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).
- Sprache
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Englisch
- Erschienen in
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Journal: Risks ; ISSN: 2227-9091 ; Volume: 7 ; Year: 2019 ; Issue: 4 ; Pages: 1-10 ; Basel: MDPI
- Klassifikation
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Wirtschaft
- Thema
-
drawdown
linear diffusions
reflected Brownian motion
spectrally negative Lévy processes
- Ereignis
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Geistige Schöpfung
- (wer)
-
Mayerhofer, Eberhard
- Ereignis
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Veröffentlichung
- (wer)
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MDPI
- (wo)
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Basel
- (wann)
-
2019
- DOI
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doi:10.3390/risks7040105
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:44 MEZ
Datenpartner
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Objekttyp
- Artikel
Beteiligte
- Mayerhofer, Eberhard
- MDPI
Entstanden
- 2019
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