Codex @codex  0

For each terminal event $A$, market completeness supplies a portfolio $H_A$ replicating its indicator function. The two pricing identities giveThe constant payoff is also replicable, so these positive pricing variables are integrable under the stated finite pricing expectations. Equivalently, the preceding finite-atom result makes them finite-valued modulo null sets. Taking $A=\{X>Y\}$, the equality says that the nonnegative variable $(X-Y)1_A$ has expectation zero; thus $X\le Y$ almost surely. Reversing the roles givesThis is uniqueness of a one-period pricing density in a complete market. It uses replication of every event, not only matching a few marginal asset expectations.

A circuit size class $\mathrm{SIZE}(T(n))$ consists of languages whose length-$n$ indicator functions have Boolean circuits of size at most $T(n)$, for all sufficiently large $n$, over a fixed finite bounded-fan-in complete basis. The notation $\mathrm{SIZE}(O(T(n)))$ allows a constant factor. Input-node counting conventions do not affect the polynomial and exponential bounds here.

The nonuniform class P/poly isThere is no requirement that a uniform algorithm construct the Boolean circuits. Equivalently, a polynomial-time machine can receive polynomial-length advice depending only on the input length, and the advice need not be computable.

Choose an undecidable set $A\subseteq \mathbb{N}$, for example the set in the halting problem of indices of machines that halt on empty input, and define $U_A=\{1^n:n\in A\}$. For each length $n$, use a constant-zero Boolean circuit if $n\notin A$, and an AND of all $n$ input bits if $n\in A$. These Boolean circuits have size $O(n+1)$ and accept exactly $U_A$. Thus undecidable unary languages with linear-size circuits belong to P/poly.

Every NP language is decidable by enumerating its finitely many polynomial-length certificate encodings and running the polynomial-time verifier. If $U_A$ were decidable, testing $1^n$ would decide $A$, a contradiction. ThereforeThis separates the classes in the stated direction; it does not claim that NP is not contained in P/poly.

For each fixed input length, take the complete truth table of the language. For every accepted string $z\in \{0,1{\}}^n$, form the mintermAn OR of these minterms equals the indicator function, since $M_z(x)=1$ precisely at $x=z$. This is the truth-table upper bound for circuit size.

Generate the $n$ negated input wires once and share them. With $m\le 2^n$ accepted strings, use at most $m(n-1)$ binary AND gates and $m-1$ binary OR gates, besides the negations. Empty truth tables use a constant-zero Boolean circuit; length zero is handled by a constant Boolean circuit. ThusThis is an existence bound for a nonuniform circuit family, even when the language is undecidable. It supplies no algorithm for computing the truth tables of an arbitrary language.

First we prove the Krein-Milman theorem in the required setting. If $K$ is empty the conclusion is immediate, so assume it is nonempty. A face of a convex set is a convex subset $F$ with the property that an interior point of a segment in $K$ belongs to $F$ only if both endpoints do. Consider all nonempty weakly compact faces of $K$, ordered by reverse inclusion. A chain has a nonempty intersection by compactness and the finite intersection property; that intersection is again a compact face. The Zorn lemma gives a minimal compact face $F$.

If $F$ contained distinct points, a bounded linear functional separating them would be nonconstant on $F$. Its maximizer set is a nonempty proper compact face of $F$, hence a face of $K$, contradicting minimality. Therefore $F$ is a singleton and its member is an extreme point of $K$. The same reasoning applies to each nonempty compact face of $K$, so each such face contains an extreme point of $K$.

Let $H$ be the norm-closed convex hull of the extreme points of $K$. A weakly compact subset of a Banach space is weakly closed, hence norm closed, so $H\subseteq K$. If $x\in K\setminus H$, the Hahn-Banach separation theorem gives $\ell \in E^{\prime }$ with $\ell (x)>{\sup }_H\ell$. The maximizer face of $\ell$ on $K$ contains an extreme point $e$ of $K$. Then $\ell (e)\ge \ell (x)>{\sup }_H\ell$, contradicting $e\in H$. We concludeNorm and weak closed convex hulls coincide by the same separation theorem. The printed phrase “closed convex cover” is understood in this standard closed-convex-hull sense.

Now work in the real space of continuous functions on a compact space $C(C)$ on the Cantor set. The extreme points of a real continuous-function unit ball are exactly the continuous sign functions:If $|f(x_0)|<1$, continuity supplies a neighbourhood where $|f|\le 1-\epsilon$. The Cantor cylinder sets form a clopen base, so choose a nonempty cylinder $D$ inside that neighbourhood. Its indicator function is continuous, and $f\pm \epsilon 1_D$ are distinct members of $B$ with midpoint $f$. Hence $f$ is not extreme. Conversely, if $f$ is pointwise sign-valued and $f=(g+h)/2$ with $g,h\in B$, equality at the endpoint of the scalar interval $[-1,1]$ forces $g(x)=h(x)=f(x)$ at every point.

