Maximum Variation of Total Risk
Probability
2007-05-23 v1
Authors:
Robin Pemantle
Abstract
Let Z>0 be a random time. The total risk of discovering Z in the next time interval (t,t+dt) is never more variable than an exponential of mean one, which is achieved when the information up to time t is sigma(Z wedge t).
Cite
@article{arxiv.math/0404084,
title = {Maximum Variation of Total Risk},
author = {Robin Pemantle},
journal= {arXiv preprint arXiv:math/0404084},
year = {2007}
}
Comments
8 pages
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