********************************************************************* SEMINARI DI PROBABILITA' E STATISTICA MATEMATICA DIPARTIMENTO DI MATEMATICA "G. PEANO" UNIVERSITA' DEGLI STUDI DI TORINO *********************************************************************
Lunedì 14 Dicembre 2015 alle ore 15:00 in Aula C presso il Dipartimento di Matematica "G. Peano" dell'Università degli Studi di Torino, Via Carlo Alberto 10,
Il Prof. Isaac Meilijson (Department of Statistics and Operations Research · School of Mathematical Sciences; Tel Aviv University) terrà un seminario dal titolo
How variable can a martingale with a given final variance be?
Abstract: The ratio between the expected diameter (maximum-minimum) of an L2-bounded martingale and the standard deviation of its last term cannot exceed √3 (Dubins, Gilat & Meilijson). This extends the Dubins & Schwarz respective bounds 1 and √2 for the ratios between the expected maximum and maximal absolute value of the martingale and the standard deviation of its last term. All three will be reviewed in a unified way, by showing that these problems can be reduced to finding some optimal stopping times in Brownian Motion.
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Cristina Zucca