相关论文: Maximum Drawdown and Drawdown Duration of Spectral…
It is shown that the hyperbolic functions can be associated with selfdecomposable distributions (in short: SD probability distributions or L\'evy class L probability laws). Consequently, they admit associated background driving L\'evy…
This article treats both discrete time and continuous time stopping problems for general Markov processes on the real line with general linear costs. Using an auxiliary function of maximum representation type, conditions are given to…
Two iterative techniques are described for decomposing a long-slit spectrum into the individual spectra of the point sources along the slit and the spectrum of the underlying background. One technique imposes the strong constraint that the…
The purpose of this review article is to give an up to date account of the theory and application of scale functions for spectrally negative Levy processes. Our review also includes the first extensive overview of how to work numerically…
For a (killed) spectrally negative L\'evy process we provide an analytic expression for the distribution of its overshoot over a fixed level in terms of the infinitesimal generator and the scale function of the process. Our identity…
This paper presents a derivation of the explicit price for the perpetual American put option time-capped by the first drawdown epoch beyond a predefined level. We consider the market in which an asset price is described by geometric L\'evy…
Let $X$ be a real valued L\'evy process that is in the domain of attraction of a stable law without centering with norming function $c.$ As an analogue of the random walk results in \cite{vw} and \cite{rad} we study the local behaviour of…
We investigate the statistics of extremal path(s) (both the shortest and the longest) from the root to the bottom of a Cayley tree. The lengths of the edges are assumed to be independent identically distributed random variables drawn from a…
We consider controlling the paths of a spectrally negative L\'evy process by two means: the subtraction of `taxes' when the process is at an all-time maximum, and the addition of `bailouts' which keep the value of the process above zero. We…
The large deviations at Level 2.5 are applied to Markov processes with absorbing states in order to obtain the explicit extinction rate of metastable quasi-stationary states in terms of their empirical time-averaged density and of their…
It is well known that a supercritical single-type Bienyam\'e-Galton-Watson process can be viewed as a decomposable branching process formed by two subtypes of particles: those having infinite line of descent and those who have finite number…
In this paper, we study the L\'evy process time-changed by independent L\'evy subordinators, namely, the incomplete gamma subordinator, the $\epsilon$-jumps incomplete gamma subordinator and tempered incomplete gamma subordinator. We derive…
In this work we study drawdowns and drawups of general diffusion processes. The drawdown process is defined as the current drop of the process from its running maximum, while the drawup process is defined as the current increase over its…
In this paper we study the draw-down related Parisian ruin problem for spectrally negative L\'{e}vy risk processes. We introduce the draw-down Parisian ruin time and solve the corresponding two-sided exit time via excursion theory. We also…
Starting from a simple definition of stationary regime in first-order relaxation processes, we obtain that experimental results are to be fitted to a power-law when approaching the stationary limit. On the basis of this result we propose a…
Using a new general approach to limits in optical structures that counts orthogonal waves generated by scattering, we derive an upper limit to the number of bits of delay possible in one-dimensional slow light structures that are based on…
We use point processes theory to describe the asymptotic distribution of all upper order statistics for observations collected at renewal times. As a corollary, we obtain limiting theorems for corresponding extremal processes.
Data processing lower bounds on the expected distortion are derived in the finite-alphabet semi-deterministic setting, where the source produces a deterministic, individual sequence, but the channel model is probabilistic, and the decoder…
We give upper and lower estimates of densities of convolution semigroups of probability measures under explicit assumptions on the corresponding Levy measure and the Levy--Khinchin exponent. We obtain also estimates of derivatives of…
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…