Maximum variation of total risk

Robin Pemantle

Statistics & Probability Letters, 1996, vol. 28, issue 3, 285-289

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 [logical and] t).

Date: 1996
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