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Project-declaredLean 4.33.0-rc1 · mathlib@0434c033

Measure Theory Is Strongly Progressive has Strongly Measurable Sup Process

MeasureTheory.IsStronglyProgressive.hasStronglyMeasurableSupProcess

Plain-language statement

If the filtration satisfies the usual conditions, every progressively measurable process has a strongly measurable sup process.

Exact Lean statement

lemma _root_.MeasureTheory.IsStronglyProgressive.hasStronglyMeasurableSupProcess {ι : Type*}
    [MeasurableSpace ι] [ConditionallyCompleteLinearOrder ι]
    [OrderBot ι] [TopologicalSpace ι] [OrderTopology ι] [PolishSpace ι] [BorelSpace ι]
    {X : ι → Ω → E} (P : Measure Ω) [IsFiniteMeasure P]
    {𝓕 : Filtration ι mΩ} [𝓕.IsComplete P] [𝓕.IsRightContinuous]
    (hX_prog : IsStronglyProgressive 𝓕 X) :
    HasStronglyMeasurableSupProcess (mΩ := mΩ) X

Formal artifact

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Canonical source
Full Lean sourceLean 4
lemma _root_.MeasureTheory.IsStronglyProgressive.hasStronglyMeasurableSupProcess {ι : Type*}    [MeasurableSpace ι] [ConditionallyCompleteLinearOrder ι]    [OrderBot ι] [TopologicalSpace ι] [OrderTopology ι] [PolishSpace ι] [BorelSpace ι]    {X : ι  Ω  E} (P : Measure Ω) [IsFiniteMeasure P]    {𝓕 : Filtration ι mΩ} [𝓕.IsComplete P] [𝓕.IsRightContinuous]    (hX_prog : IsStronglyProgressive 𝓕 X) :    HasStronglyMeasurableSupProcess (mΩ := mΩ) X := by  refine Measurable.stronglyMeasurable ?_ -- todo: change the def to use measurable  refine measurable_of_Ioi fun a  ?_  by_cases ha_top : a =  · simp [ha_top]  let τ a := leastGT (fun t ω  ‖X t ω‖) a  have hτ a : IsStoppingTime 𝓕 (τ a) := isStoppingTime_leastGT P hX_prog.norm _  have : ((fun tω : ι × Ω  ⨆ s  tω.1, ‖X s tω.2‖ₑ) ⁻¹' Set.Ioi a)      = {tω | τ a.toReal tω.2 < tω.1} ∪ {tω | a < ‖X tω.1 tω.2‖ₑ} := by    calc ((fun tω : ι × Ω  ⨆ s  tω.1, ‖X s tω.2‖ₑ) ⁻¹' Set.Ioi a)    _ = {tω |  s  tω.1, a < ‖X s tω.2‖ₑ} := by ext t, ω; simp [lt_iSup_iff]    _ = {tω |  s < tω.1, a < ‖X s tω.2‖ₑ} ∪ {tω | a < ‖X tω.1 tω.2‖ₑ} := by ext; simp; grind    _ = {tω | τ a.toReal tω.2 < tω.1} ∪ {tω | a < ‖X tω.1 tω.2‖ₑ} := by      ext t, ω      simp only [Set.mem_union, Set.mem_ofPred_eq, τ]      rw [leastGT_lt_iff]      simp_rw [ toReal_enorm, ENNReal.toReal_lt_toReal ha_top enorm_ne_top]  rw [this]  refine (measurableSet_lt ?_ (by fun_prop)).union ?_  · exact (hτ a.toReal).measurable'.comp measurable_snd  · refine (measurableSet_Ioi (a := a)).preimage ?_    suffices Measurable (fun tω : ι × Ω  ‖X tω.1 tω.2‖) by      simp_rw [ ofReal_norm]      fun_prop    refine StronglyMeasurable.measurable ?_    exact ProgMeasurable.stronglyMeasurable_uncurry_of_isCountablyGenerated_atTop hX_prog.norm
Project
Brownian motion
License
Apache-2.0
Commit
5077304f5e73
Source
BrownianMotion/StochasticIntegral/ClassD.lean:414-445

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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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