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Summable canonical differentiation
Statement
Let be as in Countable canonical model. Suppose that for every compact interval there is a summable sequence such that for every and . Then is positive, finite, and on , with and . The probabilities are normalized. Define and . These quantities are finite and satisfy and . Moreover , and its defining series is absolutely convergent.
Facts & Assumptions
Given: As stated in the item.
Countable canonical model: , , expectation and have the definitions and domains stated there. The centered variance is defined in this item's Statement.
The real exponential function and the number by a power series and The exponential function is smooth and : is positive and differentiable with .
The natural logarithm as the inverse of the exponential function and The natural logarithm has derivative 1/x and equals the integral from 1 to x of 1/t: is defined on positive reals and for differentiable .
The mean value theorem, as the case of Cauchy's: for continuous on with and differentiable on there is with : a function continuous on a closed interval and differentiable in its interior has a point where its secant slope equals its derivative.
For every compact there is a nonnegative summable sequence such that for all and ; the tail tends to zero.
The chain rule, in one line from Carathéodory: if is differentiable at and is differentiable at , then is differentiable at with : differentiating with respect to uses the one-variable chain rule.
Proof
Given: The countable canonical model and the local summable envelope in the statement.
On a compact interval , let , , and be the first partial sums of , , and . Since for , each tail is bounded uniformly on by the corresponding tail of , which tends to zero [A1]. Thus all three sequences converge uniformly; call their limits . Each finite partial sum has the displayed derivatives by the chain rule [F5] and the exponential derivative [F2]. Each partial sum is continuous, so the uniform limits are continuous by the definition of continuity.
For an interior and sufficiently small , apply [F4] to on the interval with endpoints and : its difference quotient is for some intermediate . Choose so that and . The difference quotient for then differs from by at most , which tends to zero by continuity of . Hence . Applying the same argument to and proves , so the displayed derivatives hold.
The summands of are positive and at least one is present, hence on ; summing the definition of gives . The envelope gives finite first and second moments, and . Differentiating using [F3] yields and after expanding the defining variance.
Since , its logarithm is . The finite first moment makes ; summing the identity gives .
Depends on
The mean value theorem, as the case of Cauchy's: for continuous on with and differentiable on there is with
The natural logarithm as the inverse of the exponential function
The real exponential function and the number by a power series
Series, partial sums, convergence and the sum, divergence, and the tail series
Countable canonical model
The chain rule, in one line from Carathéodory: if is differentiable at and is differentiable at , then is differentiable at with
The exponential function is smooth and
The natural logarithm has derivative 1/x and equals the integral from 1 to x of 1/t