Open Access
2015 The maximal drawdown of the Brownian meander
Yueyun Hu, Zhan Shi, Marc Yor
Author Affiliations +
Electron. Commun. Probab. 20: 1-6 (2015). DOI: 10.1214/ECP.v20-3945


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.


Download Citation

Yueyun Hu. Zhan Shi. Marc Yor. "The maximal drawdown of the Brownian meander." Electron. Commun. Probab. 20 1 - 6, 2015.


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

zbMATH: 1325.60134
MathSciNet: MR3352334
Digital Object Identifier: 10.1214/ECP.v20-3945

Primary: 60J65

Keywords: Bessel process , Brownian meander , maximal drawdown

Back to Top