On future drawdowns of Lévy processes

DOI10.1016/j.spa.2016.12.008zbMath1367.60051arXiv1409.3780OpenAlexW1485453989MaRDI QIDQ2360246

Zbigniew Palmowski, Erik J. Baurdoux, Martijn R. Pistorius

Publication date: 30 June 2017

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1409.3780

zbMATH Keywords

queueingheavy-tailed distributionsLévy processreflected processworkload processCramér asymptoticsdrawdown processBlack-Scholes-Samuelson model

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Queueing theory (aspects of probability theory) (60K25) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Limit theorems in probability theory (60F99) Markov processes (60J99)

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