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P. Vallois

1 paper hereh-index 242.8k citations132 works total

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  • math.PR1

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collaborators

1 paper

math.PR2024

Drawdowns of diffusions

Paavo Salminen, Pierre Vallois

In this paper we give excursion theoretical proofs of Lehoczky's formula (in an extended form allowing a lower bound for the underlying diffusion) for the joint distribution of the…

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