Variance bound for downcrossings in feasible martingale processes

From papers

Let DabD_{ab} denote the number of downcrossings of the interval [a,b][a,b] in a 0\boldsymbol{0}-feasible process, where 0<a<b<10<a<b<1. The process is 0\boldsymbol{0}-feasible in the sense used in the paper, with all component martingales initially at zero.

Downcrossing variance conjecture. For any 0\boldsymbol{0}-feasible process,

var(Dab)(1bba)2+1bba.\operatorname{var}(D_{ab})\leq \left(\frac{1-b}{b-a}\right)^2+\frac{1-b}{b-a}.

The bound is suggested by the preceding construction, in which Dab+1D_{ab}+1 has a geometric distribution with parameter (ba)/(1a)(b-a)/(1-a); its variance is the displayed expression. The source presents the inequality as a natural guess, and no resolution is given here.

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Sources & referencesView supporting material

Primary source

David Aldous and Mykhaylo Shkolnikov, “Fluctuations of Martingales and Winning Probabilities of Game Contestants”, arXiv:1211.2045 (2012).

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