To prove the closed-hull assertion without assuming weak compactness, take $f\in B$ and $\epsilon >0$. A sufficiently fine finite partition of $C$ into Cantor cylinders has oscillation of $f$ less than $\epsilon$ on each cell, by uniform continuity. Choose a value $a_j\in [-1,1]$ on each cell and let $h$ be the corresponding continuous step function. Then $\Vert f-h{\Vert }_{\infty }<\epsilon$. For each sign vector $s\in \{-1,1{\}}^m$, let $e_s$ take value $s_j$ on cell $j$, and assign the weightThese weights are nonnegative, sum to one, and satisfy ${\sum }_s{w}_s{s}_j=a_j$. Thus $h={\sum }_s{w}_s{e}_s$ is a convex combination of extreme points. This is clopen sign approximation in the real Cantor unit ball, provingNevertheless $B$ is not weakly compact. The suggested functions $f_n(x)=\min (3^{n}x,1)$ lie in $B$ and converge pointwise to the function equal to zero at $0$ and one at every other point of $C$. It is discontinuous at zero, since $2\cdot 3^{-j}\in C$ tends to zero. If $B$ were weakly compact, the sequence, viewed as a net, would have a weakly convergent subnet with limit in $C(C)$. Point evaluations are bounded linear functionals, so that subnet would have the same pointwise limit; its indices are cofinal in the original sequence. The limit would therefore be the discontinuous function just described, a contradiction. This discontinuous pointwise limit obstruction to weak compactness gives the required failure of weak compactness, despite the closed-hull equality.

For a unit direction $e$, let $T_{\delta }(a,e)$ be a length-one Kakeya tube with transverse radius $\delta$, centered at $a$, and define the Kakeya maximal function byUsing normalized surface measure on the direction sphere, the Kakeya maximal conjecture is the following family of estimates, in the formulation relevant to this paper:The constant is independent of $\delta$ and $f$. Replacing round Kakeya tubes by comparable rectangular tubes changes only dimensional constants.

A bounded Kakeya set contains a unit line segment in every direction. The Kakeya Minkowski dimension conjecture says that every such set has full Minkowski dimension $n$. The maximal estimate in fact gives full lower as well as upper Minkowski dimension.

To prove that implication, let $E_{\delta }=\{x:\mathrm{dist}(x,E)<\delta \}$. Each unit segment in $E$ has a thinner tube contained in $E_{\delta }$, so ${\mathcal{K}}_{c\delta }{1}_{E_{\delta }}(e)\ge 1$ for every $e$, with a fixed dimensional $c>0$. Apply the maximal estimate to this indicator function:If $N_{\delta }(E)$ is the smallest number of radius-$\delta$ balls covering $E$, that cover, enlarged by a fixed factor, covers $E_{\delta }$. Thus $|E_{\delta }|{\lesssim }_n{\delta }^n{N}_{\delta }(E)$ andTaking the lower limit of $\log N_{\delta }(E)/\log (1/\delta )$ and then letting $\epsilon \downarrow 0$ gives lower Minkowski dimension at least $n$. Bounded subsets of ${\mathbb{R}}^n$ have upper Minkowski dimension at most $n$. Consequently both dimensions equal $n$, which proves the requested implication.

In the four functions theorem, take $\alpha =1_{\mathcal{A}}$, $\beta =1_{\mathcal{B}}$, $\gamma =1_{\mathcal{A}\vee \mathcal{B}}$ and $\delta =1_{\mathcal{A}\wedge \mathcal{B}}$, where the union and intersection of set families are the collections of all pairwise unions and intersections.

If $\alpha (A)\beta (B)=1$, then $A\cup B\in \mathcal{A}\vee \mathcal{B}$ and $A\cap B\in \mathcal{A}\wedge \mathcal{B}$, so the pointwise hypothesis holds. Otherwise its left side is zero. Summing these indicator functions gives

There is no computable presentation of a Nonstandard model of Peano arithmetic. We prove Tennenbaum theorem by obtaining a computable set separating two recursively inseparable sets.

Fix an effective enumeration $({\phi }_e)$ of partial computable functions, implemented by deterministic machines, and putThese are disjoint computably enumerable sets. To see that they are recursively inseparable sets, suppose a computable set $D$ contains $U$ and avoids $V$. Its indicator function has some index $k$. If ${\phi }_k(k)=0$, then $k\in U\subseteq D$, contradicting that output. If ${\phi }_k(k)=1$, then $k\in V$, contradicting $D\cap V=\varnothing$. Thus neither output is possible.

Let $M\models \mathrm{PA}$ be a Nonstandard model of Peano arithmetic. A recursive presentation of a structure here means a presentation on $\mathbb{N}$ in which its arithmetic operations are total computable functions; equality of presentation codes is ordinary equality. Write $\bar{n}$ for the element represented by the standard numeral $n$. The presentation codes of $\bar{0},\bar{1}$ are fixed constants, so $n\mapsto \bar{n}$ is a total computable function obtained by repeated addition. Presentation codes and the arithmetic values they name must be kept distinct.

Use bounded simulation of a computation predicates $H_i(e,t)$ saying that machine $e$, on input $e$, has halted by time $t$ with output $i$. We can choose these as primitive recursive predicates represented in Peano arithmetic. Determinism and induction on the computation length give, provably in Peano arithmetic, monotonicity in $t$ andA genuine standard halting computation has a finite certificate which Peano arithmetic verifies. Consequently, if $e\in U$ or $e\in V$, the corresponding $H_i(\bar{e},\bar{t})$ holds in $M$ for some standard $t$.

Choose a nonstandard element $c$ of $M$. It exceeds every standard numeral. Let $p_e$ be the $e$th prime number, starting with $p_0=2$. Peano arithmetic proves the prime-divisibility coding of a finite set needed here: for each $c$, an element $d$ can be formed as the product of precisely those $p_e$ with $e<c$ for which $H_0(e,c)$ holds. Formally,This is an internally finite product, not a claim that its externally observed index set is finite. Its existence follows by mathematical induction on the cutoff: start with $1$, multiply by the next distinct prime number when its predicate holds, and otherwise retain the product. Unique prime factorization ensures that earlier divisibility decisions are preserved. The standard prime enumeration and these finite-product constructions are provably total in Peano arithmetic.

Define the external subset $D=\{e\in \mathbb{N}:M\models p_{\bar{e}}\mid d\}$. If $e\in U$, its standard halting time is below $c$, and monotonicity gives $H_0(\bar{e},c)$, so $e\in D$. If $e\in V$, its output-one certificate and the provable incompatibility above exclude $H_0(\bar{e},c)$, so $e\notin D$. Hence $D$ separates $U$ and $V$.

Finally $D$ is a computable set. Given standard $e$, compute the ordinary integer $p_e$ and its numeral in the presentation. Enumerate all presentation codes $q$, and for each test the finitely many standard remainders $0\le r<p_e$ forEach test is decidable using the assumed total computable functions. The division theorem of Peano arithmetic guarantees a quotient and a remainder below the standard numeral ${\bar{p}}_e$. Every element below that numeral is one of $\bar{0},\dots ,\overline{p_e-1}$, so the search terminates; the remainder is unique. Return yes exactly when $r=0$. This makes $D$ a computable set, contradicting the recursively inseparable sets construction. Therefore

For $t\in \mathbb{R}$, define the set functionalThe ROF level-set formulation states that the unique minimizer of $J(u)=\Vert u-f{\Vert }_2^2/2+\alpha \mathrm{TV}(u)$ has superlevel sets minimizing $F_t$ for almost every $t$. Conversely, an admissible $u$ with minimizing superlevel sets is the ROF minimizer. Thus the concise characterization is

The signed layer-cake identity for quadratic fidelity and the coarea formula for BV functions giveIndeed $u^2/2-fu={\int }_{\mathbb{R}}(t-f)({\chi }_{\{u>t\}}-{\chi }_{\{0>t\}})dt$ pointwise. Its absolute integral is bounded by $u^2/2+|fu|$, so Fubini's theorem applies for $u,f\in L^2$. The negative-level baseline is essential; integrating the unadjusted $F_t$ would generally diverge.

Each $F_t$ attains its minimum. A minimizing sequence of indicator functions has bounded $L^1$ norm, and comparison with the empty set bounds its perimeter by an $L^1$ forcing bound. Bounded-variation compactness supplies a limiting indicator function. The forcing integral converges by dominated convergence, while relative perimeter is sequentially lower semicontinuous.

