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Browsing Mathematics & Statistics by Subject "linear diffusions"

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Browsing Mathematics & Statistics by Subject "linear diffusions"

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  • Mayerhofer, Eberhard (MDPI, 2019)
    First, we give a closed-form formula for first passage time of a reflected Brownian motion with drift. This corrects a formula by Perry et al. (2004). Second, we show that the maximum before a fixed drawdown is exponentially ...

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