papers
Publications (5)
math.PR2011
Occupation times of spectrally negative Lévy processes with applications
David Landriault, Jean-François Renaud, Xiaowen Zhou
q-fin.MF2017
A Unified Approach for Drawdown (Drawup) of Time-Homogeneous Markov Processes
David Landriault, Bin Li, Hongzhong Zhang
q-fin.PR2014
On the Frequency of Drawdowns for Brownian Motion Processes
David Landriault, Bin Li, Hongzhong Zhang
q-fin.MF2016
On magnitude, asymptotics and duration of drawdowns for Lévy models
David Landriault, Bin Li, Hongzhong Zhang
q-fin.RM2019
On occupation times in the red of Lévy risk models
David Landriault, Bin Li, Mohamed Amine Lkabous