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General drawdown of general tax model in a time-homogeneous Markov framework (1810.02079v1)
Published 4 Oct 2018 in math.PR
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.