On the Frequency of Drawdowns for Brownian Motion Processes

DOI10.1239/jap/1429282615zbMath1317.60106arXiv1403.1183OpenAlexW3104892856MaRDI QIDQ5252245

David Landriault, Bin Li, Hongzhong Zhang

Publication date: 29 May 2015

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1403.1183

zbMATH Keywords

Brownian motiondrawdownsextremal eventshistorical running maxima

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40)

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