Has Indep Increments is Gaussian Process
ProbabilityTheory.HasIndepIncrements.isGaussianProcess
Plain-language statement
A stochastic process X with independent increments and such that X t is gaussian for all t is a Gaussian process.
Exact Lean statement
lemma HasIndepIncrements.isGaussianProcess [LinearOrder T] [OrderBot T]
[NormedAddCommGroup E] [NormedSpace ℝ E] [MeasurableSpace E] [BorelSpace E]
[SecondCountableTopology E] [CompleteSpace E]
{X : T → Ω → E} (law : ∀ t, HasGaussianLaw (X t) P) (h_bot : ∀ᵐ ω ∂P, X ⊥ ω = 0)
(incr : HasIndepIncrements X P) :
IsGaussianProcess X P where
hasGaussianLaw IFormal artifact
Lean source
lemma HasIndepIncrements.isGaussianProcess [LinearOrder T] [OrderBot T] [NormedAddCommGroup E] [NormedSpace ℝ E] [MeasurableSpace E] [BorelSpace E] [SecondCountableTopology E] [CompleteSpace E] {X : T → Ω → E} (law : ∀ t, HasGaussianLaw (X t) P) (h_bot : ∀ᵐ ω ∂P, X ⊥ ω = 0) (incr : HasIndepIncrements X P) : IsGaussianProcess X P where hasGaussianLaw I := by have := (law ⊥).isProbabilityMeasure obtain rfl | hI := I.eq_empty_or_nonempty · constructor have : P.map (fun ω ↦ Finset.restrict ∅ fun x ↦ X x ω) = .dirac Classical.ofNonempty := by ext s - apply Subsingleton.set_cases (p := fun s ↦ Measure.map _ _ s = _) · simp simp only [measure_univ] exact @measure_univ _ _ _ (Measure.isProbabilityMeasure_map (aemeasurable_pi_lambda _ fun _ ↦ (law _).aemeasurable)) rw [this] infer_instance have := incrementsToRestrict_increments_ofFin'_ae_eq_restrict ℝ h_bot I refine @HasGaussianLaw.congr _ _ _ _ _ _ _ _ _ _ ?_ this.symm refine HasGaussianLaw.map ?_ _ exact (incr _ _ (monotone_ofFin' I)).hasGaussianLaw fun i ↦ incr.indepFun_eval_sub bot_le (monotone_ofFin' I (Fin.castSucc_le_succ i)) h_bot |>.hasGaussianLaw_sub_of_sub (law _) (law _)- Project
- Brownian motion
- License
- Apache-2.0
- Commit
- 5077304f5e73
- Source
- BrownianMotion/Gaussian/BrownianMotion.lean:144-169
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Source project: Brownian motion
Person-level attribution pending.
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Plain-language statement
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Source project: Brownian motion
Person-level attribution pending.
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Project documentation
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Source project: Brownian motion
Person-level attribution pending.