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Mathematical Foundations for Quant Finance
0 of 256 lessons
    1. PG1.1 Statements and truth valuesProof · 25 min
    2. PG1.2 Implication, converse and contrapositiveProof · 30 min
    3. PG1.3 Quantifiers: for every and there existsProof · 30 min
    4. PG1.4 Negating a statementProof · 30 min
    5. PG1.5 Stage review: for every ε there exists δProof · 35 min
Proof Gym overview →

Proof Gym PG1 Logic and language Lesson 5 of 5

ProofLesson PG1.5 in the Proof Gym, stage PG1: Logic and language. About 35 minutes.

Stage review: for every ε there exists δ

Simulate

Check the claim with numbers

Lesson 2.1.1 said that lim⁡x→af(x)=L\lim_{x \to a} f(x) = L means f(x)f(x) gets as close to LL as you like once xx is close enough to aa. This stage review turns that sentence into quantifiers and proves things with it. Take f(x)=3x−1f(x) = 3x - 1 near x=2x = 2, where f(2)=5f(2) = 5.

"As close as you like" is a tolerance ε>0\varepsilon > 0 (epsilon), and "close enough" is a distance δ>0\delta > 0 (delta). For each ε\varepsilon the cell tries two choices of δ\delta. For each choice it finds the largest gap ∣f(x)−5∣|f(x) - 5| over 999 points strictly within δ\delta of 2.

⌘/Ctrl + Enter runs the cell

With δ=ε\delta = \varepsilon the largest gap is about 3ε3\varepsilon: 2.994 for ε=1\varepsilon = 1. With δ=ε/3\delta = \varepsilon / 3 it stays below ε\varepsilon every time: 0.998 for ε=1\varepsilon = 1. So a good δ\delta exists for each ε\varepsilon tried, and it depends on ε\varepsilon.

Conjecture

For every ε>0\varepsilon > 0 there is a δ>0\delta > 0 such that, for every real xx,

∣x−2∣<δ⇒ ∣(3x−1)−5∣<ε\begin{gathered} |x - 2| < \delta \\ \Rightarrow \ |(3x - 1) - 5| < \varepsilon \end{gathered}

Three tolerances worked, but the claim is about every ε>0\varepsilon > 0, and every xx within δ\delta of 2. The proof must handle any ε\varepsilon at all.

Reading the statement

The statement uses everything in this stage: two quantifiers in order (lesson PG1.3), an implication (lesson PG1.2), and absolute values as distances (lesson 0.3.3). Read it as a game with three moves, played left to right.

Rule: For every ε there exists δ

∀ε>0, ∃ δ>0:∀x,∣x−a∣<δ⇒∣f(x)−L∣<ε\begin{gathered} \forall \varepsilon > 0,\ \exists\, \delta > 0 : \forall x, \\ |x - a| < \delta \Rightarrow |f(x) - L| < \varepsilon \end{gathered}

A challenger names any tolerance ε>0\varepsilon > 0. You answer with a distance δ>0\delta > 0, which may depend on ε\varepsilon. Then the challenger picks any xx within δ\delta of aa, and f(x)f(x) must be within ε\varepsilon of LL.

So a proof follows the moves. It starts "let ε>0\varepsilon > 0", with nothing else assumed about ε\varepsilon. It then names δ\delta as a formula in ε\varepsilon, takes any xx with ∣x−a∣<δ|x - a| < \delta, and shows ∣f(x)−L∣<ε|f(x) - L| < \varepsilon.

Stage PG4 takes this sentence, with x=ax = a itself left out, as the definition of a limit. Here it is practice in reading and proving quantified statements.

Format 4

Write it

Prove the conjecture: for every ε>0\varepsilon > 0 there is a δ>0\delta > 0 such that ∣x−2∣<δ|x - 2| < \delta implies ∣(3x−1)−5∣<ε|(3x - 1) - 5| < \varepsilon for every real xx.

Saved in this browser as you type.

Write your own first: a proof you have tried to write teaches far more than one you only read.

Simulate

A function that jumps

Now a function where the game is lost. The step function HH gives H(x)=0H(x) = 0 for x<0x < 0 and H(x)=1H(x) = 1 for x≥0x \ge 0, so H(0)=1H(0) = 1. Near 0, does H(x)H(x) stay close to H(0)H(0)? For each δ\delta the cell tries the point x=−δ/2x = -\delta / 2, halfway to the left edge.

⌘/Ctrl + Enter runs the cell

Every δ\delta tried has a point within δ\delta of 0 whose gap is 1. So none of them meets a tolerance such as ε=12\varepsilon = \tfrac{1}{2}, and making δ\delta smaller does not help.

Conjecture

For the step function HH, the statement

∀ε>0, ∃ δ>0:∀x,∣x∣<δ⇒ ∣H(x)−H(0)∣<ε\begin{gathered} \forall \varepsilon > 0,\ \exists\, \delta > 0 : \forall x, \\ |x| < \delta \\ \Rightarrow \ |H(x) - H(0)| < \varepsilon \end{gathered}

is false.

Three values of δ\delta failed. To show that every δ>0\delta > 0 fails, prove the negation of the statement.

Format 4

Write it

Write the negation of the statement, using the rules of lesson PG1.4. Then prove the negation, which shows that the statement is false.

Saved in this browser as you type.

Write your own first: a proof you have tried to write teaches far more than one you only read.

In the language of lesson 2.1.2, the step function has a jump at 0, so it is not continuous there. Stage PG4 proves limits from this definition.

Summary card

  • "For every ε>0\varepsilon > 0 there is a δ>0\delta > 0 such that, for every xx, ∣x−a∣<δ⇒∣f(x)−L∣<ε|x - a| < \delta \Rightarrow |f(x) - L| < \varepsilon" is a game: ε\varepsilon first, then δ\delta, then xx.
  • To prove it: let ε>0\varepsilon > 0, name δ\delta from ε\varepsilon, take any xx with ∣x−a∣<δ|x - a| < \delta, and show ∣f(x)−L∣<ε|f(x) - L| < \varepsilon.
  • For f(x)=3x−1f(x) = 3x - 1 at 2, δ=ε/3\delta = \varepsilon / 3 works, because ∣f(x)−5∣=3∣x−2∣|f(x) - 5| = 3|x - 2|.
  • To disprove it: prove the negation. Find one ε\varepsilon such that every δ\delta has an xx with ∣x−a∣<δ|x - a| < \delta and ∣f(x)−L∣≥ε|f(x) - L| \ge \varepsilon.

Free further reading

Optional. This lesson covers what you need; these add more examples and practice. All are free to read.