A unified approach for drawdown (drawup) of time-homogeneous Markov processes

DOI10.1017/jpr.2017.20zbMath1400.60044arXiv1702.07786OpenAlexW3103450760MaRDI QIDQ4684875

Hongzhong Zhang, David Landriault, Bin Li

Publication date: 26 September 2018

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1702.07786

zbMATH Keywords

integral equationreflected processdrawdowntime-homogeneous Markov process

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) General theory of stochastic processes (60G07)

Related Items (16)

Unified approach for solving exit problems for additive-increase and multiplicative-decrease processes ⋮ DRAWDOWN MEASURES AND RETURN MOMENTS ⋮ On the derivative counting processes of first- and second-order aggregated semi-Markov systems ⋮ Some characterizations for Markov processes at first passage ⋮ State space splitting of a finite markov process and some discussions on related counting processes ⋮ A general method for analysis and valuation of drawdown risk ⋮ The Parisian and ultimate drawdowns of Lévy insurance models ⋮ Continuous-state branching processes with collisions: first passage times and duality ⋮ TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems ⋮ Expected utility of the drawdown-based regime-switching risk model with state-dependent termination ⋮ Pricing American drawdown options under Markov models ⋮ Optimal loss-carry-forward taxation for Lévy risk processes stopped at general draw-down time ⋮ Fatou's Lemma for Weakly Converging Measures under the Uniform Integrability Condition ⋮ A pontryaghin maximum principle approach for the optimization of dividends/consumption of spectrally negative markov processes, until a generalized draw-down time ⋮ General drawdown of general tax model in a time-homogeneous Markov framework ⋮ Complete monotonicity of time-changed Lévy processes at first passage

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