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SUMMARY:Exit Times and Extremes of Fractional Brownian motion and Spectral
 ly Negative Levy Processes - Ceren Vardar Acar (Middle East Technical Univ
 ersity)
DTSTART:20240422T084500Z
DTEND:20240422T093000Z
UID:TALK214105@talks.cam.ac.uk
DESCRIPTION:Inspired by many applications\, especially in Financial Mathem
 atics and Heavy Tail Phenomena\, this talk will begin with providing some 
 old and improved bounds on the first hitting times of fractional Brownian 
 motion and its draw-down process. Asymptotically\, the tail of distributio
 n of the first hitting time of drawdown/loss/regret process over [0\, t] b
 ehaves like the tail of the marginal distribution at time t.&nbsp\; Next\,
  our focus will be on the two-sided exit times of draw-down and draw-up pr
 ocesses of spectrally negative Levy processes. Finally\, the Laplace trans
 form of the "three-sided" exit times of spectrally negative Levy and its d
 raw-down process from a rectangular region will be demostrated together wi
 th the Laplace transforms of these exit-times out of a Trapezoid.
LOCATION:External
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