General drawdown of general tax model in a time-homogeneous Markov framework

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 Lévy 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 process.