On stopping times connected with drawdowns and rallies of a Brownian motion with drift (Q3632956)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On stopping times connected with drawdowns and rallies of a Brownian motion with drift |
scientific article |
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On stopping times connected with drawdowns and rallies of a Brownian motion with drift (English)
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16 June 2009
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Brownian motion with drift
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stopping time
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drawdowns
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rallies
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Laplace transform
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Girsanov theorem
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strong Markov property
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0.7889152765274048
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