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Project-declaredLean 4.33.0-rc1 · mathlib@0434c033

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 I

Formal artifact

Lean source

Canonical source
Full Lean sourceLean 4
lemma HasIndepIncrements.isGaussianProcess [LinearOrder T] [OrderBot T]    [NormedAddCommGroup E] [NormedSpace  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.restrictfun 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  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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Related declarations

Project-declaredLean 4.33.0-rc1

Continuous Within At Iio indicator Ioc

continuousWithinAt_Iio_indicator_Ioc

Plain-language statement

The indicator of a half-open interval Ioc a b with constant value c is left-continuous: when approached from the left it is eventually constant, so it is continuous within Iio t at t for every t.

probabilitystochastic processesmeasure theory

Source project: Brownian motion

Person-level attribution pending.

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Project-declaredLean 4.33.0-rc1

Dense comap val nhds Within Ioi ne Bot

Dense.comap_val_nhdsWithin_Ioi_neBot

Project documentation

This is an auxillary lemma used to prove Dense.monotone_of_isRightContinuous. It is saying that if D is a dense set and a, b are two points such that a < b, then the comap of 𝓝[Set.Ioi a] a under the inclusion D → α is nontrivial. Note that a < b is necessary as this is clearly not true if a is a top element.

probabilitystochastic processesmeasure theory

Source project: Brownian motion

Person-level attribution pending.

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