Maximum Loss and Maximum Gain of Spectrally Negative Levy Processes

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VARDAR ACAR C., ÇAĞLAR M.

10th ISC 2017 International Statistics Congress, 6 - 08 December 2017 identifier identifier

  • Publication Type: Conference Paper / Summary Text
  • Doi Number: 10.1007/s10687-016-0279-8
  • Keywords: Maximum drawdown, Maximum drawup, Spectrally negative, Reflected process, Fluctuation theory, EXIT
  • Middle East Technical University Affiliated: No