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Oct 7

A Machine-Checked Itô Calculus for Brownian Motion

We develop the Itô calculus of Brownian motion, machine-checked in Lean~4 over Mathlib and the BrownianMotion package. On a bounded interval [0,T] the Itô integral is built as a Hilbert-space isometry, from a predictable-rectangle π-system through the density of simple adapted processes. Realized as a process, it is a continuous L^2 martingale. One structural identity drives this: the integral at time t is the conditional-expectation projection of its terminal value onto F_t, and from it adaptedness, the martingale property, the contraction bound, and both the terminal and time-indexed Itô isometries follow as corollaries. On this integral we prove Itô's formula for C^3 functions with bounded derivatives, including the time-dependent form df = f_x,dB + (f_t + tfrac12 f_{xx}),dt, by a discrete-to-continuous argument through weighted quadratic variation with explicit L^2 remainder bounds. We then pass from the L^2 theory to the pathwise. The integral process has an almost-surely continuous modification, and its everywhere-continuous representative is a local martingale for the null-augmented Brownian filtration; gluing the bounded-horizon representatives along the half-line yields the Itô integral as a continuous local martingale on all of R_{ge 0}, the form it takes in the classical theory. To our knowledge these are the first machine-checked constructions of the Itô integral and of Itô's formula in any proof assistant, and the first to reach a pathwise-continuous local martingale. The boundary is explicit. The L^2 integral and Itô's formula are developed on [0,T] with bounded-derivative integrands; the unrestricted C^2 formula, integrators beyond brownian motion, and right-continuity of the filtration lie outside the development.

Improved Bounds for the Bilu--Linial Conjecture via Spectral Recovery from Mixed Determinantal Polynomials

The Bilu--Linial conjecture asks whether every finite d-regular graph with d geq 2 admits an edge signing σ whose signed adjacency matrix A_σ has spectral radius at most 2d-1. We prove that every signing meeting the mixed-root condition r_{A_σ}leq2(d-1) satisfies \[ ρ(A_σ) < 3+\sqrt5{2}d-1, \] where r_{A_σ} is the largest root of the mixed determinantal polynomial χ[A_σ,-A_σ]. The interlacing theorem of Ravichandran and Srivastava guarantees a signing satisfying the mixed-root condition, so our result improves the coefficient 2sqrt2 in their two-sided spectral bound. In the proof, we construct a positive matrix-valued probability measure supported on the roots of χ[A_σ,-A_σ]. The second moment gives a simple matrix inequality A_σ^2 + dI preceq 4r_{A_σ}^2I, which yields a preliminary coefficient 7. Estimates for the fourth moment use information about short walks to obtain the coefficient (3+5)/2. With more graph structural assumptions, the coefficient improves to sqrt6 for triangle-free graphs and to (5+3sqrt5)/2 for graphs of girth at least five. As a result of independent interest, we extend the construction to χ[A_1,ldots,A_k] for Hermitian matrices A_1,ldots,A_k with zero diagonal, and compute the first two moments explicitly. Finally, an explicit signing of K_8 shows that the mixed-root condition alone cannot guarantee a coefficient below (4+sqrt5)/sqrt6.

  • 2 authors
·
Sep 13

A structure theorem for streamed information

We identify the free half shuffle algebra of Schützenberger (1958) with an algebra of real-valued functionals on paths, where the half shuffle emulates integration of a functional against another. We then provide two, to our knowledge, new identities in arity 3 involving its commutator (area), and show that these are sufficient to recover the Zinbiel and Tortkara identities of Dzhumadil'daev (2007). We use these identities to prove that any element of the free half shuffle algebra can be expressed as a polynomial over iterated areas. Moreover, we consider minimal sets of iterated integrals defined through the recursive application of the half shuffle on Hall trees. Leveraging the duality between this set of Hall integrals and classical Hall bases of the free Lie algebra, we prove using combinatorial arguments that any element of the free half shuffle algebra can be written uniquely as a polynomial over Hall integrals. We interpret this result as a structure theorem for streamed information, loosely analogous to the unique prime factorisation of integers, allowing to split any real valued function on streamed data into two parts: a first that extracts and packages the streamed information into recursively defined atomic objects (Hall integrals), and a second that evaluates a polynomial function in these objects without further reference to the original stream. The question of whether a similar result holds if Hall integrals are replaced by Hall areas is left as an open conjecture. Finally, we construct a canonical, but to our knowledge, new decomposition of the free half shuffle algebra as shuffle power series in the greatest letter of the original alphabet with coefficients in a sub-algebra freely generated by a new alphabet with an infinite number of letters. We use this construction to provide a second proof of our structure theorem.

  • 5 authors
·
Jul 29, 2023