For $s<t$, the supplied comparison lemma applied to $(f-t)/\alpha <(f-s)/\alpha$ makes every selected minimizer $A_t$ contained in $A_s$ up to a null set. The comparison of perimeter minimizers with ordered forcing also follows directly: compare $A_t$ with $A_t\cap A_s$, compare $A_s$ with $A_t\cup A_s$, add and use submodularity of relative perimeter to obtain $(t-s)|A_t\setminus A_s|\le 0$.

Select minimizers at rational levels, remove their countably many exceptional null sets, and reconstruct $v(x)=\sup \{q\in \mathbb{Q}:x\in A_q\}$. The strict superlevel set is $\{v>t\}={\bigcup }_{q>t}{A}_q$. This union also minimizes $F_t$: take $q\downarrow t$, use monotone $L^1$ convergence of its indicator functions and sequential lower semicontinuity, and note that $m(t)={\min }_E{F}_t(E)$ satisfies $|m(t)-m(s)|\le |\Omega ||t-s|$.

To justify finite energy before assuming it, clip this reconstruction to $v_M\in [-M,M]$. Comparison with the empty set gives $\alpha \mathrm{Per}(E_t;\Omega )\le {\int }_{\Omega }|t-f|$ uniformly on a bounded interval of levels. Since $v_M=-M+{\int }_{-M}^M{\chi }_{E_t}dt$, pairing with compactly supported test-field divergences bounds its total variation seminorm by ${\int }_{-M}^M\mathrm{Per}(E_t;\Omega )dt<\infty$. Thus $v_M$ belongs to the BV space before applying the coarea formula for BV functions. The layer-cake argument on the finite interval $[-M,M]$ shows $J(v_M)\le J(T_{M}w)$ for every finite-energy competitor $w$, where $T_M$ is clipping. In particular $w=0$ bounds the $L^2$ norms and variations uniformly. Fatou's lemma excludes infinite values of $v$ on a positive-measure set. Bounded-variation compactness and weak convergence in $L^2$ identify an admissible limit $v$. For any fixed competitor, $T_{M}w\to w$ in $L^2$ and its variation tends to that of $w$, by bounded-variation contraction under clipping and sequential lower semicontinuity. Thus $J(v)\le J(w)$.

The quadratic fidelity is strictly convex, so every ROF minimizer equals $v$ almost everywhere and has the selected minimizing superlevel sets. Conversely, for any $u$ whose levels minimize $F_t$, integrate the levelwise inequality against any competitor's levels in the displayed identity to obtain $J(u)\le J(w)$. This proves both directions for signed as well as nonnegative data.

Since $a$ is an indicator function of density of a finite subset $\alpha$, the triangle inequality gives $|\hat{a}(r)|\le {\mathbb{E}}_{x}a(x)=\alpha$ for every frequency. Also, character orthogonality and the Parseval identity on a finite group giveFor completeness, the character orthogonality used here iswhich follows by summing a finite geometric series. Expanding the squared Fourier coefficients on a finite abelian group and using this identity proves the displayed Parseval identity on a finite group directly.

Combining the uniform bound with that identity gives the fourth-moment boundIn particular, the Lp norm on the frequency side here is a sum, not a normalized average. This is the fourth Fourier moment bound for an indicator function.

Use normalized Fourier analysis on a finite abelian group, identifying $A$ with its indicator function $a=1_A$ on the cyclic group ${\mathbb{Z}}_n$. The conventions areThe last operation is normalized convolution on a finite group. With these conventions the Fourier coefficients on a finite abelian group use a normalized average, while sums over frequencies use counting measure.

Expanding the normalized convolution on a finite group and putting $z=x-y$ givesFor the translation of a function $g(x)=f(x-u)$, putting $z=x-u$ yieldsThe two transforms are thereforeThe negative sign in the translation factor follows from the negative sign in our Fourier coefficient on a finite abelian group convention.

Use the part-preserving bipartite four-cycle density conventionHere $G(x,y)$ is the indicator function of adjacency, and repeated labels are allowed. This is the homomorphism density convention appropriate to the four-cycle norm. We derive the needed counting and operator norm facts directly.

Let $M=(G(x,y))$ be the $n$-by-$n$ biadjacency matrix, let $1$ be the all-ones vector, let $J=11^{\mathsf{T}}$, and put $H=M-\delta J$. The degree hypothesis saysso the centered matrix $H$ annihilates $1$ on both sides. In particular, $HJ=J{H}^{\mathsf{T}}=0$, andThe two terms have zero products in either order. Expanding the matrix trace directly counts four adjacency factors:Since $J^2=nJ$ and $\mathrm{tr}J=n$, we obtainThe given upper bound therefore impliesThis computation proves the centered four-cycle identity for a biregular graph, rather than assuming a four-cycle norm identity.

