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.
P. J. Fitzsimmons. 2022-09-10. A Proof of Lehoczky's Theorem on Drawdowns. https://arxiv.org/abs/2209.04695
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