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Three essays on stopping
Eberhard Mayerhofer · 2019-09-28 · via math.PR updates on arXiv.org

First, we give a closed-form formula for first passage time of a reflected Brownian motion with drift. This modifies a formula by Perry et al (2004). Second, we show that the maximum before a fixed drawdown is exponentially distributed for any drawdown threshold, if and only if the diffusion characteristic mu/sigma^2 is constant. This complements the sufficient condition formulated by Lehoczky (1977). Third, we give an alternative proof for the fact that the maximum at a fixed drawdown threshold is exponentially distributed for any spectrally negative Lévy process, a result due to Mijatovic and Pistorius (2012).

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