On the maximum drawdown of a Brownian motion

By Malik Magdon-Ismail, Amir F. Atiya, Amrit Pratap, Yaser S. Abu-Mostafa. Journal of Applied Probability, 2004

120 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Mathematical Physics

View Paper: https://www.semanticscholar.org/paper/02bd29696844c0d428412d7300fa5056f0aa9172