BEGIN:VCALENDAR
VERSION:2.0
PRODID:-//talks.cam.ac.uk//v3//EN
BEGIN:VTIMEZONE
TZID:Europe/London
BEGIN:DAYLIGHT
TZOFFSETFROM:+0000
TZOFFSETTO:+0100
TZNAME:BST
DTSTART:19700329T010000
RRULE:FREQ=YEARLY;BYMONTH=3;BYDAY=-1SU
END:DAYLIGHT
BEGIN:STANDARD
TZOFFSETFROM:+0100
TZOFFSETTO:+0000
TZNAME:GMT
DTSTART:19701025T020000
RRULE:FREQ=YEARLY;BYMONTH=10;BYDAY=-1SU
END:STANDARD
END:VTIMEZONE
BEGIN:VEVENT
CATEGORIES:Optimization and Incentives Seminar
SUMMARY:Martingale calculus and a maximal inequality for s
upermartingales - Hajek\, B (Illinois)
DTSTART;TZID=Europe/London:20100315T150000
DTEND;TZID=Europe/London:20100315T170000
UID:TALK23794AThttp://talks.cam.ac.uk
URL:http://talks.cam.ac.uk/talk/index/23794
DESCRIPTION:In the first hour of this two-part presentation\,
the calculus of semimartingales\, which includes m
artingales with both continuous and discrete compo
tents\, will be reviewed. In the second hour of th
e presentation\, a tight upper bound is given invo
lving the maximum of a supermartingale. Specifical
ly\, it is shown that if Y is a semimartingale wit
h initial value zero and quadratic variation proce
ss [Y\, Y] such that Y + [Y\, Y] is a supermarting
ale\, then the probability the maximum of Y is gre
ater than or equal to a positive constant is less
than or equal to 1/(1+a). The proof uses the semim
artingale calculus and is inspired by dynamic prog
ramming. If Y has stationery independent increment
s\, the bounds of JFC Kingman apply to this situat
ion. Complements and extensions will also be given
.\n
LOCATION:MR4\, CMS\, Wilberforce Road\, Cambridge\, CB3 0WB
CONTACT:Neil Walton
END:VEVENT
END:VCALENDAR