Predictable Convex Step left Continuous
predictableConvexStep_leftContinuous
Plain-language statement
predictableConvexStep is left-continuous in time.
Exact Lean statement
lemma predictableConvexStep_leftContinuous {ι Ω : Type*} [TopologicalSpace ι] [T1Space ι]
[SecondCountableTopology ι] [MeasurableSpace ι] [LinearOrder ι] [OrderBot ι] [OrderTop ι]
[ClosedIicTopology ι]
{mΩ : MeasurableSpace Ω} {P : Measure Ω} [IsFiniteMeasure P] {S : ι → Ω → ℝ}
{𝓕 : Filtration ι mΩ} (hd : ClassD S 𝓕 P) (hs : Submartingale S 𝓕 P) (n : ℕ) (ω : Ω) (t : ι) :
ContinuousWithinAt (fun s ↦ predictableConvexStep hd hs n s ω) (Set.Iio t) tFormal artifact
Lean source
lemma predictableConvexStep_leftContinuous {ι Ω : Type*} [TopologicalSpace ι] [T1Space ι] [SecondCountableTopology ι] [MeasurableSpace ι] [LinearOrder ι] [OrderBot ι] [OrderTop ι] [ClosedIicTopology ι] {mΩ : MeasurableSpace Ω} {P : Measure Ω} [IsFiniteMeasure P] {S : ι → Ω → ℝ} {𝓕 : Filtration ι mΩ} (hd : ClassD S 𝓕 P) (hs : Submartingale S 𝓕 P) (n : ℕ) (ω : Ω) (t : ι) : ContinuousWithinAt (fun s ↦ predictableConvexStep hd hs n s ω) (Set.Iio t) t := by have hrw : (fun s ↦ predictableConvexStep hd hs n s ω) = fun s ↦ ∑ m ∈ (weight hd hs n).weights.support, (weight hd hs n).weights m • predictableSeqStep P S 𝓕 m s ω := by funext s simp only [predictableConvexStep, Finsupp.sum, Finset.sum_apply, Pi.smul_apply] rw [hrw] exact tendsto_finsetSum _ fun m _ ↦ (predictableSeqStep_leftContinuous m ω t).fun_const_smul _- Project
- Brownian motion
- License
- Apache-2.0
- Commit
- 5077304f5e73
- Source
- BrownianMotion/StochasticIntegral/DoobMeyer.lean:1156-1168
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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.