Maximum Drawdown and Drawdown Duration of Spectrally Negative Levy Processes Decomposed at Extremes
Probability
2019-10-21 v1
Abstract
Path 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/postsupremum, post-infimum processes and the intermediate processes are obtained together with the law of drawdown durations.
Keywords
Cite
@article{arxiv.1910.08297,
title = {Maximum Drawdown and Drawdown Duration of Spectrally Negative Levy Processes Decomposed at Extremes},
author = {C. Vardar-Acar and M. Caglar and F. Avram},
journal= {arXiv preprint arXiv:1910.08297},
year = {2019}
}