On the correlation of the supremum and the infimum and of maximum gain and maximum loss of Brownian motion with drift
From MaRDI portal
Publication:1946208
DOI10.1016/j.cam.2013.01.010zbMath1270.91025OpenAlexW2105817428MaRDI QIDQ1946208
Craig L. Zirbel, Gábor J. Székely, Ceren Vardar-Acar
Publication date: 18 April 2013
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2013.01.010
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (4)
Extremes of a class of nonhomogeneous Gaussian random fields ⋮ Maximum loss and maximum gain of spectrally negative Lévy processes ⋮ On the maximum increase and decrease of one-dimensional diffusions ⋮ Maximum drawdown and drawdown duration of spectrally negative Lévy processes decomposed at extremes
This page was built for publication: On the correlation of the supremum and the infimum and of maximum gain and maximum loss of Brownian motion with drift