The maximal drawdown of the Brownian meander

Motivated by evaluating the limiting distribution of randomly biased random walks on trees, we compute the exact value of a negative moment of the maximal drawdown of the standard Brownian meander.

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Bibliographic Details
Published inElectronic communications in probability Vol. 20; no. none
Main Authors Hu, Yueyun, Shi, Zhan, Yor, Marc
Format Journal Article
LanguageEnglish
Published Institute of Mathematical Statistics (IMS) 2015
Subjects
Mathematics
Probability
maximal drawdown 2010 Mathematics Subject Classification 60J65
Brownian meander
Bessel process
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Summary:Motivated by evaluating the limiting distribution of randomly biased random walks on trees, we compute the exact value of a negative moment of the maximal drawdown of the standard Brownian meander.
ISSN:1083-589X
1083-589X
DOI:10.1214/ECP.v20-3945