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• W2073465431 abstract "The drawdown process Y of a completely asymmetric Lévy process X is equal to X reflected at its running supremum X¯: Y=X¯−X. In this paper we explicitly express in terms of the scale function and the Lévy measure of X the law of the sextuple of the first-passage time of Y over the level a>0, the time G¯τa of the last supremum of X prior to τa, the infimum X¯τa and supremum X¯τa of X at τa and the undershoot a−Yτa− and overshoot Yτa−a of Y at τa. As application we obtain explicit expressions for the laws of a number of functionals of drawdowns and rallies in a completely asymmetric exponential Lévy model." @default.
• W2073465431 created "2016-06-24" @default.
• W2073465431 creator A5021672749 @default.
• W2073465431 creator A5089033775 @default.
• W2073465431 date "2012-11-01" @default.
• W2073465431 modified "2023-09-29" @default.
• W2073465431 title "On the drawdown of completely asymmetric Lévy processes" @default.
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• W2073465431 doi "https://doi.org/10.1016/j.spa.2012.06.012" @default.
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