48 citations to https://www.mathnet.ru/rus/tvp594
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Engineering Investment Process, 2017, 349
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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
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Zhenyu Cui, “Magnitude and Speed of Consecutive Market Crashes in a Diffusion Model”, SSRN Journal, 2016
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Landriault D., Li B., Li Sh., “Analysis of a Drawdown-Based Regime-Switching Levy Insurance Model”, Insur. Math. Econ., 60 (2015), 98–107
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Vardar-Acar C., Bulut H., “Bounds on the Expected Value of Maximum Loss of Fractional Brownian Motion”, Stat. Probab. Lett., 104 (2015), 117–122
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Landriault D., Li B., Zhang H., “on the Frequency of Drawdowns For Brownian Motion Processes”, J. Appl. Probab., 52:1 (2015), 191–208
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David Landriault, Bin Li, Hongzhong Zhang, “On the Frequency of Drawdowns for Brownian Motion Processes”, Journal of Applied Probability, 52:1 (2015), 191
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Ola Mahmoud, “The Two Dimensions of Drawdown: Magnitude and Duration”, SSRN Journal, 2015
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Alvarez L.H.R. Matomaki P., “Optimal Stopping of the Maximum Process”, J. Appl. Probab., 51:3 (2014), 818–836
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Luis H. R. Alvarez, Pekka Matomäki, “Optimal Stopping of the Maximum Process”, J. Appl. Probab., 51:03 (2014), 818