Actual killed first-record step estimates imply the right scale quotient upper bound
ProvedAvramDividend.Classical.barrierSupValue_le_right_scale_quotient_of_killed_grid_stepavram-dividendbarrier-valuationconditional-upperfirst-recordstopped-renewal
For the actual killed discounted first-record grid weights of a spectrally negative Lévy process, a pathwise upper cover of the stopped Stieltjes dividend reward and a one-step bound on expected record payments with ratio W(a)/W(a+epsilon) imply the exact upper finite-difference quotient for the barrier value. Measurability and geometric iteration follow from proved theorems; only the pathwise cover and stochastic one-step renewal estimate remain explicit.
Preamble
import Mathlib.MeasureTheory.Integral.Lebesgue.Basic import Definitions.Def_AvramDividend_Classical_ReflectionBarrier import Theorems.Thm_AvramDividend_Classical_chat08_record_grid_stopped_weights_aemeasurable import Theorems.Thm_AvramDividend_Classical_killed_firstRecord_grid_geometric_expected_upper_of_step import Theorems.Thm_AvramDividend_Classical_barrierSupValue_le_right_scale_quotient_of_record_budgets open MeasureTheory Set open scoped NNReal ENNReal Classical open AvramDividend.Classical
Formal statement
theorem AvramDividend.Classical.barrierSupValue_le_right_scale_quotient_of_killed_grid_step
{Ω : Type*} [mΩ : MeasurableSpace Ω] {P : Measure Ω}
{𝓕 : Filtration ℝ≥0 mΩ}
(X : SpectrallyNegativeLevy P 𝓕)
(W : ℝ → ℝ) (a b q ε : ℝ)
(hq : 0 ≤ q) (hε : 0 < ε)
(hWright : 0 < W (a + ε)) (hWa : 0 ≤ W a)
(hWinc : W a < W (a + ε))
(w : ℕ → Ω → ℝ≥0∞)
(hw : ∀ n ω, w n ω =
if twoSidedExitUpTime X (b + (n : ℝ) * ε) ω <
barrierRuinTime X a ω then
ENNReal.ofReal
(ε * Real.exp (-(q * (twoSidedExitUpTime X (b + (n : ℝ) * ε) ω).toReal)))
else 0)
(hbudget : ∀ᵐ ω ∂P,
(∫⁻ t,
if t ∈ paymentTimes (barrierRuinTime X a ω)
then ENNReal.ofReal (Real.exp (-(q * t))) else 0
∂(dividendMeasure (runningSup X) ω)) ≤ (∑' n, w n ω))
(hstep : ∀ n,
(∫⁻ ω, w (n + 1) ω ∂P) ≤
ENNReal.ofReal (W a / W (a + ε)) *
(∫⁻ ω, w n ω ∂P)) :
barrierSupValue X a q ≤
ENNReal.ofReal (ε * W (a + ε) / (W (a + ε) - W a)) := by sorrySource
Root-connected reduction for AvramDividend.Classical.barrierSupValue_stopped_renewal_upper_bound c6c3b1d0-2c2f-41ce-a5a0-2771efcc3a69, importing the proved actual-grid AEMeasurable theorem, geometric expectation recurrence helper, and right scale quotient valuation theorem.