248,093 research outputs found
Realizing Continuity Using Stateful Computations
The principle of continuity is a seminal property that holds for a number of intuitionistic theories such as System T. Roughly speaking, it states that functions on real numbers only need approximations of these numbers to compute. Generally, continuity principles have been justified using semantical arguments, but it is known that the modulus of continuity of functions can be computed using effectful computations such as exceptions or reference cells. This paper presents a class of intuitionistic theories that features stateful computations, such as reference cells, and shows that these theories can be extended with continuity axioms. The modulus of continuity of the functionals on the Baire space is directly computed using the stateful computations enabled in the theory
A note on the continuity of free-boundaries in finite-horizon optimal stopping problems for one dimensional diffusions.
We provide sufficient conditions for the continuity of the free-boundary in a general class of finite-horizon optimal stopping problems arising, for instance, in finance and economics. The underlying process is a strong solution of a one-dimensional, time-homogeneous stochastic differential equation (SDE). The proof relies on both analytic and probabilistic arguments and is based on a contradiction scheme inspired by the maximum principle in partial differential equations theory. Mild, local regularity of the coefficients of the SDE and smoothness of the gain function locally at the boundary are required
Fourier Series Formalization in ACL2(r)
We formalize some basic properties of Fourier series in the logic of ACL2(r),
which is a variant of ACL2 that supports reasoning about the real and complex
numbers by way of non-standard analysis. More specifically, we extend a
framework for formally evaluating definite integrals of real-valued, continuous
functions using the Second Fundamental Theorem of Calculus. Our extended
framework is also applied to functions containing free arguments. Using this
framework, we are able to prove the orthogonality relationships between
trigonometric functions, which are the essential properties in Fourier series
analysis. The sum rule for definite integrals of indexed sums is also
formalized by applying the extended framework along with the First Fundamental
Theorem of Calculus and the sum rule for differentiation. The Fourier
coefficient formulas of periodic functions are then formalized from the
orthogonality relations and the sum rule for integration. Consequently, the
uniqueness of Fourier sums is a straightforward corollary.
We also present our formalization of the sum rule for definite integrals of
infinite series in ACL2(r). Part of this task is to prove the Dini Uniform
Convergence Theorem and the continuity of a limit function under certain
conditions. A key technique in our proofs of these theorems is to apply the
overspill principle from non-standard analysis.Comment: In Proceedings ACL2 2015, arXiv:1509.0552
Lipschitz regularity for integro-differential equations with coercive hamiltonians and application to large time behavior
In this paper, we provide suitable adaptations of the "weak version of
Bernstein method" introduced by the first author in 1991, in order to obtain
Lipschitz regularity results and Lipschitz estimates for nonlinear
integro-differential elliptic and parabolic equations set in the whole space.
Our interest is to obtain such Lipschitz results to possibly degenerate
equations, or to equations which are indeed "uniformly el-liptic" (maybe in the
nonlocal sense) but which do not satisfy the usual "growth condition" on the
gradient term allowing to use (for example) the Ishii-Lions' method. We treat
the case of a model equation with a superlinear coercivity on the gradient term
which has a leading role in the equation. This regularity result together with
comparison principle provided for the problem allow to obtain the ergodic large
time behavior of the evolution problem in the periodic setting
Stochastic Target Games and Dynamic Programming via Regularized Viscosity Solutions
We study a class of stochastic target games where one player tries to find a
strategy such that the state process almost-surely reaches a given target, no
matter which action is chosen by the opponent. Our main result is a geometric
dynamic programming principle which allows us to characterize the value
function as the viscosity solution of a non-linear partial differential
equation. Because abstract mea-surable selection arguments cannot be used in
this context, the main obstacle is the construction of measurable
almost-optimal strategies. We propose a novel approach where smooth
supersolutions are used to define almost-optimal strategies of Markovian type,
similarly as in ver-ification arguments for classical solutions of
Hamilton--Jacobi--Bellman equations. The smooth supersolutions are constructed
by an exten-sion of Krylov's method of shaken coefficients. We apply our
results to a problem of option pricing under model uncertainty with different
interest rates for borrowing and lending.Comment: To appear in MO
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