25 citations · 35 across the 10 of their papers we have counts for
10 papers
An optimal stopping problem for spectrally negative Markov additive processes
Mine Caglar, Andreas E. Kyprianou, Ceren Vardar-Acar
Previous authors have considered optimal stopping problems driven by the running maximum of a spectrally negative Lévy process , as well as of a one-dimensional diffusion. Many…
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…
A Generalized Correlated Random Walk Converging to Fractional Brownian Motion
Buket Coskun, Ceren Vardar-Acar, Hakan Demirtas
We propose a new algorithm to generate a fractional Brownian motion, with a given Hurst parameter, 1/2<H<1 using the correlated Bernoulli random variables with parameter p; having…
Path Decomposition of Spectrally Negative Levy Processes
Ceren Vardar-Acar, Mine Caglar
Path decomposition is performed to analyze the pre-supremum, post-supremum, post-infimum and the intermediate processes of a spectrally negative Levy process taken up to an indepen…
The scale functions kit for first passage problems of spectrally negative Levy processes, and applications to the optimization of dividends
Florin Avram, Danijel Grahovac, Ceren Vardar-Acar
First passage problems for spectrally negative Lévy processes with possible absorbtion or/and reflection at boundaries have been widely applied in mathematical finance, risk, queue…
Maximum loss and maximum gain of spectrally negative Levy processes
Ceren Vardar Acar, Mine Caglar
The joint distribution of the maximum loss and the maximum gain is obtained for a spectrally negative Levy process until the passage time of a given level. Their marginal distribut…