2 papers
math.PR2026
Joint Laws of Maximum Drawdown and Maximum Drawup for Spectrally Negative Lévy Processes
Ceren Vardar Acar, Emre Akdogan
Let X be a spectrally negative Lévy process observed up to an inde- pendent exponential time T with parameter γ > 0. We study the joint law of the maximum drawdown and the maximum…
math.PR2026
Conditional Path Decomposition at the Infimum and Maximum Drawdowns for Spectrally Negative Lévy Processes
Ceren Vardar Acar, Mine Çağlar
We study maximum-drawdown laws conditioned on extremes for a spectrally negative Lévy process and observed up to an independent exponential time. The main contribution is a set of…