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Maximum Variation of Total Risk

Robin Pemantle
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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).

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Robin Pemantle. 2004-04-05. Maximum Variation of Total Risk. https://arxiv.org/abs/math/0404084

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