# Volume 24 (2016): Issue 1 (March 2016)

Journal Details
Format
Journal
eISSN
1898-9934
First Published
09 Jun 2008
Publication timeframe
4 times per year
Languages
English

0 Articles
Open Access

#### Modelling Real World Using Stochastic Processes and Filtration

Published Online: 31 Aug 2016
Page range: 1 - 16

#### Abstract

First we give an implementation in Mizar  basic important definitions of stochastic finance, i.e. filtration (, pp. 183 and 185), adapted stochastic process (, p. 185) and predictable stochastic process (, p. 224). Second we give some concrete formalization and verification to real world examples.

In article  we started to define random variables for a similar presentation to the book . Here we continue this study. Next we define the stochastic process. For further definitions based on stochastic process we implement the definition of filtration.

To get a better understanding we give a real world example and connect the statements to the theorems. Other similar examples are given in , pp. 143-159 and in , pp. 110-124. First we introduce sets which give informations referring to today (Ωnow, Def.6), tomorrow (Ωfut1 , Def.7) and the day after tomorrow (Ωfut2 , Def.8). We give an overview for some events in the σ-algebras Ωnow, Ωfut1 and Ωfut2, see theorems (22) and (23).

The given events are necessary for creating our next functions. The implementations take the form of: Ωnow ⊂ Ωfut1 ⊂ Ωfut2 see theorem (24). This tells us growing informations from now to the future 1=now, 2=tomorrow, 3=the day after tomorrow.

We install functions f : {1, 2, 3, 4} → ℝ as following:

f1 : x → 100, ∀x ∈ dom f, see theorem (36),

f2 : x → 80, for x = 1 or x = 2 and

f2 : x → 120, for x = 3 or x = 4, see theorem (37),

f3 : x → 60, for x = 1, f3 : x → 80, for x = 2 and

f3 : x → 100, for x = 3, f3 : x → 120, for x = 4 see theorem (38).

These functions are real random variable: f1 over Ωnow, f2 over Ωfut1, f3 over Ωfut2, see theorems (46), (43) and (40). We can prove that these functions can be used for giving an example for an adapted stochastic process. See theorem (49).

We want to give an interpretation to these functions: suppose you have an equity A which has now (= w1) the value 100. Tomorrow A changes depending which scenario occurs − e.g. another marketing strategy. In scenario 1 (= w11) it has the value 80, in scenario 2 (= w12) it has the value 120. The day after tomorrow A changes again. In scenario 1 (= w111) it has the value 60, in scenario 2 (= w112) the value 80, in scenario 3 (= w121) the value 100 and in scenario 4 (= w122) it has the value 120. For a visualization refer to the tree:

The sets w1,w11,w12,w111,w112,w121,w122 which are subsets of {1, 2, 3, 4}, see (22), tell us which market scenario occurs. The functions tell us the values to the relevant market scenario:

For a better understanding of the definition of the random variable and the relation to the functions refer to , p. 20. For the proof of certain sets as σ-fields refer to , pp. 10-11 and , pp. 1-2.

This article is the next step to the arbitrage opportunity. If you use for example a simple probability measure, refer, for example to literature , pp. 28-34, , p. 6 and p. 232 you can calculate whether an arbitrage exists or not. Note, that the example given in literature  needs 8 instead of 4 informations as in our model. If we want to code the first 3 given time points into our model we would have the following graph, see theorems (47), (44) and (41):

The function for the “Call-Option” is given in literature , p. 28. The function is realized in Def.5. As a background, more examples for using the definition of filtration are given in , pp. 185-188.

#### Keywords

• stochastic process
• random variable

• 60G05
• 03B35

#### MML

• identifier: FINANCE3
• version: 8.1.04 5.36.1267
Open Access

#### Circumcenter, Circumcircle and Centroid of a Triangle

Published Online: 31 Aug 2016
Page range: 17 - 26

#### Abstract

We introduce, using the Mizar system , some basic concepts of Euclidean geometry: the half length and the midpoint of a segment, the perpendicular bisector of a segment, the medians (the cevians that join the vertices of a triangle to the midpoints of the opposite sides) of a triangle.

