Content of present website is being moved to www.lukoe.com/finance . Registration of www.opentradingsystem.com will be discontinued on 2020-08-14.
 I. Basic math.
 II. Pricing and Hedging.
 III. Explicit techniques.
 IV. Data Analysis.
 V. Implementation tools.
 VI. Basic Math II.
 VII. Implementation tools II.
 1 Calculational Linear Algebra.
 2 Wavelet Analysis.
 3 Finite element method.
 4 Construction of approximation spaces.
 A. Finite element.
 B. Averaged Taylor polynomial.
 C. Stable space splittings.
 D. Frames.
 E. Tensor product splitting.
 F. Sparse tensor product. Cure for curse of dimensionality.
 a. Definition of sparse tensor product.
 b. Wavelet estimates in Sobolev spaces.
 c. Stability of wavelet splitting.
 d. Stable splitting for tensor product of Sobolev spaces.
 e. Approximation by sparse tensor product.
 5 Time discretization.
 6 Variational inequalities.
 VIII. Bibliography
 Notation. Index. Contents.

## Stability of wavelet splitting.

roposition

(Stability of wavelet splitting 1) Assume the condition ( Sparse tensor product setup ). Then for any , and a decomposition we have for . The first inequality holds for .

Remark

The above formulation is suboptimal. The result actually takes place for . The original sources contain a generic result. However, such sources are out of print and out of stock in online book stores. The below proof is a quick fix for the present special case.

Proof

We estimate and apply the proposition ( Bernstein inequality for wavelets ), recalling Therefore, we obtain the first part of inequality . To obtain the second part of we apply the proposition ( Jackson inequality for wavelets 2 ): We would like to conclude To prove such inequality we assume the alternative and find a contradiction. The contrary statement is the following: there exists a sequence s.t. and Note that where the has compact support. Hence, even in only a finite number of terms is not orthogonal and such finite number is independent of . Thus, it suffices to disprove We take a subsequence of converging to a weak limit (see the proposition ( Weak compactness of bounded set )) and arrive to the task of disproving existence of such that the decomposition has divergent series The sum is finite and has terms.

According to the proposition ( Bernstein inequality for wavelets ) and according to the formulas ( Property of scale and transport 2 ) and ( Property of scale and transport 3 ) The estimate for the terms was established in the proposition ( Vanishing moments vs approximation ): Therefore and we have a convergence guarantee for the series for .

 Notation. Index. Contents.