A Proof of Lehoczky's Theorem on Drawdowns

2022/09/10 by P. J. Fitzsimmons, Fitzsimmons, P. J.
Computer Science · Mathematics · #60J60 #FOS: Mathematics #Mathematical Dynamics and Fractals #Probability (math.PR) #Topological and Geometric Data Analysis #advanced mathematical theories

paper · pdf · doi:10.48550/arxiv.2209.04695

openalex publication_date 2022/09/10 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

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.

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