On the maximum drawdown of a Brownian motion (Q4819444)
From MaRDI portal
scientific article; zbMATH DE number 2103352
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the maximum drawdown of a Brownian motion |
scientific article; zbMATH DE number 2103352 |
Statements
On the maximum drawdown of a Brownian motion (English)
0 references
24 September 2004
0 references
Brownian motion
0 references
random walk
0 references
distribution/expectation of maximum drawdown
0 references
reflected Brownian motion
0 references
0 references
0 references
