On the correlation of the supremum and the infimum and of maximum gain and maximum loss of Brownian motion with drift
type: Item
instance of: scholarly article
title: On the correlation of the supremum and the infimum and of maximum gain and maximum loss of Brownian motion with drift
zbMATH Open document ID: 1270.91025
author: Ceren Vardar-Acar
author: Craig L. Zirbel
author: G. J. Székely
published in: Journal of Computational and Applied Mathematics
publication date: 2013-04-18T00:00:00Z
Mathematics Subject Classification ID: 91B25
Mathematics Subject Classification ID: 60J65
zbMATH DE Number: 6155454
zbMATH Keywords: Brownian motion
zbMATH Keywords: scaling property
zbMATH Keywords: uniform continuity
zbMATH Keywords: Markov property
zbMATH Keywords: correlation coefficient
zbMATH Keywords: stock prices
MaRDI profile type: Publication
full work available at URL: j.cam.2013.01.010
OpenAlex ID: W2105817428
DOI: 10.1016/J.CAM.2013.01.010
description: scientific article; zbMATH DE number 6155454