The maximal drawdown of the Brownian meander
arXiv:1604.04765 · doi:10.1214/ECP.v20-3945
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.
The exact distribution of the maximal drawdown of the Brownian meander has recently been determined in apaper in preparation by Jim Pitman