Maximum Variation of Total Risk

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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).
8 pages

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Probability

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http://salesiana.dossiersoluciones.com/handle/123456789/70733

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/math/0404084
 http://arxiv.org/abs/math/0404084
 Stat. Prob. Letters, 28, pages 285 - 289 (1996)

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arXiv