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Project-declaredLean 4.33.0-rc1 · mathlib@0434c033

Predictable Seq Step left Continuous

predictableSeqStep_leftContinuous

Plain-language statement

The mesh step-extension of the discrete predictable part is left-continuous in time.

Exact Lean statement

lemma predictableSeqStep_leftContinuous {ι Ω : Type*} [TopologicalSpace ι]
    [SecondCountableTopology ι] [LinearOrder ι] [OrderBot ι] [OrderTop ι]
    [ClosedIicTopology ι]
    {mΩ : MeasurableSpace Ω} {P : Measure Ω} {S : ι → Ω → ℝ}
    {𝓕 : Filtration ι mΩ} (n : ℕ) (ω : Ω) (t : ι) :
    ContinuousWithinAt (fun s ↦ predictableSeqStep P S 𝓕 n s ω) (Set.Iio t) t

Formal artifact

Lean source

Canonical source
Full Lean sourceLean 4
lemma predictableSeqStep_leftContinuous {ι Ω : Type*} [TopologicalSpace ι]    [SecondCountableTopology ι] [LinearOrder ι] [OrderBot ι] [OrderTop ι]    [ClosedIicTopology ι]    {mΩ : MeasurableSpace Ω} {P : Measure Ω} {S : ι  Ω  }    {𝓕 : Filtration ι mΩ} (n : ) (ω : Ω) (t : ι) :    ContinuousWithinAt (fun s  predictableSeqStep P S 𝓕 n s ω) (Set.Iio t) t := by  have hrw : (fun s  predictableSeqStep P S 𝓕 n s ω)      = fun s  ∑ u : mesh ι n, (meshPredIoc n u).indicator          (fun _ : ι  predictablePart (S ∘ Subtype.val) (meshFiltration 𝓕 n) P u ω) s := by    funext s    simp only [predictableSeqStep, Finset.sum_apply]    exact Finset.sum_congr rfl fun u _  Set.indicator_apply_apply _ _ s ω  rw [hrw]  exact tendsto_finsetSum _ fun u _  continuousWithinAt_Iio_indicator_Ioc _ _ _ t
Project
Brownian motion
License
Apache-2.0
Commit
5077304f5e73
Source
BrownianMotion/StochasticIntegral/DoobMeyer.lean:1140-1153

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Related declarations

Project-declaredLean 4.33.0-rc1

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.

probabilitystochastic processesmeasure theory

Source project: Brownian motion

Person-level attribution pending.

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Project-declaredLean 4.33.0-rc1

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.

probabilitystochastic processesmeasure theory

Source project: Brownian motion

Person-level attribution pending.

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