Drawdowns and rallies in a finite time-horizon. Drawdowns and rallies

DOI10.1007/s11009-009-9139-1zbMath1202.60071OpenAlexW1600138544MaRDI QIDQ973024

Olympia Hadjiliadis, Hongzhong Zhang

Publication date: 28 May 2010

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-009-9139-1

zbMATH Keywords

Brownian motionrandom walkdraw downrally

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Stopping times; optimal stopping problems; gambling theory (60G40) Probabilistic games; gambling (91A60)

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