On the Maximum Drawdown of a Brownian Motion

On the Maximum Drawdown of a Brownian Motion

Malik Magdon-Ismail, Amir F. Atiya, Amrit Pratap and Yaser S. Abu-Mostafa
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Volume:
41
Language:
english
Journal:
Journal of Applied Probability
DOI:
10.2307/3215821
Date:
March, 2004
File:
PDF, 1003 KB
english, 2004
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