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On future drawdowns of Lévy processes

Baurdoux, Erik J., Palmowski, Z and Pistorius, Martijn R (2017) On future drawdowns of Lévy processes. Stochastic Processes and Their Applications, 127 (8). pp. 2679-2698. ISSN 0304-4149

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Identification Number: 10.1016/j.spa.2016.12.008
Item Type: Article
Official URL: http://www.sciencedirect.com/science/journal/03044...
Additional Information: © 2017 Elsevier
Divisions: Statistics
Subjects: H Social Sciences > HA Statistics
Sets: Departments > Statistics
Date Deposited: 28 Sep 2017 08:38
Last Modified: 20 May 2019 02:30
URI: http://eprints.lse.ac.uk/id/eprint/84342

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