On future drawdowns of Lévy processes

E.J. Baurdoux, Z. Palmowski and M.R. Pistorius

Stochastic Processes and their Applications, 2017, vol. 127, issue 8, 2679-2698

Abstract: For a given Lévy process X=(Xt)t∈R+ and for fixed s∈R+∪{∞} and t∈R+ we analyse the future drawdown extremes that are defined as follows: D¯t,s∗=sup0≤u≤tinfu≤wKeywords: Reflected process; Lévy process; Drawdown process; Cramér-asymptotics; Heavy-tailed distributions; Queueing; Workload process (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (6)

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DOI: 10.1016/j.spa.2016.12.008

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