Variance bound for downcrossings in feasible martingale processes
Variance bound for downcrossings in feasible martingale processes
Let denote the number of downcrossings of the interval in a -feasible process, where . The process is -feasible in the sense used in the paper, with all component martingales initially at zero.
Downcrossing variance conjecture. For any -feasible process,
The bound is suggested by the preceding construction, in which has a geometric distribution with parameter ; 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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Primary source
David Aldous and Mykhaylo Shkolnikov, “Fluctuations of Martingales and Winning Probabilities of Game Contestants”, arXiv:1211.2045 (2012).
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