Generalized Ito formulae and space-time Lebesgue-Stieltjes integrals of local times

Generalised Ito formulae are proved for time dependent functions of continuous real valued semi-martingales.The conditions involve left space and time first derivatives, with the left space derivative required to have locally bounded 2-dimensional variation. In particular a class of functions with discontinuous first derivative is included. An estimate of Krylov allows further weakening of these conditions when the semi-martingale is a diffusion

Differentiation in logical form

We introduce a logical theory of differentiation for a real-valued function on a finite dimensional real Euclidean space. A real-valued continuous function is represented by a localic approximable mapping between two semi-strong proximity lattices, representing the two stably locally compact Euclidean spaces for the domain and the range of the function. Similarly, the Clarke subgradient, equivalently the L-derivative, of a locally Lipschitz map, which is non-empty, compact and convex valued, is represented by an approximable mapping. Approximable mappings of the latter type form a bounded complete domain isomorphic with the function space of Scott continuous functions of a real variable into the domain of non-empty compact and convex subsets of the finite dimensional Euclidean space partially ordered with reverse inclusion. Corresponding to the notion of a single-tie of a locally Lipschitz function, used to derive the domain-theoretic L-derivative of the function, we introduce the dual notion of a single-knot of approximable mappings which gives rise to Lipschitzian approximable mappings. We then develop the notion of a strong single-tie and that of a strong knot leading to a Stone duality result for locally Lipschitz maps and Lipschitzian approximable mappings. The strong single-knots, in which a Lipschitzian approximable mapping belongs, are employed to define the Lipschitzian derivative of the approximable mapping. The latter is dual to the Clarke subgradient of the corresponding locally Lipschitz map defined domain-theoretically using strong single-ties. A stricter notion of strong single-knots is subsequently developed which captures approximable mappings of continuously differentiable maps providing a gradient Stone duality for these maps. Finally, we derive a calculus for Lipschitzian derivative of approximable mapping for some basic constructors and show that it is dual to the calculus satisfied by the Clarke subgradient

Weak solutions for the dynamic equations xΔ(m)(t)=f(t;x(t))x^{\Delta(m)}(t) = f (t; x(t)) on time scales

In this paper we prove the existence of weak solutions of the dynamic Cauchy problem \begin{equation*} \begin{split} x^{(\Delta m)}(t)&=f(t,x(t)),\quad t\in T, \\ x(0)&=0, \\ x^\Delta (0)&=\eta _1 ,\dots,x^{(\Delta (m-1))}(0)=\eta _{m-1},\quad \eta _1 ,\dots,\eta _{m-1} \in E, \end{split} \end{equation*} where $x^{(\Delta m)}$ denotes a weak $m$-th order $\Delta$-derivative, $T$ denotes an unbounded time scale (nonempty closed subset of R such that there exists a sequence $(a_n )$ in $T$ and $a_n \to \infty )$, $E$ is a Banach space and $f$ is weakly -- weakly sequentially continuous and satisfies some conditions expressed in terms of measures of weak noncompactness. The Sadovskii fixed point theorem and Ambrosetti's lemma are used to prove the main result. As dynamic equations are a unification of differential and difference equations our result is also valid for differential and difference equations. The results presented in this paper are new not only for Banach valued functions but also for real valued functions

