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The maximal drawdown of the Brownian meander

Authors
  • Hu, Yueyun
  • Shi, Zhan
  • Yor, Marc
Publication Date
Feb 12, 2015
Source
HAL-ENAC
Keywords
Language
English
License
Unknown
External links

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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