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

2019/10/18 by Ceren Vardar-Acar, Vardar-Acar, C., Mine Çağlar +3
Decision Sciences · Economics, Econometrics and Finance · Mathematics · #FOS: Mathematics #Probability (math.PR) #Probability and Risk Models #Stochastic processes and financial applications #Stochastic processes and statistical mechanics

paper · pdf · doi:10.48550/arxiv.1910.08297

openalex publication_date 2019/10/18 · openalex created_date 2019/10/25 · openalex updated_date 2026/07/28

Abstract

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/postsupremum, post-infimum processes and the intermediate processes are obtained together with the law of drawdown durations.

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