Integrals and Banach spaces for finite order distributions

summary:Let $\mathcal B_c$ denote the real-valued functions continuous on the extended real line and vanishing at $-\infty$. Let $\mathcal B_r$ denote the functions that are left continuous, have a right limit at each point and vanish at $-\infty$. Define $\mathcal A^n_c$ to be the space of tempered distributions that are the $n$th distributional derivative of a unique function in $\mathcal B_c$. Similarly with $\mathcal A^n_r$ from $\mathcal B_r$. A type of integral is defined on distributions in $\mathcal A^n_c$ and $\mathcal A^n_r$. The multipliers are iterated integrals of functions of bounded variation. For each $n\in \mathbb N$, the spaces $\mathcal A^n_c$ and $\mathcal A^n_r$ are Banach spaces, Banach lattices and Banach algebras isometrically isomorphic to $\mathcal B_c$ and $\mathcal B_r$, respectively. Under the ordering in this lattice, if a distribution is integrable then its absolute value is integrable. The dual space is isometrically isomorphic to the functions of bounded variation. The space $\mathcal A_c^1$ is the completion of the $L^1$ functions in the Alexiewicz norm. The space $\mathcal A_r^1$ contains all finite signed Borel measures. Many of the usual properties of integrals hold: Hölder inequality, second mean value theorem, continuity in norm, linear change of variables, a convergence theorem

Differentiable Functions on Normed Linear Spaces

In this article, we formalize differentiability of functions on normed linear spaces. Partial derivative, mean value theorem for vector-valued functions, continuous differentiability, etc. are formalized. As it is well known, there is no exact analog of the mean value theorem for vector-valued functions. However a certain type of generalization of the mean value theorem for vector-valued functions is obtained as follows: If ||ƒ'(x + t · h)|| is bounded for t between 0 and 1 by some constant M, then ||ƒ(x + t · h) - ƒ(x)|| ≤ M · ||h||. This theorem is called the mean value theorem for vector-valued functions. By this theorem, the relation between the (total) derivative and the partial derivatives of a function is derived [23].Shinshu University, Nagano, JapanGrzegorz Bancerek. Cardinal numbers. Formalized Mathematics, 1(2):377-382, 1990.Grzegorz Bancerek. The fundamental properties of natural numbers. Formalized Mathematics, 1(1):41-46, 1990.Grzegorz Bancerek. König's theorem. Formalized Mathematics, 1(3):589-593, 1990.Grzegorz Bancerek. The ordinal numbers. Formalized Mathematics, 1(1):91-96, 1990.Grzegorz Bancerek and Krzysztof Hryniewiecki. Segments of natural numbers and finite sequences. Formalized Mathematics, 1(1):107-114, 1990.Grzegorz Bancerek and Andrzej Trybulec. Miscellaneous facts about functions. Formalized Mathematics, 5(4):485-492, 1996.Czesław Byliński. The complex numbers. Formalized Mathematics, 1(3):507-513, 1990.Czesław Byliński. Finite sequences and tuples of elements of a non-empty sets. Formalized Mathematics, 1(3):529-536, 1990.Czesław Byliński. Functions and their basic properties. Formalized Mathematics, 1(1):55-65, 1990.Czesław Byliński. Functions from a set to a set. Formalized Mathematics, 1(1):153-164, 1990.Czesław Byliński. The modification of a function by a function and the iteration of the composition of a function. Formalized Mathematics, 1(3):521-527, 1990.Czesław Byliński. Partial functions. Formalized Mathematics, 1(2):357-367, 1990.Czesław Byliński. Introduction to real linear topological spaces. Formalized Mathematics, 13(1):99-107, 2005.Agata Darmochwał. The Euclidean space. Formalized Mathematics, 2(4):599-603, 1991.Noboru Endou, Yasunari Shidama, and Keiichi Miyajima. The product space of real normed spaces and its properties. Formalized Mathematics, 15(3):81-85, 2007, doi:10.2478/v10037-007-0010-y.Hiroshi Imura, Morishige Kimura, and Yasunari Shidama. The differentiable functions on normed linear spaces. Formalized Mathematics, 12(3):321-327, 2004.Jarosław Kotowicz. Real sequences and basic operations on them. Formalized Mathematics, 1(2):269-272, 1990.Anna Lango and Grzegorz Bancerek. Product of families of groups and vector spaces. Formalized Mathematics, 3(2):235-240, 1992.Hiroyuki Okazaki, Noboru Endou, Keiko Narita, and Yasunari Shidama. Differentiable functions into real normed spaces. Formalized Mathematics, 19(2):69-72, 2011, doi: 10.2478/v10037-011-0012-7.Beata Padlewska and Agata Darmochwał. Topological spaces and continuous functions. Formalized Mathematics, 1(1):223-230, 1990.Jan Popiołek. Real normed space. Formalized Mathematics, 2(1):111-115, 1991.Konrad Raczkowski and Paweł Sadowski. Real function differentiability. Formalized Mathematics, 1(4):797-801, 1990.Laurent Schwartz. Cours d'analyse, vol. 1. Hermann Paris, 1967.Yasunari Shidama. Banach space of bounded linear operators. Formalized Mathematics, 12(1):39-48, 2004.Andrzej Trybulec. Binary operations applied to functions. Formalized Mathematics, 1(2):329-334, 1990.Andrzej Trybulec. On the sets inhabited by numbers. Formalized Mathematics, 11(4):341-347, 2003.Wojciech A. Trybulec. Vectors in real linear space. Formalized Mathematics, 1(2):291-296, 1990.Zinaida Trybulec. Properties of subsets. Formalized Mathematics, 1(1):67-71, 1990.Edmund Woronowicz. Relations and their basic properties. Formalized Mathematics, 1(1):73-83, 1990.Edmund Woronowicz. Relations defined on sets. Formalized Mathematics, 1(1):181-186, 1990.Hiroshi Yamazaki and Yasunari Shidama. Algebra of vector functions. Formalized Mathematics, 3(2):171-175, 1992

