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1 Markets I: The Ecosystem and Exchange-Traded Marketsবাজার অনলাইনইংরেজি 2 Markets II: Rates, FX and Creditবাজার অনলাইনইংরেজি 3 Markets III: Commodities, Energy and Cryptoবাজার অনলাইনইংরেজি 4 Quantitative Methodsপদ্ধতি অনলাইনইংরেজি 5 Derivatives and Volatilityডেরিভেটিভস অনলাইনইংরেজি 6 Rates, Credit, XVA and Riskসুদহার, ঋণ ও ঝুঁকি অনলাইনইংরেজি 7 Research Craft: Predictors, Backtests, Measurement, Portfoliosগবেষণা অনলাইনইংরেজি 8 Strategies I: Equities and Futuresকৌশল অনলাইনইংরেজি 9 Strategies II: Volatility, Relative Value, Macro and the Bank Desksকৌশল অনলাইনইংরেজি 10 Microstructure and Executionএক্সিকিউশন অনলাইনইংরেজি 11 Market Making and High-Frequency Tradingমার্কেট মেকিং অনলাইনইংরেজি 12 Machine Learning for Marketsমেশিন লার্নিং অনলাইনইংরেজি 13 Low-Latency Softwareপ্রযুক্তি অনলাইনইংরেজি 14 Networks, Hardware and Trading Infrastructureপ্রযুক্তি অনলাইনইংরেজি 15 Research, Data and Risk Platformsপ্রযুক্তি অনলাইনইংরেজি 16 The Desk and the Firmপ্রতিষ্ঠান অনলাইনইংরেজি 17 The Industry: Firms, Roles and Careersক্যারিয়ার অনলাইনইংরেজি 18 Interviews I: Maths, Probability and Speedক্যারিয়ার অনলাইনইংরেজি 19 Interviews II: Markets, Trading Games and the Final Roundক্যারিয়ার অনলাইনইংরেজি 20 Interviews III: Codeক্যারিয়ার অনলাইনইংরেজি
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Matemática · পরিভাষা

Aproximações da identidade কী?

Definição 12.8 Matemática universitária — Graduação 3 · অধ্যায় 12 — Os espaços Lp

A função

ρ(x)={c exp⁡(−11−∥x∥2)∥x∥<1,0∥x∥≥1,\rho(x) = \begin{cases} c\,\exp\Bigl(-\dfrac{1}{1 - \norm x^2}\Bigr) & \norm x < 1,\\ 0 & \norm x \geq 1, \end{cases}

com cc normalizando ∫ρ=1\int\rho = 1, é C∞\mathcal C^\infty em Rd\R^d: o ponto é que t↦e−1/t1t>0t \mapsto \eu^{-1/t}\mathbf 1_{t>0} é C∞\mathcal C^\infty em R\R, com todas as derivadas em 0+0^+ iguais a 00 (cada derivada é P(1/t)e−1/tP(1/t)\eu^{-1/t} para um polinômio PP, e isso tende a 00; indução). Para ε>0\varepsilon > 0, ponha ρε(x)=ε−dρ(x/ε)\rho_\varepsilon(x) = \varepsilon^{-d}\rho(x/\varepsilon): com suporte em Bˉ(0,ε)\bar B(0, \varepsilon) e ainda de integral 11.

উদাহরণ

Exemplo 12.10 (Regularizando ∣x∣\abs x, com taxas)

Tome f(x)=∣x∣f(x) = \abs x em R\R (localmente L1L^1; o teorema se aplica em toda janela limitada) e uma aproximação da identidade simétrica ρε\rho_\varepsilon. Então

fε(x)=(f∗ρε)(x)=∫∣x−y∣ ρε(y)  ⁣dyf_\varepsilon(x) = (f * \rho_\varepsilon)(x) = \int\abs{x - y}\,\rho_\varepsilon(y)\,\dd y

é C∞\mathcal C^\infty; longe do bico, nada acontece: para ∣x∣≥ε\abs x \geq \varepsilon, ∣x−y∣\abs{x - y} é linear em xx no suporte de ρε\rho_\varepsilon, de modo que fε(x)=∣x∣f_\varepsilon(x) = \abs x exatamente (a simetria mata a correção). Perto de 00, a suavização custa precisamente

0≤fε(0)=∫∣y∣ ρε(y)  ⁣dy≤ε,∥fε−f∥∞≤ε:0 \leq f_\varepsilon(0) = \int\abs y\,\rho_\varepsilon(y)\,\dd y \leq \varepsilon, \qquad \norm{f_\varepsilon - f}_\infty \leq \varepsilon :

o erro de aproximação fica confinado à vizinhança de raio ε\varepsilon da singularidade e é da ordem dela. Enquanto isso, fε′′≥0f_\varepsilon'' \geq 0 em toda parte (ff é convexa, e a convolução com ρε≥0\rho_\varepsilon \geq 0 preserva a convexidade), com ∫fε′′=fε′(∞)−fε′(−∞)=2\int f_\varepsilon'' = f_\varepsilon'(\infty) - f_\varepsilon'(-\infty) = 2: a segunda derivada é uma onda de massa 22 espremida em largura O(ε)O(\varepsilon), de modo que ∥fε′′∥∞≳ε−1\norm{f_\varepsilon''}_\infty \gtrsim \varepsilon^{-1}. Suavizar é uma troca: erro uniforme O(ε)O(\varepsilon) contra explosão da derivada O(ε−1)O(\varepsilon^{-1}) — exatamente a taxa de câmbio que a análise quantitativa (desigualdades de interpolação, o círculo de ideias do Problema 12.1) formaliza.

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