Scale-function characterizations of pre-infimum paths under two decompositions for spectrally negative Lévy processes give Doob h-transform laws and explicit drawdown distributions on components.
Vardar-Acar and M
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
math.PR 1years
2026 1verdicts
UNVERDICTED 1representative citing papers
citing papers explorer
-
Conditional Path Decomposition at the Infimum and Maximum Drawdowns for Spectrally Negative L\'{e}vy Processes
Scale-function characterizations of pre-infimum paths under two decompositions for spectrally negative Lévy processes give Doob h-transform laws and explicit drawdown distributions on components.