scientific article; zbMATH DE number 2050986
From MaRDI portal
Publication:4453259
Recommendations
- A general `bang-bang' principle for predicting the maximum of a random walk
- On the solution of the optimal prediction problem for the maximum of a time-homogeneous diffusion
- On the expected diameter of an \(L_{2}\)-bounded martingale
- Optimal Stopping of Regular Diffusions under Random Discounting
- Optimal stopping of the maximum process: a converse to the results of Peskir
- On the optimal stopping of a Brownian motion with a negative drift
- Optimal prediction of the ultimate maximum of Brownian motion
- OPTIMAL STOPPING FOR THE LAST EXIT TIME
Cited in
(21)- Sunset over Brownistan
- From optimal stopping boundaries to Rost's reversed barriers and the Skorokhod embedding
- An efficient algorithm for simulating the drawdown stopping time and the running maximum of a Brownian motion
- Drawdowns and the speed of market crash
- Three-dimensional Brownian motion and the golden ratio rule
- Stochastic modeling and fair valuation of drawdown insurance
- A Wiener-Hopf factorization related potential measure for spectrally negative Lévy process
- On the maximum increase and decrease of one-dimensional diffusions
- Formulas for stopped diffusion processes with stopping times based on drawdowns and drawups
- Drawdown and drawup for fractional Brownian motion with trend
- On the adjustment coefficient, drawdowns and Lundberg-type bounds for random walk
- On taxed spectrally negative Lévy processes with draw-down stopping
- The maximal drawdown of the Brownian meander
- Optimal doubling points for Brownian motion with drift
- On stopping times connected with drawdowns and rallies of a Brownian motion with drift
- On Probability Characteristics of "Downfalls" in a Standard Brownian Motion
- On the drawdown of completely asymmetric Lévy processes
- Time since maximum of Brownian motion and asymmetric Lévy processes
- Optimal loss-carry-forward taxation for Lévy risk processes stopped at general draw-down time
- Occupation times, drawdowns, and drawups for one-dimensional regular diffusions
- Drawdowns of diffusions
This page was built for publication:
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4453259)
