2 papers
q-fin.RM2025
Modeling Maximum drawdown Records with Piecewise Deterministic Markov Processe in Capital Markets
Rolando Rubilar-Torrealba, Lisandro Fermin, Soledad Torres
We propose to model the records of the maximum Drawdown in capital markets by means a Piecewise Deterministic Markov Process (PDMP). We derive statistical results such as the mean…
math.PR2021
Gamma mixed fractional Lévy Ornstein-Uhlenbeck process
Héctor Araya, Johanna Garzón, Rolando Rubilar
In this article, we introduce a non Gaussian long memory process constructed by the aggregation of independent copies of a fractional Lévy Ornstein-Uhlenbeck process with random co…