Mijatović, Aleksandar; Pistorius, Martijn R. - In: Stochastic Processes and their Applications 122 (2012) 11, pp. 3812-3836
The drawdown process Y of a completely asymmetric Lévy process X is equal to X reflected at its running supremum X¯: Y=X¯−X. In this paper we explicitly express in terms of the scale function and the Lévy measure of X the law of the sextuple of the first-passage time of Y over the level...
