On the maximum increase and decrease of one-dimensional diffusions (Q2196380)
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scientific article; zbMATH DE number 7242838
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| default for all languages | No label defined |
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| English | On the maximum increase and decrease of one-dimensional diffusions |
scientific article; zbMATH DE number 7242838 |
Statements
On the maximum increase and decrease of one-dimensional diffusions (English)
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2 September 2020
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maximum drawdown
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maximum drawup
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optional sampling
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\(h\)-transform
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Brownian motion with drift
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geometric Brownian motion
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0.8041788339614868
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0.7995571494102478
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0.7973293662071228
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0.7746395468711853
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