The maximal drawdown of the Brownian meander
Yueyun Hu (LAGA), Zhan Shi (LPMA), Marc Yor (LPMA)
TL;DR
This paper calculates the exact negative moment of the maximal drawdown of the standard Brownian meander, providing insights relevant to biased random walks on trees.
Contribution
It offers a precise computation of a negative moment for the maximal drawdown of the Brownian meander, advancing understanding in stochastic process analysis.
Findings
Exact value of the negative moment of the maximal drawdown
Insights into biased random walks on trees
Enhanced understanding of Brownian meander properties
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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