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researcher

D. Landriault

6 papers hereh-index 252k citations78 works total

Matching runs newest-first, so older work may not be attached to this profile yet.

author position
  • first author6

Across the 6 of 6 papers where every author was matched, so the position is known.

fields
  • q-fin.MF2
  • econ.GN1
  • math.PR1
  • q-fin.PR1
  • q-fin.RM1

identity via Semantic Scholar / OpenAlex

activity
20102024
most citedOn magnitude, asymptotics and duration of drawdowns for Lévy models

56 citations · 102 across the 5 of their papers we have counts for

collaborators
Showing 2010 · math.PRShow all

1 paper · 2 filters

math.PR2010

Occupation times of spectrally negative Lévy processes with applications

David Landriault, Jean-François Renaud, Xiaowen Zhou

In this paper, we compute the Laplace transform of occupation times (of the negative half-line) of spectrally negative Lévy processes. Our results are extensions of known results f…

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Not affiliated with arXiv. Researcher data from Semantic Scholar (ODC-BY) and OpenAlex.