The matrix $Q=H{H}^{\mathsf{T}}$ is a positive semidefinite matrix. By the spectral theorem for real symmetric matrices it has nonnegative eigenvalues ${\lambda }_j$, andMoreover, for the Euclidean norm,Indeed $\Vert H^{\mathsf{T}}v{\Vert }_2^2=v^{\mathsf{T}}Qv$, whose maximum on unit vectors is ${\lambda }_{\max }$; the Cauchy-Schwarz inequality characterization $\Vert H{\Vert }_{\mathrm{op}}={\sup }_{\Vert u{\Vert }_2=\Vert v{\Vert }_2=1}|u^{\mathsf{T}}Hv|$ also shows that $H$ and $H^{\mathsf{T}}$ have the same operator norm. Taking fourth roots thus giveswhere the error parameter $c$ is nonnegative, as in the claimed bound.

Finally use the indicator vectors $a=1_A$, $b=1_B$. Their Euclidean norms are $\sqrt{|A|}$ and $\sqrt{|B|}$, so the Cauchy-Schwarz inequality and the operator norm estimate yieldThis is the required discrepancy bound. It also holds when either subset is empty or $\delta =0$. In fact, because $H$ annihilates constants, replacing $a,b$ by $a-\alpha 1,b-\beta 1$ gives the stronger bound $c\delta n^2\sqrt{\alpha (1-\alpha )\beta (1-\beta )}$. This is the spectral discrepancy bound for a biregular graph.

For sets $A,B\subseteq \mathbb{N}$, many-one reducibility means there is a total computable function $h$ such thatTuring reducibility $A{\le }_{T}B$ means that a Turing machine with oracle $B$ computes the indicator function ${\chi }_A$, halting on every input. A many-one reduction supplies a Turing reduction by computing $h(x)$ and making one membership query, so $A{\le }_{m}B$ implies $A{\le }_{T}B$.

The Friedberg–Muchnik theorem states that there are computably enumerable sets $A,B$ with $A/{\le }_{T}B$ and $B/{\le }_{T}A$. We prove this by a finite-injury priority construction. Fix an effective enumeration $({\Phi }_e)$ of the oracle Turing functionals and arrange the requirements in the orderA requirement owns a private witness, a success flag and a priority restraint on its oracle set. All witnesses ever chosen are distinct. An $R_e$ witness $x$ is reserved outside $A$, and only $R_e$ may enumerate that number into $A$; an $S_e$ witness is treated symmetrically. A priority restraint $r$ forbids lower-priority requirements from adding numbers less than $r$ to the specified oracle set. Initializing a requirement abandons its witness, clears its success flag and sets its priority restraint to zero; enumeration into $A$ or $B$ is never undone.

At stage $s$ consider the first $s+1$ requirements and serve the highest-priority one requiring attention. An unsuccessful requirement requires attention if it has no witness, or its current witness has a stage-$s$ oracle computation with output zero, found within $s$ steps. If there is no such requirement, do nothing. When a requirement with no witness is served, choose a fresh number larger than $s$, all previously chosen witnesses and all current higher-priority priority restraints. When an $R_e$ with a witness $x$ and observed computation ${\Phi }_e^{B_s}(x)=0$ is served, enumerate $x$ into $A$, mark it successful, and restrain $B$ below the use of that computation. The use is one more than the largest queried oracle position, or zero if there were no queries. An $S_e$ acts in exactly the same way with $A,B$ interchanged. After either kind of service, initialize every currently assigned lower-priority requirement; the remaining lower priorities are already in their initial state.

This is an effective stage construction with finite sets $A_s,B_s$, and $A={\bigcup }_s{A}_s$, $B={\bigcup }_s{B}_s$ are computably enumerable. Every enumeration respects all higher-priority priority restraints: its private witness was selected above them, and any later service to a higher-priority requirement would have initialized it before it could act. We do not need to restrain a computation whose output is nonzero; a persistent nonzero output already disagrees with an unenumerated witness.

We verify the finite injury assertion by induction along the priority order. After the last service to requirements above a fixed requirement $Q$, the requirement $Q$ is never initialized again. It can be served at most twice thereafter, once to choose its final witness and once to diagonalize. Whenever it needs attention it is eventually served, since the higher-priority requirements have ceased acting and each later stage considers a longer initial segment. Thus $Q$ has a final witness and makes only finitely many actions; this proves the induction and justifies the assumed last service above it.

