The maximum drawdown of the Brownian motion.
Malik Magdon-IsmailAmir F. AtiyaAmrit PratapYaser S. Abu-MostafaPublished in: CIFEr (2003)
Keyphrases
- brownian motion
- optimal stopping
- stochastic process
- differential equations
- optimal control
- diffusion process
- stochastic processes
- poisson process
- heavy traffic
- queue length
- vector valued
- stochastic differential equations
- closed form solutions
- dynamical systems
- heavy tailed
- steady state
- reinforcement learning
- learning algorithm