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

Bo Li; Yun Hua; Xiaowen Zhou

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arXiv · 1806.03201

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

Bo Li·Yun Hua·Xiaowen Zhou

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Abstract

In this paper we find the Laplace transforms of the weighted occupation times for a spectrally negative L\'evy surplus process to spend below its running maximum up to the first exit times. The results are expressed in terms of generalized scale functions. For step weight functions, the Laplace transforms can be further expressed in terms of scale functions.

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Bo Li, Yun Hua, Xiaowen Zhou. 2018-06-08. How long does the surplus stay close to its historical high?. https://arxiv.org/abs/1806.03201

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