On maximum increase and decrease of one-dimensional diffusions

Paavo Salminen, Pierre Vallois

Forskningsoutput: TidskriftsbidragArtikelVetenskapligPeer review

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 titelOn maximum increase and decrease of one-dimensional diffusions
OriginalspråkEngelska
Sidor (från-till)5592-5604
Antal sidor13
TidskriftStochastic Processes and their Applications
Volym130
Utgåva9
DOI
StatusPublicerad - 9 sep 2020
MoE-publikationstypA1 Tidskriftsartikel-refererad

Nyckelord

  • maximum drawup
  • optional sampling
  • maximum drawdown

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