On maximum increase and decrease of Brownian motion

DOI10.1016/j.anihpb.2006.09.007zbMath1173.60338arXivmath/0512440OpenAlexW1980410046MaRDI QIDQ841505

Pierre Vallois, Paavo H. Salminen

Publication date: 17 September 2009

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0512440

zbMATH Keywords

Brownian motion with drifttime reversalcovariance\(h\)-transformmaximum processpath decompositionsexcursion processItô measurecatalan's constantmaximum drawdown

Mathematics Subject Classification ID

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

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