Gaussian zero-jump cutoff supplies all model and analytical premises of the canonical unbounded-variation verification core
ProvedAvramDividend.Classical.gaussian_cutoff_canonical_analytic_hypothesescounterexample-audithjbstochastic-verificationunbounded-variation
For a canonical spectrally negative Lévy process with strictly positive Gaussian coefficient, zero Lévy jump measure, drift coefficient −1 and integrable X1, the zero-extended affine candidate meets all model, smoothness, generator and gradient hypotheses of the canonical unbounded-variation stochastic verification core at q=1, for any capital cap. The remaining assumptions concern the chosen dividend strategy and ruin-time reward.
Preamble
import Mathlib.Analysis.Calculus.ContDiff.Operations import Mathlib.MeasureTheory.Integral.Bochner.Basic import Mathlib.Tactic import Definitions.Def_AvramDividend_Classical_SpectrallyNegativeLevy import Theorems.Thm_AvramDividend_Classical_affine_cutoff_continuous_nonnegative_smooth_positive import Theorems.Thm_AvramDividend_Classical_affine_cutoff_contDiffOn_positive_below_cap import Theorems.Thm_AvramDividend_Classical_zero_jump_affine_cutoff_HJB_drift_neg_one import Theorems.Thm_AvramDividend_Classical_positive_gaussian_standing_and_unbounded_variation open MeasureTheory Set open scoped NNReal ENNReal open AvramDividend.Classical
Formal statement
theorem AvramDividend.Classical.gaussian_cutoff_canonical_analytic_hypotheses
{Ω : Type*} [mΩ : MeasurableSpace Ω] {P : Measure Ω}
{𝓕 : Filtration ℝ≥0 mΩ}
(X : SpectrallyNegativeLevy P 𝓕) (hσ : 0 < X.σ)
(hI : Integrable (X.X 1) P) (hν : X.ν = 0) (hc : X.c = -1)
(C : ℝ≥0∞) :
X.Standing ∧ ¬ X.BoundedVariation ∧
ContinuousOn (fun z : ℝ => if z < 0 then 0 else z - 1) (Ici (0 : ℝ)) ∧
(∀ y : ℝ, y < 0 → (fun z : ℝ => if z < 0 then 0 else z - 1) y = 0) ∧
ContDiffOn ℝ 2 (fun z : ℝ => if z < 0 then 0 else z - 1) {y : ℝ | 0 < y ∧ ENNReal.ofReal y < C} ∧
(∀ y : ℝ, 0 < y → ENNReal.ofReal y < C →
X.GeneratorIntegrable (fun z : ℝ => if z < 0 then 0 else z - 1) y ∧
X.generator (fun z : ℝ => if z < 0 then 0 else z - 1) y - (1 : ℝ) * (fun z : ℝ => if z < 0 then 0 else z - 1) y ≤ 0) ∧
(∀ y : ℝ, 0 < y → ENNReal.ofReal y < C →
1 ≤ deriv (fun z : ℝ => if z < 0 then 0 else z - 1) y) := by sorrySource
Avram, Palmowski and Pistorius (2007), Proposition 4(i) and exact Prove2Me canonical UBV core; preceding verified Gaussian-cutoff lemmas.