Drawdowns and rallies in a finite time-horizon. Drawdowns and rallies
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Publication:973024
DOI10.1007/s11009-009-9139-1zbMath1202.60071OpenAlexW1600138544MaRDI QIDQ973024
Olympia Hadjiliadis, Hongzhong Zhang
Publication date: 28 May 2010
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11009-009-9139-1
Sums of independent random variables; random walks (60G50) Stopping times; optimal stopping problems; gambling theory (60G40) Probabilistic games; gambling (91A60)
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