Path Decomposition of Spectrally Negative Levy Processes

Ceren Vardar-Acar, Mine Çağlar · arXiv (Cornell University) · 2018

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Type: preprint
Published: 2018-01-18
Cited by: 4
References: 21
Access: Open access
DOI: https://doi.org/10.48550/arxiv.1801.06426
arXiv: https://arxiv.org/abs/1801.06426
OpenAlex: https://openalex.org/W2784344684
Semantic Scholar: https://api.semanticscholar.org/CorpusID:58901131

Keywords

Decomposition, Lévy process, Path (computing), Mathematics, Computer science

References

Stochastic differential equations and diffusion processes: Nobuyuki Ikeda and Shinzo Watanabe North-Holland, Amsterdam, 1981, xiv + 464 pages, Dfl.175.00L. C. G. Rogers — 1982
Probability and StochasticsErhan Çınlar — 2011
On future drawdowns of Lévy processesErik J. Baurdoux, Zbigniew Palmowski, Martijn Pistorius — 2017
Lévy Processes and Stochastic CalculusDavid Applebaum — 2004
On Exit and Ergodicity of the Spectrally One-Sided Lévy Process Reflected at Its InfimumMartijn Pistorius — 2004
On maximum increase and decrease of Brownian motionPaavo Salminen, Pierre Vallois — 2005
Stochastic integration and differential equationsPhilip Protter — 1990
Diffusion processes associated with Lévy generatorsDaniel W. Stroock — 1975
Range of Brownian Motion with DriftÉtienne Tanré, Pierre Vallois — 2006
Exit problems for spectrally negative Levy processes and applications to (Canadized) Russian optionsFlorin Avram, Andreas E. Kyprianou, Martijn Pistorius — 2004
On the drawdown of completely asymmetric Lévy processesAleksandar Mijatović, Martijn Pistorius — 2011
Limit Theorems for Stochastic ProcessesDitlev Monrad, Jean Jacod, Albert N. Shiryaev — 1987
Zero-one laws and the minimum of a Markov processP. W. Millar — 1977
On the correlation of the supremum and the infimum and of maximum gain and maximum loss of Brownian motion with driftCeren Vardar-Acar, Craig L. Zirbel, Gábor J. Székely — 2013
The W, Z scale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problemsFlorin Avram, Danijel Grahovac, Ceren Vardar-Acar — 2017
The Theory of Scale Functions for Spectrally Negative Lévy ProcessesAlexey N. Kuznetsov∥, Andreas E. Kyprianou, Víctor M. Hernández Rivero — 2011
Shiryaev : Limit theorems for stochastic processesJ. Jacod — 1987
Lévy Processes and Stochastic Calculus: Lévy processesDavid Applebaum — 2004

Cited by

Exponential functionals of spectrally one-sided Lévy processes conditioned to stay positiveGrégoire Véchambre — 2015
Almost Sure Behavior for the Local Time of a Diffusion in a Spectrally Negative Lévy EnvironmentGrégoire Véchambre — 2017
Maximum Drawdown and Drawdown Duration of Spectrally Negative Lévy Processes Decomposed at ExtremesCeren Vardar-Acar, Mine Çağlar, Florin Avram — 2019
ALMOST SURE BEHAVIOR FOR THE LOCAL TIME OF A DIFFUSION IN A SPECTRALLY NEGATIVE LÉVY ENVIRONMENT2018

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