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On the drawdown of completely asymmetric Levy processes
Spectrally one-sided L´ evy process reflected process, drawdown fluctuation theory excursion theory sextuple law
2011/3/31
The drawdown process $Y=\bar{X} - X$ of a completely asymmetric L\'{e}vy process $X$ is given by $X$ reflected at its running supremum $\bar{X}$.In this paper we explicitly express the law of the sext...