Every surviving finite-horizon reflected reward is dominated by the killed record series
ProvedAvramDividend.Classical.runningSup_surviving_finite_horizon_killedRecord_budgetOn every finite horizon strictly before the killing time, the discounted Stieltjes reward of the running supremum is bounded by the entire killed first-record discounted-payment series. Split into no record (proved zero stopped integral) and an attained last record (proved finite-horizon killed-series comparison). This removes the last-record index assumption from the pathwise stochastic renewal upper-bound argument.
Preamble
import Mathlib.Data.ENNReal.Basic import Mathlib.Analysis.Complex.Exponential import Mathlib.MeasureTheory.Integral.Lebesgue.Basic import Theorems.Thm_AvramDividend_Classical_record_grid_last_survived_before_finite_horizon import Theorems.Thm_AvramDividend_Classical_stopped_lintegral_zero_through_extended_first_record import Theorems.Thm_AvramDividend_Classical_runningSup_finite_horizon_killedRecord_budget open AvramDividend.Classical MeasureTheory Set open scoped NNReal ENNReal BigOperators
Formal statement
theorem AvramDividend.Classical.runningSup_surviving_finite_horizon_killedRecord_budget
{Ω : Type*} [mΩ : MeasurableSpace Ω] {P : Measure Ω}
{𝓕 : Filtration ℝ≥0 mΩ}
(X : SpectrallyNegativeLevy P 𝓕) (ω : Ω)
(τ : ℝ≥0∞) (q h : ℝ) (hq : 0 ≤ q) (hh : 0 < h)
(t : ℝ≥0) (htτ : (t : ℝ≥0∞) < τ) :
(∫⁻ r in paymentTimes τ,
if r ∈ Set.Ioc (0 : ℝ) (t : ℝ)
then ENNReal.ofReal (Real.exp (-(q * r))) else 0
∂(dividendMeasure (runningSup X) ω)) ≤
(∑' k : ℕ,
if (⨅ (r : ℝ≥0) (_ : (0 : ℝ) + (k : ℝ) * h < X.X r ω), (r : ℝ≥0∞)) < τ then
ENNReal.ofReal
(h * Real.exp (-(q * ((⨅ (r : ℝ≥0) (_ : (0 : ℝ) + (k : ℝ) * h < X.X r ω), (r : ℝ≥0∞))).toReal)))
else 0) := by sorrySource
By record_grid_last_survived_before_finite_horizon, case split; apply stopped_lintegral_zero_through_extended_first_record or runningSup_finite_horizon_killedRecord_budget.