Add to ORKGPath 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
Motivated by recent studies of record statistics in relation to strongly correlated time series, we ...
In recent years the study of Levy processes has received considerable attention in the literature. I...
The drawdown process Y of a completely asymmetric Lévy process X is equal to X reflected at its runn...
Path decomposition is performed to characterize the law of the pre-/post-supremum, post-infimum and ...
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...
For a given Levy process X = ( X t ) t 2 R + and for xed s 2 R + [f1g and t 2 R + we analyse the fut...
The joint distribution of the maximum loss and the maximum gain is obtained for a spectrally negativ...
We consider a process Z on the real line composed from a Levy process and its exponentially tilted v...
We construct the law of Levy processes conditioned to stay positive under general hypotheses. We obt...
We consider spectrally negative Levy process and determine the joint Laplace trans form of the exit ...
We consider a branching Markov process in continuous time in which the particles evolve independentl...
In this note we give, for a spectrally negative Levy process, a compact formula for the Parisian rui...
We present an explicit solution to the Skorokhod embedding problem for spectrally negative L\'evy pr...
Part I In this thesis, we first introduce and review some fluctuation theory of Levy processes, es...
Motivated by recent studies of record statistics in relation to strongly correlated time series, we ...
In recent years the study of Levy processes has received considerable attention in the literature. I...
The drawdown process Y of a completely asymmetric Lévy process X is equal to X reflected at its runn...
Path decomposition is performed to characterize the law of the pre-/post-supremum, post-infimum and ...
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...
For a given Levy process X = ( X t ) t 2 R + and for xed s 2 R + [f1g and t 2 R + we analyse the fut...
The joint distribution of the maximum loss and the maximum gain is obtained for a spectrally negativ...
We consider a process Z on the real line composed from a Levy process and its exponentially tilted v...
We construct the law of Levy processes conditioned to stay positive under general hypotheses. We obt...
We consider spectrally negative Levy process and determine the joint Laplace trans form of the exit ...
We consider a branching Markov process in continuous time in which the particles evolve independentl...
In this note we give, for a spectrally negative Levy process, a compact formula for the Parisian rui...
We present an explicit solution to the Skorokhod embedding problem for spectrally negative L\'evy pr...
Part I In this thesis, we first introduce and review some fluctuation theory of Levy processes, es...
Motivated by recent studies of record statistics in relation to strongly correlated time series, we ...
In recent years the study of Levy processes has received considerable attention in the literature. I...
The drawdown process Y of a completely asymmetric Lévy process X is equal to X reflected at its runn...