General drawdown of general tax model in a time-homogeneous Markov framework
Probability
2018-10-05 v1
Abstract
Drawdown/regret times feature prominently in optimal stopping problems, in statistics (CUSUM procedure) and in mathematical finance (Russian options). Recently it was discovered that a first passage theory with general drawdown times, which generalize classic ruin times, may be explicitly developed for spectrally negative L\'evy processes -- see Avram, Vu, Zhou(2017), Li, Vu, Zhou(2017). In this paper, we further examine general drawdown related quantities for taxed time-homogeneous Markov processes, using the pathwise connection between general drawdown and tax.
Keywords
Cite
@article{arxiv.1810.02079,
title = {General drawdown of general tax model in a time-homogeneous Markov framework},
author = {Florin Avram and Bin Li and Shu Li},
journal= {arXiv preprint arXiv:1810.02079},
year = {2018}
}