Published January 1, 2020
| Version v1
Journal article
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Maximum Drawdown and Drawdown Duration of Spectrally Negative Levy Processes Decomposed at Extremes
- 1. Middle East Tech Univ, Ankara, Turkey
- 2. Koc Univ, Istanbul, Turkey
- 3. Univ Pau, Pau, France
Description
Path decomposition is performed to characterize the law of the pre-/post-supremum, post-infimum and the intermediate processes of a spectrally negative Levy process taken up to an independent exponential time T. As a result, mainly the distributions of the supremum of the post-infimum process and the maximum drawdown of the pre-/post-supremum, post-infimum processes and the intermediate processes are obtained together with the law of drawdown durations.
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