Time since maximum of Brownian motion and asymmetric Lévy processes

Motivated by recent studies of record statistics in relation to strongly correlated time series, we consider explicitly the drawdown time of a Lévy process, which is defined as the time since it last achieved its running maximum when observed over a fixed time period . We show that the density funct...

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Veröffentlicht in:	Journal of physics. A, Mathematical and theoretical Mathematical and theoretical, 2018-07, Vol.51 (27), p.275001
Hauptverfasser:	Martin, R J, Kearney, M J
Format:	Artikel
Sprache:	eng
Schlagworte:	Brownian motion extreme statistics Lévy process Wiener-Hopf
Online-Zugang:	Volltext
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