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

Date

2020-06-06

Author

Vardar Acar, Ceren
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

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Citation Formats

C. Vardar Acar 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.