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Project-declaredLean 4.33.0-rc1 · mathlib@0434c033

Countable not right Lim Within ae eq

ProbabilityTheory.countable_not_rightLimWithin_ae_eq

Plain-language statement

The set of points where the right limit along a countable dense set T disagrees with X is countable.

Exact Lean statement

lemma countable_not_rightLimWithin_ae_eq [SecondCountableTopology ι] [IsFiniteMeasure μ]
    (hX : IsRealQuasimartingale 𝓕 X μ)
    {T : Set ι} (hTc : T.Countable) (hTd : Dense T) :
    {t | ¬ (fun ω ↦ rightLimWithin (X · ω) T t) =ᵐ[μ] X t}.Countable

Formal artifact

Lean source

Canonical source
Full Lean sourceLean 4
lemma countable_not_rightLimWithin_ae_eq [SecondCountableTopology ι] [IsFiniteMeasure μ]    (hX : IsRealQuasimartingale 𝓕 X μ)    {T : Set ι} (hTc : T.Countable) (hTd : Dense T) :    {t | ¬ (fun ω  rightLimWithin (X · ω) T t) =ᵐ[μ] X t}.Countable := by  -- every dense set is cofinal  have hcof :  T : Set ι, Dense T   x : ι,  d  T, x < d := fun T hTd x  hTd.exists_gt x  -- the right-limit value along `T`, by choice  let R T' x ω :  := Function.rightLimWithin (X · ω) T' x  have hRspec T' x ω (h :  l, Tendsto (X · ω) (𝓝[T' ∩ Set.Ioi x] x) (𝓝 l)) :      Tendsto (X · ω) (𝓝[T' ∩ Set.Ioi x] x) (𝓝 (R T' x ω)) := by    rw [Set.inter_comm] at h     exact tendsto_rightLimWithin_of_tendsto h  -- Stage 1: a.e. one-sided limits along D₀  have hae₀ := ae_right_limit hX hTc (hcof T hTd)  -- Stage 2: measurable versions of `R D₀ x`  have hRm :  x : ι,  g : Ω  , Measurable g  g =ᵐ[μ] R T x := by    intro x    have hne : (𝓝[T ∩ Set.Ioi x] x).NeBot := by      rw [Set.inter_comm]; exact nhdsWithin_Ioi_inter_neBot hTd x    obtain v, hv := exists_seq_tendsto (𝓝[T ∩ Set.Ioi x] x)    have haet : ᵐ ω ∂μ, Tendsto (fun j  X (v j) ω) atTop (𝓝 (R T x ω)) := by      filter_upwards [hae₀] with ω hω      exact (hRspec T x ω (hω x)).comp hv    obtain g, hgmeas, hgae := measurable_limit_of_tendsto_metrizable_ae      (f := fun j  X (v j)) (L := atTop) (fun j  (hX.measurable (v j)).aemeasurable)      (by filter_upwards [haet] with ω hω using _, hω)    refine g, hgmeas, ?_    filter_upwards [haet, hgae] with ω h1 h2    exact tendsto_nhds_unique h2 h1  choose Rm hRmMeas hRmae using hRm  -- Stage 3: the set of points where `R D₀ x` and `X x` disagree is countable  let Sset : Set ι := {x | ¬ R T x =ᵐ[μ] X x}  change Sset.Countable  by_contra hSunc  set Sn :   Set ι := fun n     {x | ENNReal.ofReal (1 / (n + 1)) < μ {ω | 1 / (n + 1 : ) < |Rm x ω - X x ω|}} with hSn  have hSsub : Sset  ⋃ n, Sn n := by    intro x hx    have hxm : ¬ Rm x =ᵐ[μ] X x := fun hcon  hx ((hRmae x).symm.trans hcon)    have hpos : μ {ω | Rm x ω  X x ω}  0 := hxm    have hBmono : Monotone (fun n :   {ω | 1 / (n + 1 : ) < |Rm x ω - X x ω|}) := by      intro n n' hnn' ω hω      simp only [Set.mem_ofPred_eq] at hω       refine lt_of_le_of_lt (one_div_le_one_div_of_le (by positivity) ?_) hω      have : (n : )  (n' : ) := mod_cast hnn'      gcongr    have hBunion : {ω | Rm x ω  X x ω} = ⋃ n : , {ω | 1 / (n + 1 : ) < |Rm x ω - X x ω|} := by      ext ω      simp only [Set.mem_ofPred_eq, Set.mem_iUnion]      constructor      · intro hne        have habs : 0 < |Rm x ω - X x ω| := abs_pos.2 (sub_ne_zero.2 hne)        exact exists_nat_one_div_lt habs      · rintro n, hn hcon        rw [hcon, sub_self, abs_zero] at hn        exact absurd hn (not_lt.2 (by positivity))    have hexn :  n₀ : , 0 < μ {ω | 1 / ((n₀ : ) + 1) < |Rm x ω - X x ω|} := by      by_contra! hcon      simp only [nonpos_iff_eq_zero] at hcon      refine hpos ?