On the Frequency of Drawdowns for Brownian Motion Processes.
David LandriaultBin LiHongzhong ZhangPublished in: J. Appl. Probab. (2015)
Keyphrases
- brownian motion
- stochastic processes
- stochastic process
- optimal stopping
- differential equations
- diffusion process
- optimal control
- heavy traffic
- poisson process
- vector valued
- stochastic differential equations
- random fields
- closed form solutions
- special case
- probability distribution
- queue length
- parameter estimation
- dynamic programming