Maximum loss and maximum gain of spectrally negative Lévy processes

Vardar Acar C., Çağlar M.

EXTREMES, vol.20, no.1, pp.301-308, 2017 (SCI-Expanded)

  • Publication Type: Article / Article
  • Volume: 20 Issue: 1
  • Publication Date: 2017
  • Journal Name: EXTREMES
  • Journal Indexes: Science Citation Index Expanded (SCI-EXPANDED), Scopus
  • Page Numbers: pp.301-308
  • Middle East Technical University Affiliated: No

Abstract

Maximum loss and maximum gain of spectrally negative Lévy processes