Maximum Variation of Total Risk

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dc.creatorPemantle, Robin
dc.date2004-04-05
dc.date.accessioned2026-07-07T05:07:07Z
dc.date.available2026-07-07T05:07:07Z
dc.descriptionLet 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).
dc.description8 pages
dc.identifierhttps://arxiv.org/abs/math/0404084
dc.identifierhttp://arxiv.org/abs/math/0404084
dc.identifierStat. Prob. Letters, 28, pages 285 - 289 (1996)
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/70733
dc.subjectProbability
dc.titleMaximum Variation of Total Risk
dc.typetext

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