Three Essays on Stopping
2019
First, we give a closed-form formula for first passage time of a reflected Brownian motion with drift. This corrects a formula by Perry et al. (2004). Second, we show that the maximum before a fixed drawdown is exponentially distributed for any drawdown, if and only if the diffusion characteristic μ / σ 2 is constant. This complements the sufficient condition formulated by Lehoczky (1977). Third, we give an alternative proof for the fact that the maximum before a fixed drawdown is exponentially distributed for any spectrally negative Levy process, a result due to Mijatovic and Pistorius (2012). Our proof is similar, but simpler than Lehoczky (1977) or Landriault et al. (2017).
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