Properties of Kagi and Renko moments for homogeneous diffusion processes

DOI10.1134/S0001434612010269zbMATH Open1292.60081MaRDI QIDQ2435935

M. A. Spiryaev

Publication date: 21 February 2014

Published in: Mathematical Notes (Search for Journal in Brave)

zbMATH Keywords

Laplace transformBrownian motionstopping timehomogeneous diffusion processKagi instant of timeRenko instant of time

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40)

Cites Work

• Title not available (Why is that?)
• Formulas for stopped diffusion processes with stopping times based on the maximum
• On Some Properties of Kagi and Renko Trading Strategies for Brownian Motion
• On Some Probabilistic-Statistical Methods in Technical Analysis

Related Items (1)

Some properties of Kagi and Renko moments for Brownian motion

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