题目：A General Approach for Drawdown (Drawup) of Time-Homogeneous Markov Processes
嘉宾：李斌 博士（加拿大滑铁卢大学统计与精算科学系）
时间：2015年7月24 日15:00-16:20
地点：管理科研楼10楼1018会议室
单位：管理学院统计与金融系、安徽省金融信息重点实验室

摘要：
Drawdown (resp. drawup) of a stochastic process, also referred as the reflected process at the running maximum (resp. minimum), is a classical problem in applied probability and has wide applications in fund management industry, actuarial science, and statistics. In this paper, for time-homogeneous Markov processes, we propose a general and unified approach to the distributional study of various drawdown quantities. In general, our results reduce the drawdown problematic to the fundamental two-sided exit problematic. In particular, explicit forms are available when the underlying process has only one-sided jumps or is a Levy process (possibly with two-sided jumps).