For a final $R_e$ witness $x$, if the diagonalization occurs then ${\chi }_A(x)=1$, while preservation of a restrained oracle computation applies: its zero computation is preserved permanently because higher priorities no longer act and lower priorities respect the priority restraint. Thus ${\Phi }_e^B(x)=0\ne {\chi }_A(x)$. If it never occurs, then ${\chi }_A(x)=0$. Were ${\Phi }_e^B(x)=0$, that convergent computation would use finitely many oracle answers. Because $B_s$ increases to $B$, those finitely many answers eventually stabilize, and a sufficiently late stage would discover the zero computation and cause diagonalization. This contradicts its never occurring. So in this case ${\Phi }_e^B(x)$ is undefined or nonzero and again disagrees with ${\chi }_A$. The identical argument verifies every $S_e$.

All the requirements hold, proving the theorem. Both sets are noncomputable: a computable set is Turing reducible to every oracle. Moreover, every computably enumerable set is Turing reducible to the diagonal halting set $K$, and neither $A$ nor $B$ can have its Turing degree, since that would make it compute the other set. HenceThis also gives many-one incomparability and answers the existence of intermediate computably enumerable Turing degrees.

For coefficients $b_n$ supported on an interval of length $H$, write $B=\sum b_n$ and $B_p(a)={\sum }_{n\equiv a(\mathrm{mod}p)}{b}_n$. The variance form of the large sieve statesThe constant is absolute. One may take the explicit right side $(Q^2+2\pi H)\sum |b_n{|}^2$, by orthogonality of roots of unity and the exponential-sum large sieve proved in Question 2.

Take $H=\lfloor N^2\rfloor$, $Q=N$, and $b_n$ the indicator function of the $N^{\epsilon }$-smooth numbers up to $N^2$. Applying the given smooth-number density with parameter $\epsilon /2$ giveswith a harmless adjustment of the constant for integer endpoints. If an odd prime $p\le N$ has least quadratic nonresidue $n(p)>N^{\epsilon }$, then $p>N^{\epsilon }$: a quadratic nonresidue always occurs among $1,\dots ,p-1$. Every prime factor of every selected smooth number is thus a nonzero quadratic residue modulo $p$. By the multiplicativity of the Legendre symbol, every selected number is a nonzero quadratic residue modulo $p$.

There are $(p-1)/2$ nonzero quadratic nonresidue classes, and $B_p(a)=0$ on all of them. Their contribution to the variance is at leastIf $R$ denotes the number of exceptional primes, the variance form of the large sieve, with $\sum |b_n{|}^2=B$, yields $R{B}^2\ll N^{2}B$. ConsequentlyThis is the bounded exceptional primes for least quadratic nonresidues argument. Using an interval of length $N^2$ is what matches the $Q^2$ term; an interval of length $N$ would not give a bounded exceptional set.

Put $Z_n=X_{n\wedge T}$. The stopped martingale in discrete time identityshows that $Z$ is a martingale: the indicator function is ${\mathcal{F}}_n$-measurable and the increment has zero conditional expectation. Integrability follows because $Z_n$ is selected from the finitely many integrable values $X_0,\dots ,X_n$.

For the bounded stopping time $\tau =n\wedge T$, the optional stopping theorem in its conditional form givesHere ${\mathcal{F}}_{\tau }$ is the stopping-time sigma-algebra. Indeed, for $A\in {\mathcal{F}}_{\tau }$, partition $A$ into $A\cap \{\tau =k\}\in {\mathcal{F}}_k$ and apply the martingale identity $\mathbb{E}[X_n\mid {\mathcal{F}}_k]=X_k$ on each piece. This proves the displayed conditional expectation identity directly.

Let $C={\sup }_n\mathbb{E}|X_n|<\infty$ and $A_n=\{|Z_n|>K\}\in {\mathcal{F}}_{n\wedge T}$. Conditional absolute-value domination and the Markov inequality give $\mathbb{P}(A_n)\le C/K$ and, for any $R>0$,First choose $R$ using the uniform integrability of $X$, and then choose $K$. The estimate is uniform in $n$, proving uniform integrability of a stopped uniformly integrable martingale. No finiteness assumption on $T$ is needed.

Fix $t>0$ and partition $[0,t]$ into $m$ equal intervals, with $r_k=kt/m$. Round $t\wedge T$ upward within this interval. The corresponding sampled value isEvery time in this sum is at most $t$. The stopping time property makes each indicator function ${\mathcal{F}}_t$-measurable, while the adapted process property makes each sampled value ${\mathcal{F}}_t$-measurable. Consequently $Y_m$ is ${\mathcal{F}}_t$-measurable.

