Is Locally Square Integrable is Local Submartingale sq norm
ProbabilityTheory.IsLocallySquareIntegrable.isLocalSubmartingale_sq_norm
Plain-language statement
A locally square-integrable martingale has locally submartingale squared norm.
Exact Lean statement
lemma IsLocallySquareIntegrable.isLocalSubmartingale_sq_norm
[OrderBot ι] [OrderTopology ι] [CompleteSpace E]
(hX : IsLocallySquareIntegrable X 𝓕 P) :
IsLocalSubmartingale (fun t ω ↦ ‖X t ω‖ ^ 2) 𝓕 PFormal artifact
Lean source
lemma IsLocallySquareIntegrable.isLocalSubmartingale_sq_norm [OrderBot ι] [OrderTopology ι] [CompleteSpace E] (hX : IsLocallySquareIntegrable X 𝓕 P) : IsLocalSubmartingale (fun t ω ↦ ‖X t ω‖ ^ 2) 𝓕 P := by have h_stopped_sq_norm {τ : Ω → WithTop ι} : stoppedProcess (fun t ↦ {ω | ⊥ < τ ω}.indicator (fun ω ↦ ‖X t ω‖ ^ 2)) τ = fun t ω ↦ ‖stoppedProcess (fun t ↦ {ω | ⊥ < τ ω}.indicator (X t)) τ t ω‖ ^ 2 := by ext t ω by_cases hτ : ⊥ < τ ω <;> simp [stoppedProcess, hτ] unfold IsLocalSubmartingale change Locally (fun Y : ι → Ω → ℝ ↦ Submartingale Y 𝓕 P ∧ ∀ ω, IsCadlag (Y · ω)) 𝓕 (fun t ω ↦ ‖X t ω‖ ^ 2) P refine ⟨hX.localSeq, hX.isLocalizingSequence_localSeq, fun n ↦ ?_⟩ have hXn := hX.stoppedProcess_localSeq n constructor · simpa [h_stopped_sq_norm] using hXn.submartingale_sq_norm · intro ω simpa [h_stopped_sq_norm] using IsCadlag.norm_sq (hXn.cadlag ω)- Project
- Brownian motion
- License
- Apache-2.0
- Commit
- 5077304f5e73
- Source
- BrownianMotion/StochasticIntegral/SquareIntegrable.lean:241-258
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Related declarations
Continuous Within At Iio indicator Ioc
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Plain-language statement
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Source project: Brownian motion
Person-level attribution pending.
Dense comap val nhds Within Iio ne Bot
Dense.comap_val_nhdsWithin_Iio_neBot
Plain-language statement
This is the dual of Dense.comap_val_nhdsWithin_Ioi_neBot.
Source project: Brownian motion
Person-level attribution pending.
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.
Source project: Brownian motion
Person-level attribution pending.