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.
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页码：301 / 308
页数：7
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