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) XFormal artifact
Lean source
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
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.
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.