| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5130051 | Stochastic Processes and their Applications | 2017 | 20 Pages |
Abstract
For a given Lévy process X=(Xt)tâR+ and for fixed sâR+âª{â} and tâR+ we analyse the future drawdown extremes that are defined as follows: D¯t,sâ=sup0â¤uâ¤tinfuâ¤w
Keywords
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Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
E.J. Baurdoux, Z. Palmowski, M.R. Pistorius,