On the maximum drawdown of a Brownian motion
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Publication:4819444
DOI10.1239/jap/1077134674zbMath1051.60083OpenAlexW2119657026MaRDI QIDQ4819444
Malik Magdon-Ismail, Yaser S. Abu-Mostafa, Amir F. Atiya, Amrit Pratap
Publication date: 24 September 2004
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://resolver.caltech.edu/CaltechAUTHORS:MAGcife03
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Cites Work
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- On Probability Characteristics of "Downfalls" in a Standard Brownian Motion
- First passage time distribution of a Wiener process with drift concerning two elastic barriers
- The Asymptotic Distribution of the Range of Sums of Independent Random Variables
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