Pricing Perspective: Formalization Blueprint

1.3 Transfer from observable characteristics

Definition 11 Randomized bi-Lipschitz pushforward

The exposure law is generated from an observable characteristic law by one common stochastic map with bounded slack:

\[ B_i=T(X_i,U_i)=t(X_i)+\delta _i(X_i,U_i),\qquad X_i\sim C_i,\qquad \lVert \delta _i(X_i,U_i)\rVert \le \tau _i, \]

with the common carrier \(t\) bi-Lipschitz, \(\ell \, d(x,y)\le \lVert t(x)-t(y)\rVert \le L\, d(x,y)\) for \(0{\lt}\ell \le L\). The constants \(L\), \(\ell \), and the slack radii \(\tau _i\) are maintained modelling restrictions, not quantities the observed distances identify or the empirical design estimates.

Theorem 12 Upper transport transfer under slack

Under the upper Lipschitz bound and bounded per-endpoint slack, the optimized squared exposure transport cost of two finitely supported clouds is at most \(L^2\) times the optimized squared characteristic cost, plus a slack term carrying the maintained support diameter.

Proof

Push the certificate coupling of the characteristic clouds through \(T\), bound the resulting cost pointwise, and absorb the slack endpoints.

Theorem 13 Lower transport transfer under slack

Under a positive lower Lipschitz constant and bounded per-endpoint slack, the optimized squared exposure transport cost is at least \(\ell ^{-2}\) times the optimized squared characteristic cost, less a slack term carrying the maintained support diameter.

Proof

Symmetric to the upper direction, using injectivity of \(T\) supplied by the lower bound.

Corollary 14 Metric-level bracket

At the level of the metric rather than the squared optimized cost, the slack enters additively and no support diameter appears:

\[ \ell ^{-1}W_2(C_i,C_j)-(\tau _i+\tau _j) \le W_{2,\Gamma }(P_i,P_j) \le L\, W_2(C_i,C_j)+(\tau _i+\tau _j). \]

This sharper form is what the empirical diagnostic uses.

The upper direction is machine-checked directly at this level: two synchronous-coupling legs bound the slack, one contraction leg carries the transmitted laws, and the \(\mathcal P_2(\mathcal H)\) triangle inequality chains them. The lower direction still needs the reverse Lipschitz half, which supplies injectivity of \(T_\Gamma \) on its image, and remains a prose result. The node keeps notready because it asserts both directions.

Corollary 15 Covariance bracket the diagnostic tests

Substituting the metric bracket into the envelope brackets \(\kappa ^{\max }_{ij}\) in observable characteristic distances and the maintained \((L,\ell ,\tau )\). Coverage of this bracket, and the share of unresolved dyads, is the primary reported diagnostic.