Drawdowns preceding rallies in the Brownian motion model (Q3437396): Difference between revisions

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+A note on Ritov's Bayes approach to the minimax property of the cusum procedure
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+DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION
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+Normal rank
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+Formulas for stopped diffusion processes with stopping times based on the maximum
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+On the maximum drawdown of a Brownian motion
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+Optimality of the CUSUM procedure in continuous time.
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+CONTINUOUS INSPECTION SCHEMES
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+Minimax optimality of the method of cumulative sums (cusum) in the case of continuous time
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+A stopped Brownian motion formula
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+Normal rank