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Three essays on stopping

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Show simple item record Mayerhofer, Eberhard 2019-12-05T12:09:26Z 2019-12-05T12:09:26Z 2019
dc.description peer-reviewed en_US
dc.description.abstract First, we give a closed-form formula for first passage time of a reflected Brownian motion with drift. This corrects a formula by Perry et al. (2004). Second, we show that the maximum before a fixed drawdown is exponentially distributed for any drawdown, if and only if the diffusion characteristic m/s2 is constant. This complements the sufficient condition formulated by Lehoczky (1977). Third, we give an alternative proof for the fact that the maximum before a fixed drawdown is exponentially distributed for any spectrally negative Lévy process, a result due to Mijatovi´c and Pistorius (2012). Our proof is similar, but simpler than Lehoczky (1977) or Landriault et al. (2017). en_US
dc.language.iso eng en_US
dc.publisher MDPI en_US
dc.relation.ispartofseries Risks;7, 105
dc.subject reflected brownian motion en_US
dc.subject linear diffusions en_US
dc.subject spectrally negative Lévy processes en_US
dc.title Three essays on stopping en_US
dc.type info:eu-repo/semantics/article en_US
dc.type.supercollection all_ul_research en_US
dc.type.supercollection ul_published_reviewed en_US
dc.identifier.doi 10.3390/risks7040105
dc.rights.accessrights info:eu-repo/semantics/openAccess en_US
dc.internal.rssid 2933207

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