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

2020-06-06
Vardar Acar, Ceren
Caglar, Mine
Avram, Florin
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.

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.