An Extension of P. Lévy's Distributional Properties to the Case of a Brownian Motion with Drift@@@An Extension of P. Levy's Distributional Properties to the Case of a Brownian Motion with Drift

By S. Graversen, Albert N. Shiryaev. 2000

63 citations recorded by the source corpus.

Subfields: Finance, Mathematical Physics

View Paper: https://www.semanticscholar.org/paper/2ec0062c3c4319eafbb6976e1d0b66c8d3f0a3a3

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Hongzhong Zhang
2. Olympia Hadjiliadis

In Mathematical Physics

1. Hongzhong Zhang

Citations in the corpus

• Drawdowns and the Speed of Market Crash (2012, background): “The drawdown and its probabilistic properties have been extensively studied in the standard Brownian motion model by Douady et al. (2000) and in the drifted Brownian motion by Graversen and Shiryaev (2000) as well as MagdonIsmail et al. (2004).”
• Stochastic Volatility for Lévy Processes (2003, unknown): “Some important references for this development are Fitzsimmons (1987), Shiryaev and Cherny (1999), and Graversen and Shiryaev (2000).”
• The trap of complacency in predicting the maximum. (2007, unknown): “[5]) the following identity in law holds:”