Standing-scale stopped renewal upper bound from actual killed first-record estimates
ProvedAvramDividend.Classical.barrierSupValue_stopped_renewal_upper_of_eventual_killed_record_stepactual-record-gridavram-dividendbarrier-valueconditional-stochastic-bridgestopped-renewal
Under the exact Standing, positive discount, scale-function and derivative assumptions of the original stopped-renewal upper-bound theorem, eventual pathwise domination by the actual killed discounted first-record grid weights and an eventual one-step expected-weight recurrence imply the original eventually valid upper finite-difference quotient. Positivity and strict increment are entirely discharged by existing Proved scale-function and calculus theorems.
Preamble
import Mathlib.Topology.Order.OrderClosed import Theorems.Thm_AvramDividend_Classical_scaleFunction_monotone import Theorems.Thm_AvramDividend_Classical_scaleFunction_strict_pos_of_standing import Theorems.Thm_AvramDividend_Classical_monotone_nonzero_derivative_eventually_right_increment import Theorems.Thm_AvramDividend_Classical_barrierSupValue_le_right_scale_quotient_of_killed_grid_step open AvramDividend.Classical MeasureTheory Filter Set open scoped NNReal ENNReal Topology Classical
Formal statement
theorem AvramDividend.Classical.barrierSupValue_stopped_renewal_upper_of_eventual_killed_record_step
{Ω : Type*} [mΩ : MeasurableSpace Ω] {P : Measure Ω}
{𝓕 : Filtration ℝ≥0 mΩ}
(X : SpectrallyNegativeLevy P 𝓕) (hX : X.Standing)
(q : ℝ) (hq : 0 < q) (W : ℝ → ℝ)
(hW : IsScaleFunction X q W) (a : ℝ) (ha : 0 < a)
(hD : HasDerivAt W (deriv W a) a) (hd : deriv W a ≠ 0)
(w : ℝ → ℕ → Ω → ℝ≥0∞)
(hw : ∀ᶠ ε in 𝓝[>] (0 : ℝ), ∀ n ω, w ε n ω =
if twoSidedExitUpTime X ((n : ℝ) * ε) ω <
barrierRuinTime X a ω then
ENNReal.ofReal
(ε * Real.exp (-(q * (twoSidedExitUpTime X ((n : ℝ) * ε) ω).toReal)))
else 0)
(hbudget : ∀ᶠ ε in 𝓝[>] (0 : ℝ), ∀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 ε n ω))
(hstep : ∀ᶠ ε in 𝓝[>] (0 : ℝ), ∀ n,
(∫⁻ ω, w ε (n + 1) ω ∂P) ≤
ENNReal.ofReal (W a / W (a + ε)) *
(∫⁻ ω, w ε n ω ∂P)) :
∀ᶠ ε in 𝓝[>] (0 : ℝ),
barrierSupValue X a q ≤
ENNReal.ofReal (ε * W (a + ε) / (W (a + ε) - W a)) := by sorrySource
Direct root-connected bridge for AvramDividend.Classical.barrierSupValue_stopped_renewal_upper_bound, based on Proved scaleFunction_monotone, scaleFunction_strict_pos_of_standing, monotone_nonzero_derivative_eventually_right_increment, and barrierSupValue_le_right_scale_quotient_of_killed_grid_step. Remaining assumptions are exactly the stopped pathwise cover and killed first-record expectation renewal inequality.