Every finite pre-ruin horizon is bounded by the genuine killed first-record grid sum
ProvedAvramDividend.Classical.stopped_finite_horizon_reward_le_killed_record_tsumavram-dividendfinite-horizonkilled-record-gridpathwise-upperstopped-renewal
For every finite observation horizon strictly before the stopping time, the discounted stopped reflected supremum Stieltjes reward over (0,t] is bounded by the full killed and discounted strict upward record sum. The proof divides the finite record grid into no-positive-record and last-record-attained cases, applying two separately verified bounds.
Preamble
import Mathlib.MeasureTheory.Integral.Lebesgue.Basic import Mathlib.Analysis.Complex.Exponential 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 import Theorems.Thm_AvramDividend_Classical_chat08_named_upper_clock_eq_raw_infimum open AvramDividend.Classical MeasureTheory Set open scoped NNReal ENNReal Classical
Formal statement
theorem AvramDividend.Classical.stopped_finite_horizon_reward_le_killed_record_tsum
{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 twoSidedExitUpTime X ((k : ℝ) * h) ω < τ then
ENNReal.ofReal
(h * Real.exp (-(q *
(twoSidedExitUpTime X ((k : ℝ) * h) ω).toReal)))
else 0) := by sorrySource
Finite-horizon record clock dichotomy, stopped zero-reward through the first record, and the attained horizon killed-grid inequality.