_      rw [hBunion]      refine le_antisymm ((measure_iUnion_le _).trans ?_) zero_le      simp only [hcon, tsum_zero, Std.le_refl]    obtain n₀, hn₀ := hexn    have hfin : μ {ω | 1 / ((n₀ : ) + 1) < |Rm x ω - X x ω|} := measure_ne_top μ _    let ε :  := (μ {ω | 1 / ((n₀ : ) + 1) < |Rm x ω - X x ω|}).toReal    have hεpos : 0 < ε := ENNReal.toReal_pos hn₀.ne' hfin    obtain n₁, hn₁ := exists_nat_one_div_lt hεpos    let n := max n₀ n₁    refine Set.mem_iUnion.2 n, ?_    rw [hSn]    have hsub2 : {ω | 1 / ((n₀ : ) + 1) < |Rm x ω - X x ω|}         {ω | 1 / ((n : ) + 1) < |Rm x ω - X x ω|} :=      hBmono (le_max_left n₀ n₁)    calc ENNReal.ofReal (1 / (n + 1))         ENNReal.ofReal (1 / (n₁ + 1)) := by          refine ENNReal.ofReal_le_ofReal (one_div_le_one_div_of_le (by positivity) ?_)          gcongr          exact mod_cast le_max_right n₀ n₁      _ < ENNReal.ofReal ε := ENNReal.ofReal_lt_ofReal_iff_of_nonneg (by positivity) |>.2 hn₁      _ = μ {ω | 1 / ((n₀ : ) + 1) < |Rm x ω - X x ω|} := by rw [ENNReal.ofReal_toReal hfin]      _  μ {ω | 1 / ((n : ) + 1) < |Rm x ω - X x ω|} := measure_mono hsub2  have hexSn :  n, ¬ (Sn n).Countable := by    by_contra! hcon    exact hSunc ((Set.countable_iUnion hcon).mono hSsub)  obtain n, hSnunc := hexSn  obtain p, u, huSn, hup, hutend := exists_seq_gt_tendsto_of_not_countable hSnunc  set T' : Set ι := T ∪ (Set.range u ∪ {p}) with hT'  have hT'c : T'.Countable :=    hTc.union ((Set.countable_range u).union (Set.countable_singleton p))  have hT'd : Dense T' := hTd.mono Set.subset_union_left  have haediff : ᵐ ω ∂μ, Tendsto (fun k  Rm (u k) ω - X (u k) ω) atTop (𝓝 0) := by    have hcnt : ᵐ ω ∂μ,  k, Rm (u k) ω = R T (u k) ω := ae_all_iff.2 fun k  hRmae (u k)    filter_upwards [hae₀, ae_right_limit hX hT'c (hcof T' hT'd), hcnt] with ω hω₀ hω' hkeq    have hL' := hRspec T' p ω (hω' p)    have hXu : Tendsto (fun k  X (u k) ω) atTop (𝓝 (R T' p ω)) := by      refine hL'.comp ?_      rw [tendsto_nhdsWithin_iff]      exact hutend, Filter.Eventually.of_forall fun k  by grind    have hRu : Tendsto (fun k  R T (u k) ω) atTop (𝓝 (R T' p ω)) :=      tendsto_rightLim_comp_of_gt hTd Set.subset_union_left        (fun y  hRspec T y ω (hω₀ y)) hup hutend hL'    have hsub := hRu.sub hXu    rw [sub_self] at hsub    refine Tendsto.congr (fun k  ?_) hsub    rw [hkeq k]  have htim : TendstoInMeasure μ (fun k ω  Rm (u k) ω - X (u k) ω) atTop      (fun _  (0 : )) := by    refine tendstoInMeasure_of_tendsto_ae      (fun k  ((hRmMeas (u k)).sub (hX.measurable (u k))).aestronglyMeasurable) ?_    filter_upwards [haediff] with ω hω using  have hcontra := htim (ENNReal.ofReal (1 / (n + 1 : )))    (by rw [ENNReal.ofReal_pos]; positivity)  have hev : ᶠ k in atTop,      μ {ω | ENNReal.ofReal (1 / (n + 1 : ))  edist (Rm (u k) ω - X (u k) ω) 0}        < ENNReal.ofReal (1 / (n + 1)) := by    refine hcontra.eventually_lt_const ?_    positivity  obtain k, hk := hev.exists  have hmem := huSn k  rw [hSn, Set.mem_ofPred_eq] at hmem  have hsub3 : {ω | 1 / (n + 1 : ) < |Rm (u k) ω - X (u k) ω|}       {ω | ENNReal.ofReal (1 / (n + 1 : ))  edist (Rm (u k) ω - X (u k) ω) 0} := by    intro ω hω    rw [Set.mem_ofPred_eq] at hω     rw [edist_dist, dist_zero_right, Real.norm_eq_abs]    exact ENNReal.ofReal_le_ofReal hω.le  exact lt_irrefl _ ((hmem.trans_le (measure_mono hsub3)).trans hk)
Project
Brownian motion
License
Apache-2.0
Commit
5077304f5e73
Source
BrownianMotion/StochasticIntegral/Quasimartingale/CadlagModification.lean:715-842

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