Cui Zh., Duy Nguyen, “Magnitude and Speed of Consecutive Market Crashes in a Diffusion Model”, Methodol. Comput. Appl. Probab., 20:1 (2018), 117–135
Dassios A., Lim J.W., “An Efficient Algorithm For Simulating the Drawdown Stopping Time and the Running Maximum of a Brownian Motion”, Methodol. Comput. Appl. Probab., 20:1 (2018), 189–204
van den Berg M., den Hollander F., “Torsional Rigidity For Cylinders With a Brownian Fracture”, Bull. London Math. Soc., 50:2 (2018), 321–339
Mahmoud O., “The temporal dimension of risk”, J. Risk, 19:3 (2017), 57–83
Landriault D., Li B., Zhang H., “On magnitude, asymptotics and duration of drawdowns for Lévy models”, Bernoulli, 23:1 (2017), 432–458
Goldberg L.R., Mahmoud O., “Drawdown: From Practice to Theory and Back Again”, Math. Financ. Econ., 11:3 (2017), 275–297
Molyboga M., L'Ahelec Ch., “Portfolio Management With Drawdown-Based Measures”, J. Altern. Invest., 19:3 (2017), 75–89
Landriault D., Li B., Zhang H., “A Unified Approach For Drawdown (Drawup) of Time-Homogeneous Markov Processes”, J. Appl. Probab., 54:2 (2017), 603–626
Engineering Investment Process, 2017, 349
Gapeev P.V. Rodosthenous N., “on the Drawdowns and Drawups in Diffusion-Type Models With Running Maxima and Minima”, J. Math. Anal. Appl., 434:1 (2016), 413–431