The Behavior of the Expected Drawdown

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The "Q()" functions described in our paper (pdf) can be downloaded in text format from here.

• Qp
• Qn

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For citation purposes:

Malik Magdon-Ismail, Amir F. Atiya, Amrit Pratap, and Yaser S. Abu-Mostafa "On the Maximum Drawdown of a Brownian Motion", Journal of Applied Probability, Volume 41, Number 3, March, 2004.
postscript pdf)