On the drawdown of completely asymmetric Lévy processes
Year of publication: |
2012
|
---|---|
Authors: | Mijatović, Aleksandar ; Pistorius, Martijn R. |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 122.2012, 11, p. 3812-3836
|
Publisher: |
Elsevier |
Subject: | Spectrally one-sided Lévy process | Reflected process | Drawdown | Fluctuation theory | Excursion theory | Sextuple law |
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