The joint distribution of the maximum loss and the maximum gain is obtained for a spectrally negative Lévy 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
The maximum drawdown at time T of a random process on [0,T] can be defined informally as the largest...
We consider spectrally negative Levy process and determine the joint Laplace trans form of the exit ...
We consider a process Z on the real line composed from a Levy process and its exponentially tilted v...
The joint distribution of the maximum loss and the maximum gain is obtained for a spectrally negativ...
The joint distribution of the maximum loss and the maximum gain is obtained for a spectrally negativ...
Path decomposition is performed to characterize the law of the pre-/post-supremum, post-infimum and ...
Related to risk and to hedging investors would be interested insupremum, infimum, maximum ...
In this paper, we find bounds on the distribution of the maximum loss of fractional Brownian motion ...
The joint distribution of maximum increase and decrease for Brown-ian motion up to an independent ex...
In this note we give, for a spectrally negative Levy process, a compact formula for the Parisian rui...
The distribution of the time at which Brownian motion with drift attains its maximum on a given inte...
We consider a branching Markov process in continuous time in which the particles evolve independentl...
In this paper, results on spectrally negative Lévy processes are used to study the ruin probability ...
Investors are naturally interested in the supremum and the infimum of stock prices, also in the maxi...
The joint distribution of X and N, where N has a geometric distribution and X is the sum of N IID ex...
The maximum drawdown at time T of a random process on [0,T] can be defined informally as the largest...
We consider spectrally negative Levy process and determine the joint Laplace trans form of the exit ...
We consider a process Z on the real line composed from a Levy process and its exponentially tilted v...
The joint distribution of the maximum loss and the maximum gain is obtained for a spectrally negativ...
The joint distribution of the maximum loss and the maximum gain is obtained for a spectrally negativ...
Path decomposition is performed to characterize the law of the pre-/post-supremum, post-infimum and ...
Related to risk and to hedging investors would be interested insupremum, infimum, maximum ...
In this paper, we find bounds on the distribution of the maximum loss of fractional Brownian motion ...
The joint distribution of maximum increase and decrease for Brown-ian motion up to an independent ex...
In this note we give, for a spectrally negative Levy process, a compact formula for the Parisian rui...
The distribution of the time at which Brownian motion with drift attains its maximum on a given inte...
We consider a branching Markov process in continuous time in which the particles evolve independentl...
In this paper, results on spectrally negative Lévy processes are used to study the ruin probability ...
Investors are naturally interested in the supremum and the infimum of stock prices, also in the maxi...
The joint distribution of X and N, where N has a geometric distribution and X is the sum of N IID ex...
The maximum drawdown at time T of a random process on [0,T] can be defined informally as the largest...
We consider spectrally negative Levy process and determine the joint Laplace trans form of the exit ...
We consider a process Z on the real line composed from a Levy process and its exponentially tilted v...
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