On the maximum increase and decrease of one-dimensional diffusions

DOI10.1016/J.SPA.2020.04.001MaRDI QIDQ2196380zbMATH OpenOpenAlexFDO

Authors Paavo Salminen, Pierre Vallois

Publication date 2 September 2020

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spa.2020.04.001

zbMATH Keywords

\(h\)-transformBrownian motion with driftgeometric Brownian motionmaximum drawdownmaximum drawupoptional sampling

Mathematics Subject Classification ID

Sample path properties (60G17) Diffusion processes (60J60) Brownian motion (60J65) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

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Cited in

(6)

• On the joint distribution of the maximum and its location for a linear diffusion
• Many maximum excursions for elliptic diffusion processes
• Some remarks on the maximum of a one-dimensional diffusion process
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• Drawdowns of diffusions
• On maximum increase and decrease of Brownian motion

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