Smooth approximation of Lipschitz maps and their subgradients

We derive new representations for the generalised Jacobian of a locally Lipschitz map between finite dimensional real Euclidean spaces as the lower limit (i.e., limit inferior) of the classical derivative of the map where it exists. The new representations lead to significantly shorter proofs for the basic properties of the subgradient and the generalised Jacobian including the chain rule. We establish that a sequence of locally Lipschitz maps between finite dimensional Euclidean spaces converges to a given locally Lipschitz map in the L-topology—that is, the weakest refinement of the sup norm topology on the space of locally Lipschitz maps that makes the generalised Jacobian a continuous functional—if and only if the limit superior of the sequence of directional derivatives of the maps in a given vector direction coincides with the generalised directional derivative of the given map in that direction, with the convergence to the limit superior being uniform for all unit vectors. We then prove our main result that the subspace of Lipschitz C∞ maps between finite dimensional Euclidean spaces is dense in the space of Lipschitz maps equipped with the L-topology, and, for a given Lipschitz map, we explicitly construct a sequence of Lipschitz C∞ maps converging to it in the L-topology, allowing global smooth approximation of a Lipschitz map and its differential properties. As an application, we obtain a short proof of the extension of Green’s theorem to interval-valued vector fields. For infinite dimensions, we show that the subgradient of a Lipschitz map on a Banach space is upper continuous, and, for a given real-valued Lipschitz map on a separable Banach space, we construct a sequence of Gateaux differentiable functions that converges to the map in the sup norm topology such that the limit superior of the directional derivatives in any direction coincides with the generalised directional derivative of the Lipschitz map in that direction

A derivative for complex Lipschitz maps with generalised Cauchy–Riemann equations

AbstractWe introduce the Lipschitz derivative or the L-derivative of a locally Lipschitz complex map: it is a Scott continuous, compact and convex set-valued map that extends the classical derivative to the bigger class of locally Lipschitz maps and allows an extension of the fundamental theorem of calculus and a new generalisation of Cauchy–Riemann equations to these maps, which form a continuous Scott domain. We show that a complex Lipschitz map is analytic in an open set if and only if its L-derivative is a singleton at all points in the open set. The calculus of the L-derivative for sum, product and composition of maps is derived. The notion of contour integration is extended to Scott continuous, non-empty compact, convex valued functions on the complex plane, and by using the L-derivative, the fundamental theorem of contour integration is extended to these functions