On the drawdowns and drawups in diffusion-type models with running maxima and minima (Q890509)
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scientific article; zbMATH DE number 6506807
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the drawdowns and drawups in diffusion-type models with running maxima and minima |
scientific article; zbMATH DE number 6506807 |
Statements
On the drawdowns and drawups in diffusion-type models with running maxima and minima (English)
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10 November 2015
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Laplace transforms
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diffusion-type processes
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running maximum and minimum processes
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running maximum drawdown and maximum drawup processes
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boundary-value problems
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normal reflection
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