Maximum Variation of Total Risk

Details Maximum Variation of Total Risk Maximum Variation of Total Risk

2004-04-05

arxiv.org/abs/math/0404084v1

Stat. Prob. Letters, 28, pages 285 - 289 (1996)

Mathematics

Probability

8 pages

Scientific paper

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).

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