On maximum increase and decrease of brownian motion
Paavo Salminen; Pierre Vallois
Annales de l'I.H.P. Probabilités et statistiques (2007)
- Volume: 43, Issue: 6, page 655-676
- ISSN: 0246-0203
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topSalminen, Paavo, and Vallois, Pierre. "On maximum increase and decrease of brownian motion." Annales de l'I.H.P. Probabilités et statistiques 43.6 (2007): 655-676. <http://eudml.org/doc/77950>.
@article{Salminen2007,
author = {Salminen, Paavo, Vallois, Pierre},
journal = {Annales de l'I.H.P. Probabilités et statistiques},
keywords = {-transform; time reversal; path decompositions; Brownian motion with drift; excursion process; maximum process; Itô measure; maximum drawdown; covariance; catalan's constant},
language = {eng},
number = {6},
pages = {655-676},
publisher = {Elsevier},
title = {On maximum increase and decrease of brownian motion},
url = {http://eudml.org/doc/77950},
volume = {43},
year = {2007},
}
TY - JOUR
AU - Salminen, Paavo
AU - Vallois, Pierre
TI - On maximum increase and decrease of brownian motion
JO - Annales de l'I.H.P. Probabilités et statistiques
PY - 2007
PB - Elsevier
VL - 43
IS - 6
SP - 655
EP - 676
LA - eng
KW - -transform; time reversal; path decompositions; Brownian motion with drift; excursion process; maximum process; Itô measure; maximum drawdown; covariance; catalan's constant
UR - http://eudml.org/doc/77950
ER -
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