On the adjustment coefficient, drawdowns and Lundberg-type bounds for random walk
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Publication:2389601
DOI10.1214/08-AAP567zbMath1235.60048arXiv0807.3506MaRDI QIDQ2389601
Publication date: 17 July 2009
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0807.3506
Sums of independent random variables; random walks (60G50) Martingales with continuous parameter (60G44)
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Cites Work
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- Corrected diffusion approximations in certain random walk problems
- On the Distribution of Maxima of Martingale
- On Probability Characteristics of "Downfalls" in a Standard Brownian Motion
- On the maximum drawdown of a Brownian motion
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- Ergodic Properties of Continuous-Time Markov Processes and Their Discrete Skeletons
- On a Theorem of Skorohod
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