Yayınlanmış 1 Ocak 2017
| Sürüm v1
Dergi makalesi
Açık
Maximum loss and maximum gain of spectrally negative Levy processes
Oluşturanlar
- 1. Middle East Tech Univ, Dept Stat, Ankara, Turkey
- 2. Koc Univ, Dept Math, Istanbul, Turkey
Açıklama
The joint distribution of the maximum loss and the maximum gain is obtained for a spectrally negative L,vy process until the passage time of a given level. Their marginal distributions up to an independent exponential time are also provided. The existing formulas for Brownian motion with drift are recovered using the particular scale functions.
Dosyalar
bib-f62a492b-c5b7-4fd4-8c56-2c2e7bd44bc3.txt
Dosyalar
(131 Bytes)
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