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

Ceren Vardar-Acar (), Mine Çağlar and Florin Avram
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Ceren Vardar-Acar: Middle East Technical University
Mine Çağlar: Koc University
Florin Avram: Universite de Pau

Journal of Theoretical Probability, 2021, vol. 34, issue 3, 1486-1505

Abstract: Abstract Path decomposition is performed to characterize the law of the pre-/post-supremum, post-infimum and the intermediate processes of a spectrally negative Lévy 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.

Keywords: Drawdown duration; Maximum drawdown; Scale function; Extreme values; Doob h-transform; 60G51; 60G17; 60J35 (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1007/s10959-020-01014-z

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