Magnitude and speed of consecutive market crashes in a diffusion model
type: Item
instance of: scholarly article
title: Magnitude and speed of consecutive market crashes in a diffusion model
zbMATH Open document ID: 1382.60065
author: Peng Zhang
published in: Methodology and Computing in Applied Probability
publication date: 2018-03-01T00:00:00Z
Mathematics Subject Classification ID: 60G44
Mathematics Subject Classification ID: 91B25
Mathematics Subject Classification ID: 91B70
zbMATH DE Number: 6845825
zbMATH Keywords: time-homogeneous diffusion
zbMATH Keywords: generalized drawdown process
zbMATH Keywords: drawdown
zbMATH Keywords: Laplace transform
zbMATH Keywords: Doob-Meyer decomposition
MaRDI profile type: Publication
full work available at URL: s11009-016-9535-2
OpenAlex ID: W2565612504
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DOI: 10.1007/S11009-016-9535-2
description: scientific article; zbMATH DE number 6845825