Occupation Times, Drawdowns, and Drawups for One-Dimensional Regular Diffusions
Occupation Times, Drawdowns, and Drawups for One-Dimensional Regular Diffusions
The drawdown process of an one-dimensional regular diffusion process $X$ is given by $X$ reflected at its running maximum. The drawup process is given by $X$ reflected at its running minimum. We calculate the probability that a drawdown proceeds a drawup in an exponential time-horizon. We then study the law …