A Proof of Lehoczky's Theorem on Drawdowns
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.
0
Turn this paper into a lesson
ArcXiv compiles a structured reading guide from this paper's metadata: plain-English importance, contributions, prerequisite concepts, which sections to read first, flashcards, and a quiz. Grounded in the abstract, never invented.