Is $K_{n-1}$ a $\Sigma_{n-1}$ elementary substruture of $K_n$?
Let $M$ be any non-standard model of PA.
$K_n$ is define to be the set of $\Sigma_n$-definable elements of $M$.
I have a feeling the statement is true, I try proving by induction, but I keep getting stuck in the induction step.
Any help or insight is appreicated.
Cheers.
The answer, perhaps surprisingly, is no.
We begin by calculating $K_n^M$ in the simplest case:
Proof. Obviously $K_n^M\supseteq\mathcal{N}_M$. Suppose $p\in K_n^M$. Then for some $\Sigma_n$ formula $\varphi(x)$, we have
$M\models\varphi(p)$, and
For each $q\in M$, if $q\not=p$ then $M\models\neg\varphi(p)$.
Since $\varphi$ is $\Sigma_n$, the sentence $\psi\equiv\exists x\varphi(x)$ is $\Sigma_n$; since $Th_n(M)=Th_n(\mathcal{N})$, we have $\mathcal{N}\models\psi$. Letting $m\in\mathcal{N}$ witness $\psi$ we have $M\models\varphi(m^M)$ since $Th_n(M)=Th_n(\mathcal{N})$ and every standard natural number is $\Sigma_0$-definable (here "$m^M$" is the element of $\mathcal{N}^M$ corresponding to $m$). Putting this together gives $p=m\in \mathcal{N}^M$. $\quad\Box$
Now here's how we build counterexamples to your claim. Fix $n$, and let $M$ be a model of PA such that $Th_n(M)=Th_n(\mathcal{N})$ but $Th_{k}(M)\not=Th_{k}(\mathcal{N})$ for some $k>n$. We have $K_n^M=\mathcal{N}^M$, but $Th_{k}(\mathcal{N}^M)\not=Th_{k}(M)$. So such a model gives a counterexample to the claim.
How do we know such a model exists? There are several ways. My personal favorite is to note that for each $n$, $\Sigma_n$ truth in $\mathcal{N}$ is definable; now use Tarski's theorem to conclude that the deductive closure of $Th_n(\mathcal{N})$ isn't complete, for any $n$.
Incidentally, based off the idea above, the following is a good exercise: