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 @@
-Normal rank
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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
@@ Property / OpenAlex ID: W2104089070 / rank @@
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@@ Property / cites work @@
+Q5653395
@@ Property / cites work: Q5653395 / rank @@
+Normal rank
@@ Property / cites work @@
+A stopped Brownian motion formula
@@ Property / cites work: A stopped Brownian motion formula / rank @@
+Normal rank
@@ Property / cites work @@
+Formulas for stopped diffusion processes with stopping times based on the maximum
+Normal rank
@@ Property / cites work @@
+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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+Optimal and Asymptotically Optimal CUSUM Rules for Change Point Detection in the Brownian Motion Model with Multiple Alternatives
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+Distributional Properties of CUSUM Stopping Times
@@ Property / cites work: Distributional Properties of CUSUM Stopping Times / rank @@
+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 @@
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+Q3400707
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+On maximum increase and decrease of Brownian motion
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+OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS
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+Q4868512
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+DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION
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+Q4453259
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+A class of remarkable submartingales
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+On the Markov Chain Approach to the Two-Sided CUSUM Procedure
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+Q3264543
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@@ links / mardi / name / links / mardi / name @@
+Publication:2270885