The Supremum the Infimum Maximum Gain and Maximum Loss of Brownian Motion with Drift

Date

2011-07-22

Author

Vardar Acar, Ceren

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Related to risk and to hedging investors would be interested insupremum, infimum, maximum gain and maximum loss. Price ofstock can be modeled using Brownian motion. Here, we presentthe marginal and joint distributions of supremum, infimum, maxi-mum gain and maximum loss of Brownian motion with drift 0. Asan extension, we provide calculations of correlations for Brownianmotion with drift. We give number of results related to distributionsover various time. We present numerical studies of Brownian mo-tion with drift and collect conjectures on relation between maximumgain and maximum loss

URI

https://hdl.handle.net/11511/87257

Conference Name

7th International Congress on Industrial and Applied Mathematics (18 - 22 Temmuz 2011)

Collections

Department of Statistics, Conference / Seminar

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Citation Formats

C. Vardar Acar, “The Supremum the Infimum Maximum Gain and Maximum Loss of Brownian Motion with Drift,” presented at the 7th International Congress on Industrial and Applied Mathematics (18 - 22 Temmuz 2011), Vancouver, Kanada, 2011, Accessed: 00, 2021. [Online]. Available: https://hdl.handle.net/11511/87257.