General drawdown of general tax model in a time-homogeneous Markov framework

Florin Avram; Bin Li; Shu Li

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arXiv · 1810.02079

General drawdown of general tax model in a time-homogeneous Markov framework

Florin Avram·Bin Li·Shu Li

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Abstract

Drawdown/regret times feature prominently in optimal stopping problems, in statistics (CUSUM procedure) and in mathematical finance (Russian options). Recently it was discovered that a first passage theory with general drawdown times, which generalize classic ruin times, may be explicitly developed for spectrally negative L\'evy processes -- see Avram, Vu, Zhou(2017), Li, Vu, Zhou(2017). In this paper, we further examine general drawdown related quantities for taxed time-homogeneous Markov processes, using the pathwise connection between general drawdown and tax.

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Florin Avram, Bin Li, Shu Li. 2018-10-04. General drawdown of general tax model in a time-homogeneous Markov framework. https://arxiv.org/abs/1810.02079

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