Uniform Integrable iff tendsto i Sup e Lp Norm indicator norm
MeasureTheory.uniformIntegrable_iff_tendsto_iSup_eLpNorm_indicator_norm
Plain-language statement
A family of random variables is uniformly integrable iff its L¹ tails above c tend to zero uniformly in the index.
Exact Lean statement
lemma uniformIntegrable_iff_tendsto_iSup_eLpNorm_indicator_norm [IsFiniteMeasure μ]
[NormedAddCommGroup E] {X : κ → Ω → E} (hX : ∀ k, AEStronglyMeasurable (X k) μ) :
UniformIntegrable X 1 μ ↔
Tendsto (fun c : ℝ≥0 =>
⨆ k, eLpNorm ({ω | c < ‖X k ω‖₊}.indicator (X k)) 1 μ) atTop (𝓝 0)Formal artifact
Lean source
lemma uniformIntegrable_iff_tendsto_iSup_eLpNorm_indicator_norm [IsFiniteMeasure μ] [NormedAddCommGroup E] {X : κ → Ω → E} (hX : ∀ k, AEStronglyMeasurable (X k) μ) : UniformIntegrable X 1 μ ↔ Tendsto (fun c : ℝ≥0 => ⨆ k, eLpNorm ({ω | c < ‖X k ω‖₊}.indicator (X k)) 1 μ) atTop (𝓝 0) := by let tail : ℝ≥0 → ℝ≥0∞ := fun c ↦ ⨆ i : κ, eLpNorm ({ω | c < ‖X i ω‖₊}.indicator (X i)) 1 μ -- We first show that this tail function is antitone so that convergence at `atTop` can be checked -- by `ENNReal.tendsto_atTop_zero_iff_le_of_antitone htail_mono`. have htail_anti : Antitone tail := by refine fun c d hcd => iSup_mono fun k => eLpNorm_mono_enorm fun ω => ?_ by_cases hω : d < ‖X k ω‖₊ · simp [hω, hcd.trans_lt hω] · simp [hω] rw [uniformIntegrable_iff' (refl 1) ENNReal.one_ne_top] refine ⟨fun ⟨_, htail⟩ => ?_, fun htail => ⟨hX, fun ε hε => ?_⟩⟩ · refine (ENNReal.tendsto_atTop_zero_iff_le_of_antitone htail_anti).2 fun ε hε => ?_ by_cases hε_top : ε = ∞ · exact ⟨0, by simp [hε_top]⟩ · have hε_real_pos : 0 < ε.toReal := ENNReal.toReal_pos hε.ne' hε_top obtain ⟨C, hC⟩ := htail ε.toReal hε_real_pos exact ⟨C, iSup_le_iff.2 fun i => (hC i).trans_eq (ENNReal.ofReal_toReal hε_top)⟩ · rw [ENNReal.tendsto_atTop_zero_iff_le_of_antitone htail_anti] at htail obtain ⟨C, hC⟩ := htail (ENNReal.ofReal ε) (ENNReal.ofReal_pos.2 hε) exact ⟨C, fun i => (le_iSup _ i).trans hC⟩- Project
- Brownian motion
- License
- Apache-2.0
- Commit
- 5077304f5e73
- Source
- BrownianMotion/StochasticIntegral/UniformIntegrable.lean:49-72
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Project documentation
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Person-level attribution pending.