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math.PR 1

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2024 1

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CONDITIONAL 1

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Drawdowns of diffusions

math.PR · 2024-11-27 · conditional · novelty 6.0

The authors prove Lehoczky's and Malyutin's drawdown formulas via excursion theory and analyze the Markov process of the maximum at the first drawdown time.

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  • Drawdowns of diffusions math.PR · 2024-11-27 · conditional · none · ref 4

    The authors prove Lehoczky's and Malyutin's drawdown formulas via excursion theory and analyze the Markov process of the maximum at the first drawdown time.