Probability Characteristics of Downfalls of Brownian Motion with Drift

DOI10.1137/S0040585X97981901zbMATH Open1119.60067MaRDI QIDQ3429699FDOQ3429699

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Publication date: 2 April 2007

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

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zbMATH Keywords

Laplace transformBrownian motion (with drift)downfalls

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Brownian motion (60J65) Sample path properties (60G17) Stopping times; optimal stopping problems; gambling theory (60G40)

Cited In (5)

• The maximal drawdown of the Brownian meander
• On Probability Characteristics of "Downfalls" in a Standard Brownian Motion
• On the correlation of the supremum and the infimum and of maximum gain and maximum loss of Brownian motion with drift
• On the maximum drawdown of a Brownian motion
• Distribution of Trend Height and Length for Brownian Motion with a Drift

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