Measure Theory Submartingale tau Mesh lt top eq lt predictable Seq Top
MeasureTheory.Submartingale.tauMesh_lt_top_eq_lt_predictableSeqTop
Plain-language statement
{τₙ(c) < 1} = {c < Aⁿ₁}.
Exact Lean statement
lemma MeasureTheory.Submartingale.tauMesh_lt_top_eq_lt_predictableSeqTop {ι Ω : Type*}
[TopologicalSpace ι] [SecondCountableTopology ι] [LinearOrder ι] [OrderBot ι] [OrderTop ι]
{mΩ : MeasurableSpace Ω} {P : Measure Ω} {S : ι → Ω → ℝ} {𝓕 : Filtration ι mΩ}
(hs : Submartingale S 𝓕 P) (n : ℕ) {c : ℝ} (hc : 0 ≤ c) :
{ω | tauMesh S 𝓕 P n c ω < (⊤ : mesh ι n)} =ᵐ[P] {ω | c < predictableSeqTop S 𝓕 P n ω}Formal artifact
Lean source
lemma MeasureTheory.Submartingale.tauMesh_lt_top_eq_lt_predictableSeqTop {ι Ω : Type*} [TopologicalSpace ι] [SecondCountableTopology ι] [LinearOrder ι] [OrderBot ι] [OrderTop ι] {mΩ : MeasurableSpace Ω} {P : Measure Ω} {S : ι → Ω → ℝ} {𝓕 : Filtration ι mΩ} (hs : Submartingale S 𝓕 P) (n : ℕ) {c : ℝ} (hc : 0 ≤ c) : {ω | tauMesh S 𝓕 P n c ω < (⊤ : mesh ι n)} =ᵐ[P] {ω | c < predictableSeqTop S 𝓕 P n ω} := by refine eventuallyEq_set.2 ?_ have hs_mesh : Submartingale (S ∘ Subtype.val) (meshFiltration 𝓕 n) P := hs.indexComap (Subtype.mono_coe (SetLike.coe (mesh ι n))) filter_upwards [hs_mesh.monotone_predictablePart_ae] with ω hmono let A : mesh ι n → Ω → ℝ := _root_.predictablePart (S ∘ Subtype.val) (meshFiltration 𝓕 n) P by_cases htop_bot : (⊤ : mesh ι n) = ⊥ · simp [tauMesh, predictableSeqTop, htop_bot, hc] · refine ⟨fun hω => ?_, fun htop_gt => ?_⟩ · simp_all only [tauMesh, WithTop.coe_lt_coe, Std.le_refl, hittingBtwn_lt_iff, Set.Ico_bot, Set.mem_Iio, Set.mem_Ioi, predictableSeqTop] obtain ⟨j, _, hj⟩ := hω exact lt_of_lt_of_le hj (hmono le_top) · have hnot_min : ¬ IsMin (⊤ : mesh ι n) := by simpa [isMin_iff_eq_bot] using htop_bot have hmem : A (succ (pred ⊤)) ω ∈ Set.Ioi c := by simpa [A, succ_pred_of_not_isMin hnot_min, predictableSeqTop] using htop_gt have hhit : hittingBtwn (fun (t : mesh ι n) ω ↦ A (succ t) ω) (Set.Ioi c) ⊥ ⊤ ω < ⊤ := by rw [hittingBtwn_lt_iff ⊤ le_rfl] exact ⟨pred ⊤, ⟨bot_le, (pred_lt_iff_ne_bot).2 htop_bot⟩, hmem⟩ simpa [tauMesh, A] using hhit- Project
- Brownian motion
- License
- Apache-2.0
- Commit
- 5077304f5e73
- Source
- BrownianMotion/StochasticIntegral/DoobMeyer.lean:400-423
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Related declarations
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Plain-language statement
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Source project: Brownian motion
Person-level attribution pending.
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Plain-language statement
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Source project: Brownian motion
Person-level attribution pending.
Dense comap val nhds Within Ioi ne Bot
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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.
Source project: Brownian motion
Person-level attribution pending.