We prove the existence and uniqueness of the circumcenter of a triangle (the intersection of the three perpendicular bisectors of the sides of the triangle). The extended law of sines and the formula of the radius of the Morley’s trisector triangle are formalized .

Using the generalized Ceva’s Theorem, we prove the existence and uniqueness of the centroid (the common point of the medians ) of a triangle.

#### Keywords

• Euclidean geometry
• perpendicular bisector
• circumcenter
• circumcircle
• centroid
• extended law of sines

• 51M04
• 03B35

#### MML

• identifier: EUCLID12
• version: 8.1.04 5.36.1267
Open Access

#### Altitude, Orthocenter of a Triangle and Triangulation

Published Online: 31 Aug 2016
Page range: 27 - 36

#### Abstract

We introduce the altitudes of a triangle (the cevians perpendicular to the opposite sides). Using the generalized Ceva’s Theorem, we prove the existence and uniqueness of the orthocenter of a triangle . Finally, we formalize in Mizar  some formulas  to calculate distance using triangulation.

#### Keywords

• Euclidean geometry
• trigonometry
• altitude
• orthocenter
• triangulation
• distance

• 51M04
• 03B35

#### MML

• identifier: EUCLID13
• version: 8.1.04 5.36.1267
Open Access

#### Divisible ℤ-modules

Published Online: 31 Aug 2016
Page range: 37 - 47

#### Abstract

In this article, we formalize the definition of divisible ℤ-module and its properties in the Mizar system . We formally prove that any non-trivial divisible ℤ-modules are not finitely-generated.We introduce a divisible ℤ-module, equivalent to a vector space of a torsion-free ℤ-module with a coefficient ring ℚ. ℤ-modules are important for lattice problems, LLL (Lenstra, Lenstra and Lovász) base reduction algorithm , cryptographic systems with lattices  and coding theory .

#### Keywords

• divisible vector
• divisible ℤ-module

• 15A03
• 16D20
• 13C13
• 03B35

#### MML

• identifier: ZMODUL08
• version: 8.1.04 5.36.1267
Open Access

#### Lattice of ℤ-module

Published Online: 31 Aug 2016
Page range: 49 - 68

#### Abstract

In this article, we formalize the definition of lattice of ℤ-module and its properties in the Mizar system .We formally prove that scalar products in lattices are bilinear forms over the field of real numbers ℝ. We also formalize the definitions of positive definite and integral lattices and their properties. Lattice of ℤ-module is necessary for lattice problems, LLL (Lenstra, Lenstra and Lovász) base reduction algorithm , and cryptographic systems with lattices  and coding theory .

#### Keywords

• ℤ-lattice
• Gram matrix
• integral ℤ-lattice
• positive definite ℤ-lattice

• 15A03
• 15A63
• 11E39
• 03B35

#### MML

• identifier: ZMODLAT1
• version: 8.1.04 5.36.1267
Open Access

#### Product Pre-Measure

Published Online: 31 Aug 2016
Page range: 69 - 79

#### Abstract

In this article we formalize in Mizar  product pre-measure on product sets of measurable sets. Although there are some approaches to construct product measure , , , , , we start it from σ-measure because existence of σ-measure on any semialgebras has been proved in . In this approach, we use some theorems for integrals.

#### Keywords

• product measure
• pre-measure

• 28A35
• 03B35

#### MML

• identifier: MEASUR10
• version: 8.1.04 5.36.1267
Open Access

#### Conservation Rules of Direct Sum Decomposition of Groups

Published Online: 31 Aug 2016
Page range: 81 - 94

#### Abstract

In this article, conservation rules of the direct sum decomposition of groups are mainly discussed. In the first section, we prepare miscellaneous definitions and theorems for further formalization in Mizar . In the next three sections, we formalized the fact that the property of direct sum decomposition is preserved against the substitutions of the subscript set, flattening of direct sum, and layering of direct sum, respectively. We referred to ,   and  in the formalization.

#### Keywords

• group theory
• direct sum decomposition

• 20E34
• 03B35

#### MML

• identifier: GROUP 21
• version: 8.1.04 5.36.1267