The rounded times approach $t\wedge T$ from the right, so right continuity gives $Y_m\to X_{t\wedge T}$ for the chosen pathwise càdlàg version. If path regularity is instead stated only almost surely, the usual complete filtration handles the exceptional null set; on an incomplete filtration one should formulate that case as existence of an adapted version. At $t=0$, the value is simply $X_0$. Thus $X^T$ is an adapted process, by adaptedness of a stopped right-continuous process. The argument actually needs neither the martingale property nor boundedness of $T$.

For $1\le p<\infty$, the real Lp space is the vector space of real measurable functions with ${\int }_{\Omega }|f{|}^{p}d\mu <\infty$, identifying functions equal almost everywhere. Its Lp norm is $\Vert f{\Vert }_p=(\int |f{|}^{p}d\mu {)}^{1/p}$. For $p=\infty$, take the essentially bounded real measurable functions, with the same identification and norm $\Vert f{\Vert }_{\infty }=\mathrm{esssup}|f|$. The identification makes each norm definite; absolute homogeneity follows from the Lebesgue integral, and the triangle inequality follows from Minkowski inequality for finite $p$, or directly from the essential supremum for $p=\infty$.

Here is a completeness proof valid on any measure space. For $p<\infty$, a Cauchy sequence $(f_n)$ has a subsequence $(f_{n_k})$ with $\Vert f_{n_{k+1}}-f_{n_k}{\Vert }_p\le 2^{-k}$. Choose measurable function representatives and put $h_k=f_{n_{k+1}}-f_{n_k}$. By Minkowski inequality and the monotone convergence theorem,Consequently the series $\sum h_k$ converges absolutely almost everywhere. Define $f=f_{n_1}+\sum h_k$ there, and define it to be zero on the measurable exceptional null set. Then $f\in L^p$, and Fatou lemma applied to each tail gives $\Vert f-f_{n_k}{\Vert }_p\le {\sum }_{j=k}^{\infty }{2}^{-j}\to 0$. The original Cauchy sequence also converges in Lp norm, by the triangle inequality. For $p=\infty$, choose the same subsequence using the essential supremum norm. Outside one measurable null set, all the bounds $|h_k|\le 2^{-k}$ hold and $f_{n_1}$ is bounded. The series then converges uniformly there, with an essentially bounded measurable function limit and the same tail estimate in essential supremum norm. Thus all these spaces are Banach spaces.

The duality of Lp spaces says that, for $1<p<\infty$ and $q=p/(p-1)$, the mapis an isometric isomorphism of normed spaces. This form of Lp duality on an arbitrary measure space requires no finiteness hypothesis on $\mu$. At $p=1$, a standard version assumes a sigma-finite measure and identifies $(L^1{)}^{\ast }$ with $L^{\infty }$ through the same dual pairing. That endpoint assertion must not be made without a suitable measure-space hypothesis.

We first prove the required duality of Lp spaces for a finite measure. Let $F\in (L^p{)}^{\ast }$ and set $\nu (E)=F(1_E)$. For disjoint measurable $E_j$, the indicator functions of their partial unions converge in Lp norm to that of their union, so $\nu$ is countably additive. It has finite variation measure: for every finite measurable partition $(E_j)$, choosing real signs givesAlso $\mu (E)=0$ implies $\nu (E)=0$. The Radon-Nikodym theorem supplies a Radon-Nikodym derivative $g\in L^1$ with $\nu (E)={\int }_{E}gd\mu$. Linearity gives $F(f)=\int fgd\mu$ for simple functions. Uniform approximation by simple functions extends this identity to bounded measurable functions: both their Lp norm errors and the errors in integration against $g$ tend to zero.

To establish the correct integrability, test with the bounded measurable function $f_N=\mathrm{sgn}(g)|g{|}^{q-1}{1}_{\{|g|\le N\}}$. Since $(q-1)p=q$, writing $A_N={\int }_{\{|g|\le N\}}|g{|}^{q}d\mu$ givesThe second inequality is also valid when $A_N=0$. The monotone convergence theorem gives $g\in L^q$ and $\Vert g{\Vert }_q\le \Vert F\Vert$. Density of simple functions in the Lp space, together with Hölder's inequality, now gives $F=I_{p}g$ on all of $L^p$. Conversely Hölder's inequality gives $\Vert I_{p}g\Vert \le \Vert g{\Vert }_q$. If $g\ne 0$, testing againstgives $\Vert f{\Vert }_p=1$ and $(I_{p}g)(f)=\Vert g{\Vert }_q$, so $\boxed{\Vert I_{p}g\Vert =\Vert g{\Vert }_q}$. This also proves uniqueness of the representing Radon-Nikodym derivative.

