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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This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

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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

Collections

Department of Statistics, Article