Probability Characteristics of Downfalls of Brownian Motion with Drift

DOI10.1137/S0040585X97981901MaRDI QIDQ3429699zbMATH OpenFDO

Authors

Publication date 2 April 2007

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

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)

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Cited in

(5)

• Distribution of Trend Height and Length for Brownian Motion with a Drift
• 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
• The maximal drawdown of the Brownian meander
• On the maximum drawdown of a Brownian motion

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