کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
6417626 1339300 2016 19 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
On the drawdowns and drawups in diffusion-type models with running maxima and minima
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آنالیز ریاضی
پیش نمایش صفحه اول مقاله
On the drawdowns and drawups in diffusion-type models with running maxima and minima
چکیده انگلیسی

We obtain closed-form expressions for the values of joint Laplace transforms of the running maximum and minimum of a diffusion-type process stopped at the first time at which the associated drawdown and drawup processes hit constant levels. It is assumed that the coefficients of the diffusion-type process are regular functions of the running values of the process itself, its maximum and minimum, as well as its maximum drawdown and maximum drawup processes. The proof is based on the solution to the equivalent boundary-value problems and application of the normal-reflection conditions for the value functions at the edges of the state space of the resulting five-dimensional Markov process. We show that the joint Laplace transforms represent linear combinations of solutions to the systems of first-order partial differential equations arising from the application of the normal-reflection conditions.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Mathematical Analysis and Applications - Volume 434, Issue 1, 1 February 2016, Pages 413-431
نویسندگان
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