Artikel
Three essays on stopping
First, we give a closed-form formula for first passage time of a reflected Brownian motion with drift. This corrects a formula by Perry et al. (2004). Second, we show that the maximum before a fixed drawdown is exponentially distributed for any drawdown, if and only if the diffusion characteristic μ/σ2 is constant. This complements the sufficient condition formulated by Lehoczky (1977). Third, we give an alternative proof for the fact that the maximum before a fixed drawdown is exponentially distributed for any spectrally negative Lévy process, a result due to Mijatovi´c and Pistorius (2012). Our proof is similar, but simpler than Lehoczky (1977) or Landriault et al. (2017).
- Language
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Englisch
- Bibliographic citation
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Journal: Risks ; ISSN: 2227-9091 ; Volume: 7 ; Year: 2019 ; Issue: 4 ; Pages: 1-10 ; Basel: MDPI
- Classification
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Wirtschaft
- Subject
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drawdown
linear diffusions
reflected Brownian motion
spectrally negative Lévy processes
- Event
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Geistige Schöpfung
- (who)
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Mayerhofer, Eberhard
- Event
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Veröffentlichung
- (who)
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MDPI
- (where)
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Basel
- (when)
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2019
- DOI
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doi:10.3390/risks7040105
- Handle
- Last update
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10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Mayerhofer, Eberhard
- MDPI
Time of origin
- 2019
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