Class D of uniform Integrable bounded stopping Time
ProbabilityTheory.classD_of_uniformIntegrable_bounded_stoppingTime
Plain-language statement
If {stoppedValue X T : T is a bounded stopping time} is uniformly integrable, then X is of class D.
Exact Lean statement
lemma classD_of_uniformIntegrable_bounded_stoppingTime
(hX : UniformIntegrable (fun T : {T | IsStoppingTime π T β§ β t : ΞΉ, β Ο, T Ο β€ t}
β¦ stoppedValue X T) 1 P) (hm : IsStronglyProgressive π X) :
ClassD X π PFormal artifact
Lean source
lemma classD_of_uniformIntegrable_bounded_stoppingTime (hX : UniformIntegrable (fun T : {T | IsStoppingTime π T β§ β t : ΞΉ, β Ο, T Ο β€ t} β¦ stoppedValue X T) 1 P) (hm : IsStronglyProgressive π X) : ClassD X π P := by have (T : {T | IsStoppingTime π T β§ β Ο, T Ο β β€}) : β N : β β {T | IsStoppingTime π T β§ β t : ΞΉ, β Ο, T Ο β€ t}, βα΅ Ο βP, Tendsto (fun n β¦ stoppedValue X (N n).1 Ο) atTop (π (stoppedValue X T.1 Ο)) := by obtain β¨v, hvβ© := exists_seq_monotone_tendsto_atTop_atTop ΞΉ refine β¨fun n => β¨(fun Ο => v n) β T.1, β¨IsStoppingTime.min ?_ T.2.1, ?_β©β©, ?_β© Β· exact (isStoppingTime_const π (v n)) Β· exact β¨v n, fun Ο => by simpβ© Β· filter_upwards with Ο simp_all only [tendsto_atTop_atTop, tendsto_atTop_nhds] intro U hU _ obtain β¨N, hNβ© := hv.2 (T.1 Ο).untopA refine β¨N, fun n hn => ?_β© have : (T.1 Ο).untopA = T.1 Ο := by simp [WithTop.untopA_eq_untop (T.2.2 Ο)] rw [stoppedValue, Pi.inf_apply, β this, β WithTop.coe_min (v n) (T.1 Ο).untopA, min_eq_right (hN n hn)] exact hU exact β¨hm, (hX.uniformIntegrable_of_ae_tendsto _).comp (fun T : {T | IsStoppingTime π T β§ β Ο, T Ο β β€} => β¨stoppedValue X T.1, this Tβ©)β©- Project
- Brownian motion
- License
- Apache-2.0
- Commit
- 5077304f5e73
- Source
- BrownianMotion/StochasticIntegral/ClassD.lean:207-228
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Related declarations
Continuous Within At Iio indicator Ioc
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Plain-language statement
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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 π[Set.Ioi a] a under the inclusion D β Ξ± 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.