We give a proof of Lehoczky's drawdown formula for one-dimensional diffusion processes, using the Poisson structure of the excursions of the diffusion below its running maximum.
@article{arxiv.2209.04695,
title = {A Proof of Lehoczky's Theorem on Drawdowns},
author = {P. J. Fitzsimmons},
journal= {arXiv preprint arXiv:2209.04695},
year = {2022}
}