Maximum Loss of Spectrally Negative Lévy Processes

2018-06-21
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.
Maximum Loss of Spectrally Negative Lévy Processes", InternationalWorkshop on Applied Probability, 18 - 21 Haziran 2018

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Citation Formats
C. Vardar Acar, “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.