Timeline for Martingale Approach for upper bound on time until n deaths
Current License: CC BY-SA 3.0
4 events
| when toggle format | what | by | license | comment | |
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| Aug 24, 2017 at 6:56 | comment | added | N. Gast | I am not sure if a Martingale approach can be used here but I would be interested to know : I came across a similar problem in moais.imag.fr/membres/marc.tchiboukdjian/pub/isaac10.pdf and wanted to use a Martingale approach but it did not work and we add to use a more ad-hoc method. | |
| Aug 24, 2017 at 4:49 | comment | added | AustinC | Ah I realize the notation is confusing, sorry. The martingale is in $t$, the filtration is $\sigma(Y_{t-1},\dots,Y_0)$ where $Y_0 = n$ (equivalently $\sigma(M_{t-1},\dots,M_0))$. $n$ is a parameter. In words, $n$ is the number of people alive initially, at each ``round'' $t=1,2,\dots$ each person can die with probability $p$. $Y_t$ is the number of people alive at round $t$. | |
| Aug 23, 2017 at 16:59 | comment | added | Synia | Your notation seems to imply that you have a martingale in $t$ and not in $n$. What is the filtration then ? Is the time $n$ or $t$ ? | |
| Aug 23, 2017 at 1:47 | history | asked | AustinC | CC BY-SA 3.0 |