] Ray Knight theorems for spectrally negative Lévy processes
    Rivero, Victor
    Contreras, Jesus
    ELECTRONIC JOURNAL OF PROBABILITY, 2024, 29
  • [8] Generalized scale functions for spectrally negative L?vy processes
    Contreras, Jesus
    Rivero, Victor
    ALEA-LATIN AMERICAN JOURNAL OF PROBABILITY AND MATHEMATICAL STATISTICS, 2023, 20 : 645 - 663
  • [9] On an Explicit Skorokhod Embedding for Spectrally Negative L,vy Processes
    Obloj, Jan
    Pistorius, Martijn
    JOURNAL OF THEORETICAL PROBABILITY, 2009, 22 (02) : 418 - 440
  • [10] On an Explicit Skorokhod Embedding for Spectrally Negative Lévy Processes
    Jan Obłój
    Martijn Pistorius
    Journal of Theoretical Probability, 2009, 22 : 418 - 440
12345