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On the Maximum Drawdown of a Brownian Motion Malik Magdon-Ismail Amir F. Atiya
 

Summary: On the Maximum Drawdown of a Brownian Motion
Malik Magdon-Ismail Amir F. Atiya
Department of Computer Science, Department of Computer Engineering,
Rensselaer Polytechnic Institute, Cairo University,
Rm. 207 Lally Building, Giza,
110 8th Street, Troy, NY 12180, USA. Egypt.
magdon@rpi.edu amir@alumni.caltech.edu
Amrit Pratap Yaser S. Abu-Mostafa
Department of Computer Science, Departments of EE and CS,
Caltech, Caltech,
MC 136-93, MC 136-93,
Pasadena, CA 91125, USA. Pasadena, CA 91125, USA.
apratap@caltech.edu yaser@caltech.edu
September 2, 2003
Abstract
If X(t) is a random process on [0, T ], the maximum drawdown at time T , ŻD(T ), is defined by
ŻD(T ) = sup
t[0,T ]
sup
s[0,t]

  

Source: Abu-Mostafa, Yaser S. - Department of Mechanical Engineering & Computer Science Department, California Institute of Technology
Atiya, Amir - Computer Engineering Department, Cairo University

 

Collections: Computer Technologies and Information Sciences