On magnitude, asymptotics and duration of drawdowns for Lévy models
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Publication:502880
DOI10.3150/15-BEJ748zbMath1407.60067arXiv1506.08408MaRDI QIDQ502880
Bin Li, David Landriault, Hongzhong Zhang
Publication date: 11 January 2017
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1506.08408
Processes with independent increments; Lévy processes (60G51) Stopping times; optimal stopping problems; gambling theory (60G40)
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