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Project-declaredLean 4.33.0-rc1 · mathlib@0434c033

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 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

Canonical source
Full Lean sourceLean 4
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 : 0 =>        ⨆ k, eLpNorm ({ω | c < ‖X k ω‖₊}.indicator (X k)) 1 μ) atTop (𝓝 0) := by  let tail : 0  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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Plain-language statement

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probabilitystochastic processesmeasure theory

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Person-level attribution pending.

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Project-declaredLean 4.33.0-rc1

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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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