Re: Probability of 100BB Downswing
[ QUOTE ]
Well, I'll definitely stop playing with this, since it's answered here:
@article {MR0375486,
AUTHOR = {Taylor, Howard M.},
TITLE = {A stopped {B}rownian motion formula},
JOURNAL = {Ann. Probability},
VOLUME = {3},
YEAR = {1975},
PAGES = {234--246},
MRCLASS = {60J65},
MRNUMBER = {MR0375486 (51 \#11678)},
MRREVIEWER = {P. J. Brockwell},
}
[/ QUOTE ]
Is this available online?
Also, I'm guessing that this uses the Brownian motion model. Can you explain why my last objection would not apply (or would)?
Thanks,
gm
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