Formulas for stopped diffusion processes with stopping times based on drawdowns and drawups (Q2270885): Difference between revisions

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+Jan Večeř
@@ Property / author: Jan Večeř / rank @@
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+MaRDI publication profile
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+https://doi.org/10.1016/j.spa.2009.01.002
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+W2104089070
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@@ Property / cites work @@
+Q5653395
@@ Property / cites work: Q5653395 / rank @@
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@@ Property / cites work @@
+A stopped Brownian motion formula
@@ Property / cites work: A stopped Brownian motion formula / rank @@
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+Formulas for stopped diffusion processes with stopping times based on the maximum
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+Drawdowns preceding rallies in the Brownian motion model
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+On the Best 2-CUSUM Stopping Rule for Quickest Detection of Two-Sided Alternatives in a Brownian Motion Model
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+Distributional Properties of CUSUM Stopping Times
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+On the maximum drawdown of a Brownian motion
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+OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS
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+DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION
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