Maximum Drawdown and Drawdown Duration of Spectrally Negative Levy Processes Decomposed at Extremes

Date

2020-06-06

Author

Vardar Acar, Ceren
Caglar, Mine
Avram, Florin

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Path decomposition is performed to characterize the law of the pre-/post-supremum, post-infimum and the intermediate processes of a spectrally negative Levy process taken up to an independent exponential time T. As a result, mainly the distributions of the supremum of the post-infimum process and the maximum drawdown of the pre-/post-supremum, post-infimum processes and the intermediate processes are obtained together with the law of drawdown durations.

Subject Keywords

Statistics, Probability and Uncertainty, Statistics and Probability, General Mathematics

URI

https://hdl.handle.net/11511/41702

Journal

JOURNAL OF THEORETICAL PROBABILITY

DOI

https://doi.org/10.1007/s10959-020-01014-z

Collections

Department of Statistics, Article

Citation Formats

C. Vardar Acar, M. Caglar, and F. Avram, “Maximum Drawdown and Drawdown Duration of Spectrally Negative Levy Processes Decomposed at Extremes,” JOURNAL OF THEORETICAL PROBABILITY, pp. 0–0, 2020, Accessed: 00, 2020. [Online]. Available: https://hdl.handle.net/11511/41702.