On the maximum increase and decrease of one-dimensional diffusions

Paavo Salminen; Pierre Vallois

doi:10.1016/j.spa.2020.04.001

On the maximum increase and decrease of one-dimensional diffusions

Översatt titel: On maximum increase and decrease of one-dimensional diffusions

Paavo Salminen, Pierre Vallois

Matematik

Forskningsoutput: Tidskriftsbidrag › Artikel › Vetenskaplig › Peer review

23 Nedladdningar (Pure)

Sammanfattning

In this paper the joint distribution of the maximum increase and the maximum decrease up to a first hitting time is calculated for a regular one-dimensional diffusion. Moreover, it is shown that the process given by the maximum decrease when the hitting level is the "time" parameter is a pure jump Markov process and its generator is found. As examples, Brownian motion and three dimensional Bessel process are analyzed more in detail.

Översatt titel	On maximum increase and decrease of one-dimensional diffusions
Originalspråk	Engelska
Sidor (från-till)	5592-5604
Antal sidor	13
Tidskrift	Stochastic Processes and their Applications
Volym	130
Nummer	9
DOI	https://doi.org/10.1016/j.spa.2020.04.001
Status	Publicerad - 9 sep. 2020
MoE-publikationstyp	A1 Tidskriftsartikel-refererad

Nyckelord

maximum drawup
optional sampling
maximum drawdown

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10.1016/j.spa.2020.04.001

SPA_2019_274_salminen_valloisAccepterat manuskript från författare, 298 KBLicens: CC BY-NC-ND

https://urn.fi/URN:NBN:fi-fe202201148136

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On the maximum increase and decrease of one-dimensional diffusions

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