The maximal drawdown of the Brownian meander

• Published in: Electronic communications in probability Vol. 20; no. none
• Main Authors: Hu, Yueyun, Shi, Zhan, Yor, Marc
• Format: Journal Article
• Language: English
• Published: Institute of Mathematical Statistics (IMS) 2015
• Subjects: Mathematics; Probability; maximal drawdown 2010 Mathematics Subject Classification 60J65; Brownian meander; Bessel process

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.