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An Extension of P. Lévy's Distributional Properties to the Case of a Brownian Motion with Drift
3 references·9 citing·31 second hop
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this work references cited by second hop

References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 1983Stochastic Differential Equations and Diffusion Processes3,836 cited

Cited by

  • 2002Stochastic Volatility for Levy Processes58 cited
  • 2011Drawdowns and the Speed of Market Crash48 cited
  • 2012Processes of Class Sigma, Last Passage Times, and Drawdowns30 cited
  • 2004On the maximum drawdown of a Brownian motion27 cited
  • 2008Predicting the Time of the Ultimate Maximum for Brownian Motion with Drift26 cited
  • 2003The maximum drawdown of the Brownian motion24 cited
  • 2010Pricing maturity guarantee with dynamic withdrawal benefit22 cited
  • 2006On Reflecting Brownian Motion with Drift22 cited
  • 2013Exact simulation for solutions of one-dimensional Stochastic Differential Equations with discontinuous drift21 cited

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