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

@@ Property / author @@
-Jan Večeř
@@ Property / author: Jan Večeř / rank @@
-Normal rank
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+Jan Večeř
@@ Property / author: Jan Večeř / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1080/14697680600764227
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@@ Property / OpenAlex ID @@
+W1973164504
@@ Property / OpenAlex ID: W1973164504 / rank @@
+Normal rank
@@ Property / cites work @@
+A note on Ritov's Bayes approach to the minimax property of the cusum procedure
+Normal rank
@@ Property / cites work @@
+DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION
@@ Property / cites work: DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION / rank @@
+Normal rank
@@ Property / cites work @@
+Formulas for stopped diffusion processes with stopping times based on the maximum
+Normal rank
@@ Property / cites work @@
+On the maximum drawdown of a Brownian motion
@@ Property / cites work: On the maximum drawdown of a Brownian motion / rank @@
+Normal rank
@@ Property / cites work @@
+Optimality of the CUSUM procedure in continuous time.
+Normal rank
@@ Property / cites work @@
+CONTINUOUS INSPECTION SCHEMES
@@ Property / cites work: CONTINUOUS INSPECTION SCHEMES / rank @@
+Normal rank
@@ Property / cites work @@
+Minimax optimality of the method of cumulative sums (cusum) in the case of continuous time
+Normal rank
@@ Property / cites work @@
+A stopped Brownian motion formula
@@ Property / cites work: A stopped Brownian motion formula / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:3437396