Abstract
Motivated by recent studies of record statistics in relation to strongly correlated time series, we consider explicitly the drawdown time of a Lévy process, which is defined as the time since it last achieved its running maximum when observed over a fixed time period . We show that the density function of this drawdown time, in the case of a completely asymmetric jump process, may be factored as a function of t multiplied by a function of T − t. This extends a known result for the case of pure Brownian motion. We state the factors explicitly for the cases of exponential down-jumps with drift, and for the downward inverse Gaussian Lévy process with drift.