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The maximal drawdown of the Brownian meander

Abstract : 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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https://hal.archives-ouvertes.fr/hal-01301802
Contributor : Yueyun Hu <>
Submitted on : Wednesday, April 13, 2016 - 1:39:44 PM
Last modification on : Tuesday, May 5, 2020 - 1:03:21 PM
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Yueyun Hu, Zhan Shi, Marc Yor. The maximal drawdown of the Brownian meander. Electronic Communications in Probability, Institute of Mathematical Statistics (IMS), 2015, 20 (39), ⟨10.1214/ECP.v20-3945⟩. ⟨hal-01301802⟩

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