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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
Metadata
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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
Journal
JOURNAL OF THEORETICAL PROBABILITY
DOI
https://doi.org/10.1007/s10959-020-01014-z
Collections
Department of Statistics, Article