A Proof of Lehoczky's Theorem on Drawdowns
arXiv:2209.04695
Abstract
We give a proof of Lehoczky's drawdown formula for one-dimensional diffusion processes, using the Poisson structure of the excursions of the diffusion below its running maximum.
arXiv:2209.04695
We give a proof of Lehoczky's drawdown formula for one-dimensional diffusion processes, using the Poisson structure of the excursions of the diffusion below its running maximum.