On the maximum drawdown of a Brownian motion

Journal of Applied Probability 2004 / 03 Vol. 41; Iss. 1

On the maximum drawdown of a Brownian motion

Magdon-Ismail, Malik, Atiya, Amir F., Pratap, Amrit, Abu-Mostafa, Yaser S.
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Volume:
41
Language:
english
Journal:
Journal of Applied Probability
DOI:
10.1239/jap/1077134674
Date:
March, 2004
File:
PDF, 156 KB
english, 2004
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