Drawdowns of diffusions

DOI10.1051/PS/2025010MaRDI QIDQ6842282zbMATH OpenFDO

Authors Paavo Salminen, Pierre Vallois

Publication date 19 March 2026

Published in European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1051/PS/2025010

zbMATH Keywords

Brownian motionlocal timeadditive functionalPoisson point processpure jump process

Mathematics Subject Classification ID

Diffusion processes (60J60) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40)

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