Publication Cover
Stochastics
An International Journal of Probability and Stochastic Processes
Volume 93, 2021 - Issue 3
69
Views
1
CrossRef citations to date
0
Altmetric
Articles

How long does the surplus stay close to its historical high?

, &
Pages 402-427 | Received 24 Nov 2018, Accepted 16 Mar 2020, Published online: 27 Mar 2020

References

  • S. Asmussen, H. Albrecher, Ruin Probabilities, World Scientific, Singapore, 2010.doi:10.1142/7431.
  • J. Bertoin, Lévy Processes, Cambridge University Press, Cambridge, 1996.
  • N. Cai, N. Chen, and X. Wan, Occupation times of jump-diffusion processes with double exponential jumps and the pricing of options, Math. Oper. Res. 35(2) (2010), pp. 412–437.
  • T. Chan, A. Kyprianou, and M. Savov, Smoothness of scale functions for spectrally negative Lévy processes, Probab. Theory Related Fields 150(3–4) (2011), pp. 691–708.
  • A.-A. Djilali, Occupation time of Lévy processes with jumps rational Laplace transforms. Electron. Commun. Probab. 23 (2018). doi:10.1214/18-ECP169.
  • A.-A. Djilali and J.-F. Renaud, Pricing occupation-time options in a mixed-exponential jump-diffusion model, Appl. Math. Finance 23(1) (2016), pp. 1–21.
  • H. Guérin and J.-F. Renaud, Joint distribution of a spectrally negative Lévy process and its occupation time, with step option pricing in view, Adv. Appl. Probab. 48(1) (2016), pp. 274–297.
  • F. Hubalek and E. Kyprianou, Old and new examples of scale functions for spectrally negative Lévy processes, in Seminar on Stochastic Analysis, Random Fields and Applications VI, volume 63 of Progress in Probability, R. Dalang, M. Dozzi, and F. Russo, eds., Springer, Basel, 2011, pp. 119–145.
  • X. Kuang and X. Zhou, n-dimensional laplace transforms of occupation times for spectrally negative Lévy processes, Risk 5(1) (2017), p. 8.
  • A. Kuznetsov, On the distribution of exponential functionals for Lévy processes with jumps of rational transform, Stochastic Process. Appl. 122(2) (2012), pp. 654–663.
  • A.E. Kyprianou, Fluctuations of Lévy Processes with Applications, Springer, Berlin, Heidelberg, 2014. doi:10.1007/978-3-642-37632-0.
  • D. Landriault, J.-F. Renaud, and X. Zhou, Occupation times of spectrally negative Lévy processes with applications, Stochastic Processes Appl. 121(11) (2011), pp. 2629–2641.
  • A.L. Lewis and E. Mordecki, Wiener-hopf factorization for Lévy processes having positive jumps with rational transforms, J. Appl. Probab. 45(1) (2008), pp. 118–134.
  • B. Li and Z. Palmowski, Fluctuations of omega-killed spectrally negative Lévy processes, Stochastic Process. Appl. 128(10) (2018), pp. 3273–3299.
  • Y. Li and X. Zhou, On pre-exit joint occupation times for spectrally negative Lévy processes, Stat. Probab. Lett. 94 (2014), pp. 48–55.
  • B. Li and X. Zhou, On weighted occupation times for refracted spectrally negative Lévy processes, J. Math. Anal. Appl. 466(1) (2018), pp. 215–237.
  • B. Li, X. Zhou, Local times for spectrally negative Lévy processes. Potential Anal. (2019). doi:10.1007/s11118-018-09756-6.
  • R.L. Loeffen, J. -F. Renaud, and X. Zhou, Occupation times of intervals until first passage times for spectrally negative Lévy processes, Stochastic Process. Appl. 124(3) (2014), pp. 1408–1435.
  • L.C.G. Rogers, D. Williams, Diffusions, Markov Processes, and Martingales, Vol 1: Foundations, Cambridge University Press, Cambridge, 1994. doi:10.1017/CBO9780511805141.
  • L. Wu and J. Zhou, Occupation times of hyper-exponential jump diffusion processes with application to price step options, J. Comput. Appl. Math. 294 (2016), pp. 251–274.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.