Published January 1, 2017
| Version v1
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Maximum loss and maximum gain of spectrally negative Levy processes
Creators
- 1. Middle East Tech Univ, Dept Stat, Ankara, Turkey
- 2. Koc Univ, Dept Math, Istanbul, Turkey
Description
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.
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bib-f62a492b-c5b7-4fd4-8c56-2c2e7bd44bc3.txt
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