Maximum Loss of Spectrally Negative Lévy Processes

2018-06-21
Vardar Acar, Ceren
Çağlar, Mine
The joint distribution of the maximum loss and the maximum gain is obtained for a spectrally negative L,vy process until the passage time of a given level. Their marginal distributions up to an independent exponential time are also provided. The existing formulas for Brownian motion with drift are recovered using the particular scale functions.
Citation Formats
C. Vardar Acar and M. Çağlar, “Maximum Loss of Spectrally Negative Lévy Processes,” presented at the Maximum Loss of Spectrally Negative Lévy Processes”, InternationalWorkshop on Applied Probability, 18 - 21 Haziran 2018, 2018, Accessed: 00, 2021. [Online]. Available: https://iwap2018.com/upload/BEK072_01.pdf.