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Project-declaredLean 4.33.0-rc1 · mathlib@0434c033

Is Stopping Time debut

MeasureTheory.isStoppingTime_debut

Plain-language statement

Debut Theorem: The debut of a progressively measurable set E is a stopping time.

Exact Lean statement

theorem isStoppingTime_debut [MeasurableSpace ι] [ConditionallyCompleteLinearOrder ι]
    [TopologicalSpace ι] [OrderTopology ι] [PolishSpace ι] [BorelSpace ι]
    (P : Measure Ω) [IsFiniteMeasure P]
    {𝓕 : Filtration ι mΩ} [𝓕.IsComplete P] [𝓕.IsRightContinuous]
    {E : Set (ι × Ω)} (hE : ProgMeasurableSet E 𝓕) (n : ι) :
    IsStoppingTime 𝓕 (debut E n)

Formal artifact

Lean source

Canonical source
Full Lean sourceLean 4
theorem isStoppingTime_debut [MeasurableSpace ι] [ConditionallyCompleteLinearOrder ι]    [TopologicalSpace ι] [OrderTopology ι] [PolishSpace ι] [BorelSpace ι]    (P : Measure Ω) [IsFiniteMeasure P]    {𝓕 : Filtration ι mΩ} [𝓕.IsComplete P] [𝓕.IsRightContinuous]    {E : Set (ι × Ω)} (hE : ProgMeasurableSet E 𝓕) (n : ι) :    IsStoppingTime 𝓕 (debut E n) := by  intro t  rcases lt_or_ge t n with htn | hnt  · convert MeasurableSet.empty    ext ω    simp only [Set.mem_ofPred_eq, Set.mem_empty_iff_false, iff_false, not_le]    refine (mod_cast htn : (t : WithTop ι) < n).trans_le ?_    exact le_debut ω  -- case on whether `t` is isolated on the right or not  by_cases ht_gt : (𝓝[>] t).NeBot  swap  -- if it's isolated then `{debut ≤} = {debut <} ∪ {(t, ω) ∈ E}`  · have h_eq : {ω | debut E n ω  t} = {ω | debut E n ω < t} ∪ {ω | (t, ω)  E} := by      ext ω      simp only [Set.mem_ofPred_eq, Set.mem_union]      rw [le_iff_lt_or_eq]      rcases lt_or_ge (debut E n ω) t with h_lt | h_ge      · simp [h_lt]      -- `⊢ debut E n ω = ↑t ↔ (t, ω) ∈ E`; use `𝓝[>] t = ⊥`      congr!      rw [debut_eq_iff_of_nhdsGT_eq_bot E hnt ?_ _ h_ge]      simpa using ht_gt    rw [h_eq]    exact (hE.measurableSet_debut_lt P n t).union (hE.measurableSet_preimage_prodMk P t)  -- now `t` is a limit point on the right  obtain s, hs_gt, hs_tendsto :  s :   ι, ( n, t < s n)  Tendsto s atTop (𝓝 t) := by    have h_freq : ᶠ x in 𝓝[>] t, t < x :=      Eventually.frequently <| eventually_nhdsWithin_of_forall fun _ hx  hx    have := exists_seq_forall_of_frequently h_freq    simp_rw [tendsto_nhdsWithin_iff] at this    obtain s, hs_tendsto, _, hs_gt := this    exact s, hs_gt, hs_tendsto  have h_exists_lt (u : ι) (hu : t < u) :  i, s i < u :=    Eventually.exists (f := atTop) (hs_tendsto.eventually_lt_const hu)  have h_exists_lt' (u : WithTop ι) (hu : t < u) :  i, s i < u := by    refine Eventually.exists (f := atTop) ?_    have hs_tendsto' : Tendsto (fun n  (s n : WithTop ι)) atTop (𝓝 (t : WithTop ι)) :=      WithTop.continuous_coe.continuousAt.tendsto.comp hs_tendsto    exact hs_tendsto'.eventually_lt_const hu  -- we write `{debut ≤ t}` as a countable intersection of `{debut < s n}`  have h_eq_iInter : {ω | debut E n ω  t} = ⋂ m, {ω | debut E n ω < s m} := by    ext ω    simp only [Set.mem_ofPred_eq, Set.mem_iInter]    refine fun h_le m  h_le.trans_lt (mod_cast (hs_gt m)), fun h_lt  ?_    refine le_of_forall_gt fun u hu  ?_    obtain i, hi :  i, s i < u := h_exists_lt' u hu    exact (h_lt i).trans hi  rw [h_eq_iInter]  have h_meas_lt m : MeasurableSet[𝓕 (s m)] {ω | debut E n ω < s m} :=    hE.measurableSet_debut_lt P n (s m)  have h𝓕_eq_iInf : 𝓕 t = ⨅ m, 𝓕 (s m) := by    have ht_cont : 𝓕 t = 𝓕.rightCont t := by      congr      exact Filtration.IsRightContinuous.eq.symm    rw [ht_cont, Filtration.rightCont_eq_of_neBot_nhdsGT]    refine le_antisymm ?_ ?_    · simp only [gt_iff_lt, le_iInf_iff]      exact fun i  iInf₂_le (s i) (hs_gt i)    · simp only [gt_iff_lt, le_iInf_iff]      intro i hti      obtain m, hm := h_exists_lt i hti      exact (iInf_le _ m).trans (𝓕.mono hm.le)  rw [h𝓕_eq_iInf]  simp only [MeasurableSpace.measurableSet_sInf, Set.mem_range, forall_exists_index,    forall_apply_eq_imp_iff]  intro k  have h_eq_k : ⋂ m, {ω | debut E n ω < s m} =      ⋂ (m) (hm : s m  s k), {ω | debut E n ω < s m} := by    ext x    simp only [Set.mem_iInter, Set.mem_ofPred_eq]    refine fun h m _  h m, fun h m  ?_    rcases le_total (s m) (s k) with hmk | hkm    · exact h m hmk    · exact (h k le_rfl).trans_le (mod_cast hkm)  rw [h_eq_k]  refine MeasurableSet.iInter fun m  MeasurableSet.iInter fun hm  ?_  exact 𝓕.mono hm _ (h_meas_lt m)
Project
Brownian motion
License
Apache-2.0
Commit
5077304f5e73
Source
BrownianMotion/Choquet/Debut.lean:446-527

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Plain-language statement

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probabilitystochastic processesmeasure theory

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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

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Person-level attribution pending.

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