On the maximum increase and decrease of one-dimensional diffusions
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Publication:2196380
DOI10.1016/J.SPA.2020.04.001zbMath1450.60042OpenAlexW3015820235MaRDI QIDQ2196380
Pierre Vallois, Paavo H. Salminen
Publication date: 2 September 2020
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2020.04.001
Brownian motion with driftgeometric Brownian motion\(h\)-transformmaximum drawdownoptional samplingmaximum drawup
Applications of statistics to actuarial sciences and financial mathematics (62P05) Brownian motion (60J65) Diffusion processes (60J60) Sample path properties (60G17)
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