Normalize the actual BV strict-survival expected deficit mesh estimate using the exact Laplace exponent
ProvedAvramDividend.Classical.bv_survival_mesh_bound_normalized_exponentavram-classicalexpected-survivalfinite-meshlaplace-exponentzero-barrier
For an actual bounded-variation spectrally negative Levy process, a uniform deterministic time mesh whose endpoints match the original capital deficit yields an exact upper bound on expected deficit restricted to strict zero-barrier survival. Use the proved genuine expected-survival finite mesh inequality, identify the negative jump exponential integral with drift*theta minus psi(theta), and normalise the drift-per-cell prefactor to a fixed constant.
Preamble
import Theorems.Thm_AvramDividend_Classical_bv_strict_survival_expected_deficit_uniform_mesh_bound import Theorems.Thm_AvramDividend_Classical_bv_exponent_negative_jump_deficit_exact import Mathlib.MeasureTheory.Integral.Bochner.Basic open AvramDividend.Classical MeasureTheory Set Finset open scoped NNReal ENNReal BigOperators
Formal statement
theorem AvramDividend.Classical.bv_survival_mesh_bound_normalized_exponent
{Ω : Type*} [mΩ : MeasurableSpace Ω] {P : Measure Ω}
{𝓕 : Filtration ℝ≥0 mΩ}
(X : SpectrallyNegativeLevy P 𝓕) (hBV : X.BoundedVariation)
(T : ℝ≥0) (N : ℕ) (ts : ℕ → ℝ≥0) (δ : ℝ≥0)
(D : ℕ → Ω → ℝ)
(hD : ∀ k ω, D k ω =
X.drift * (ts k : ℝ) - X.X (ts k) ω)
(hEnd : ∀ ω, D N ω - D 0 ω =
(T : ℝ) * X.drift - X.X T ω)
(hOrder : ∀ k : ℕ, k < N → ts k ≤ ts (k + 1))
(hWithin : ∀ k : ℕ, k < N → ts (k + 1) ≤ T)
(hStep : ∀ k : ℕ, k < N → ts (k + 1) - ts k = δ)
(hStepReal : ∀ k : ℕ, k < N →
(ts (k + 1) : ℝ) - (ts k : ℝ) = (δ : ℝ))
(a C : ℝ) (ha : 0 < a)
(haEq : a = X.drift * (δ : ℝ))
(hPref : 4 * a * (N : ℝ) = C)
(hθ : 1 ≤ (1 / (2 * a) : ℝ))
(hLeft : Integrable
({ω : Ω | (T : ℝ≥0∞) < barrierRuinTime X 0 ω}.indicator
(fun ω => D N ω - D 0 ω)) P)
(hRight : Integrable
(fun ω => 4 * a * ∑ k ∈ Finset.range N,
(1 - Real.exp (-((D (k + 1) ω - D k ω) / (2 * a))))) P)
(hCellInt : ∀ k : ℕ, k < N →
Integrable
(fun ω => (1 : ℝ) -
Real.exp (-(1 / (2 * a)) *
(D (k + 1) ω - D k ω))) P) :
(∫ ω, {ω : Ω | (T : ℝ≥0∞) < barrierRuinTime X 0 ω}.indicator
(fun ω => (T : ℝ) * X.drift - X.X T ω) ω ∂P) ≤
C * (1 - Real.exp (-((δ : ℝ) *
(X.drift * (1 / (2 * a)) - X.ψ (1 / (2 * a)))))) := by sorrySource
Proved bv_strict_survival_expected_deficit_uniform_mesh_bound and bv_exponent_negative_jump_deficit_exact.