کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1155945 | 958787 | 2009 | 16 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Formulas for stopped diffusion processes with stopping times based on drawdowns and drawups
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Formulas for stopped diffusion processes with stopping times based on drawdowns and drawups Formulas for stopped diffusion processes with stopping times based on drawdowns and drawups](/preview/png/1155945.png)
چکیده انگلیسی
This paper studies drawdown and drawup processes in a general diffusion model. The main result is a formula for the joint distribution of the running minimum and the running maximum of the process stopped at the time of the first drop of size aa. As a consequence, we obtain the probabilities that a drawdown of size aa precedes a drawup of size bb and vice versa. The results are applied to several examples of diffusion processes, such as drifted Brownian motion, Ornstein–Uhlenbeck process, and Cox–Ingersoll–Ross process.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 119, Issue 8, August 2009, Pages 2563–2578
Journal: Stochastic Processes and their Applications - Volume 119, Issue 8, August 2009, Pages 2563–2578
نویسندگان
Libor Pospisil, Jan Vecer, Olympia Hadjiliadis,