Maximum Loss and Maximum Gain of Spectrally Negative Levy Processes

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2017-12-08
Vardar Acar, Ceren
ÇAĞLAR, MİNE
The joint distribution of the maximum loss and the maximum gain is obtained for a spectrally negative L´evy 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.