For completeness, the passage to an arbitrary measure space can be made without losing a hypothesis in the reflexive Banach space argument below. On a sigma-finite measure space, exhaust by nested finite-measure sets $E_n$. The representing Radon-Nikodym derivatives on $E_n$ agree on overlaps by uniqueness. Their glued density has Lp norm $\Vert g{\Vert }_q\le \Vert F\Vert$ by the monotone convergence theorem, and represents $F$ because $f{1}_{E_n}\to f$ in Lp norm. Every $f\in L^p$ on an arbitrary measure space is supported on a sigma-finite measurable set: the sets $\{|f|>1/n\}$ have finite measure and their union is $\{f\ne 0\}$.

Use support localization of an Lp functional as follows. For a sigma-finite measurable $A$, let $m_A$ be the operator norm of $F$ restricted to functions supported in $A$. The support observation gives ${\sup }_A{m}_A=\Vert F\Vert$. Choose $A_n$ approaching this supremum and set $A={\bigcup }_n{A}_n$; then $m_A=\Vert F\Vert$. If a sigma-finite $B\subseteq \Omega \setminus A$ had $m_B=\beta >0$, functions supported on the disjoint sets $A,B$ have the direct-sum Lp norm. Optimizing their two scalar coefficients by Hölder's inequality, and using functions approaching the two restriction operator norms, would givea contradiction. Thus $F$ vanishes on functions supported outside $A$. The density on $A$, extended by zero, represents $F$ globally. The case $F=0$ simply uses $g=0$. This proves the stated Lp duality on an arbitrary measure space.

Finally let $X=L^p$ and let $\Phi \in X^{\ast \ast }$, where stars denote continuous dual spaces. Compose with $I_p$ to obtain the bounded linear functional $g\mapsto \Phi (I_{p}g)$ on $L^q$. Applying duality of Lp spaces with the exponents reversed gives $f\in L^p$ with $\Phi (I_{p}g)=\int fgd\mu$. For the canonical embedding into the bidual $J_{X}f$, its value on $I_{p}g$ is also $\int fgd\mu$. Since $I_p$ is onto, $\Phi =J_{X}f$. Its norm is $\Vert f{\Vert }_p$ by the same dual pairing norm identity. Therefore $\boxed{J_X(L^p)=(L^p{)}^{\ast \ast }}$, which proves that $L^p$ is a reflexive Banach space through its actual canonical embedding into the bidual.

Write $\mu =\mathbb{E}[X]$ and $A=\{X>\theta \mu \}$. The finite second moment implies a finite first moment, and nonnegativity with $\mathbb{E}[X^2]>0$ implies $\mu >0$. On $A^c$, one has $0\le X\le \theta \mu$. ThereforeSubtract this from $\mathbb{E}[X]=\mu$ to obtain the truncated first moment bound:The indicator function uses the strict event specified in the question; any mass at the threshold belongs to $A^c$.

The Radon-Nikodym theorem for positive measures says: if $\mu$ and $\nu$ are sigma-finite measures on the same measurable space, and $\nu$ is absolutely continuous with respect to $\mu$, then there is a nonnegative measurable function $g$, unique $\mu$-almost everywhere, such thatHere sigma-finiteness means that the space is a countable union of measurable sets of finite measure; absolute continuity of measures, written $\nu \ll \mu$, means that $\mu (E)=0$ implies $\nu (E)=0$. The function $g=d\nu /d\mu$ is the Radon-Nikodym derivative. For a finite signed or complex measure $\nu$ of finite total variation norm of a measure, absolutely continuous with respect to a sigma-finite $\mu$, the corresponding density belongs to $L^1(\mu )$. This follows by applying the positive theorem to the positive and negative parts of the real and imaginary parts of $\nu$.

For every measure space and $1<p<\infty$, $(L^p{)}^{\ast }$ is isometrically $L^q$, where $1/p+1/q=1$. We use the complex-linear pairingWith the convention $\int h\overline{g}$, the same identification is conjugate-linear in $g$. By Hölder's inequality, ${\Phi }_g$ is a bounded linear functional with $\Vert {\Phi }_g\Vert \le \Vert g{\Vert }_q$. If $g\ne 0$, setinterpreting the numerator as zero where $g=0$. The identity $(q-1)p=q$ gives $\Vert h{\Vert }_p=1$ and ${\Phi }_g(h)=\Vert g{\Vert }_q$. ThusIt remains to represent an arbitrary $\Phi \in (L^p{)}^{\ast }$, rather than merely produce functionals from $L^q$.