Electronic Communications in Probability

The maximal drawdown of the Brownian meander

Yueyun Hu, Zhan Shi, and Marc Yor

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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.

Article information

Electron. Commun. Probab., Volume 20 (2015), paper no. 39, 6 pp.

Accepted: 20 May 2015
First available in Project Euclid: 7 June 2016

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Mathematical Reviews number (MathSciNet)

Zentralblatt MATH identifier

Primary: 60J65: Brownian motion [See also 58J65]

Brownian meander Bessel process maximal drawdown

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Hu, Yueyun; Shi, Zhan; Yor, Marc. The maximal drawdown of the Brownian meander. Electron. Commun. Probab. 20 (2015), paper no. 39, 6 pp. doi:10.1214/ECP.v20-3945. https://projecteuclid.org/euclid.ecp/1465320966

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