The maximum drawdown of the Brownian motion

Malik Magdon-Ismail, Amir F. Atiya, Amrit Pratap, Yaser S. Abu-Mostafa. The maximum drawdown of the Brownian motion. In 2003 IEEE International Conference on Computational Intelligence for Financial Engineering, CIFEr 2003, Hong Kong, March 20-23, 2003. pages 243-247, IEEE, 2003. [doi]

Authors

Malik Magdon-Ismail

This author has not been identified. Look up 'Malik Magdon-Ismail' in Google

Amir F. Atiya

This author has not been identified. Look up 'Amir F. Atiya' in Google

Amrit Pratap

This author has not been identified. Look up 'Amrit Pratap' in Google

Yaser S. Abu-Mostafa

This author has not been identified. Look up 'Yaser S. Abu-Mostafa' in Google