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math.PR2019
Maximum Drawdown and Drawdown Duration of Spectrally Negative Levy Processes Decomposed at Extremes
C. Vardar-Acar, M. Caglar, F. Avram
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 i…
math.PR2019
Beyond Wentzell-Freidlin: semi-deterministic approximations for diffusions with small noise and a repulsive critical boundary point
Florin Avram, Jacky Cresson
We extend below a limit theorem of Baker, Chigansky, Hamza and Klebaner (2018) for diffusion models used in population theory.