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Project-declaredLean 4.33.0-rc1 · mathlib@0434c033

Maximal ineq countable

ProbabilityTheory.maximal_ineq_countable

Plain-language statement

Doob's maximal inequality for a countable index set.

Exact Lean statement

theorem maximal_ineq_countable (hsub : Submartingale Y 𝓕 P) (hnonneg : 0 ≤ Y) (ε : ℝ≥0) (n : ι) :
    -- We use `⨆ i : Set.Iic n` instead of `⨆ i ≤ n` because of incomplete API for `cbiSup`.
    ε • P.real {ω | (ε : ℝ) ≤ ⨆ i : Set.Iic n, Y i ω} ≤
      ∫ ω in {ω | (ε : ℝ) ≤ ⨆ i : Set.Iic n, Y i ω}, Y n ω ∂P

Formal artifact

Lean source

Canonical source
Full Lean sourceLean 4
theorem maximal_ineq_countable (hsub : Submartingale Y 𝓕 P) (hnonneg : 0  Y) (ε : 0) (n : ι) :    -- We use `⨆ i : Set.Iic n` instead of `⨆ i ≤ n` because of incomplete API for `cbiSup`.    ε • P.real {ω | (ε : )  ⨆ i : Set.Iic n, Y i ω}       ∫ ω in {ω | (ε : )  ⨆ i : Set.Iic n, Y i ω}, Y n ω ∂P := by  have (ω : Ω) : ⨆ i : Set.Iic n, Y i ω = (⨆ i  n, ENNReal.ofReal (Y i ω)).toReal := by    rw [iSup_subtype', ENNReal.toReal_iSup]    · congr with i      rw [ENNReal.toReal_ofReal (hnonneg _ _)]    · finiteness  have : {ω | ε  ⨆ i : Set.Iic n, Y i ω} =ᵐ[P] {ω | ε  ⨆ i  n, ENNReal.ofReal (Y i ω)} := by    filter_upwards [hsub.iSup_ofReal_ne_top hnonneg n] with ω htop    ext    change _  _  _  _    rw [ ENNReal.ofReal_coe_nnreal, ENNReal.ofReal_le_iff_le_toReal htop, this]  rw [measureReal_congr this, setIntegral_congr_set this]  exact maximal_ineq_countable_ennreal hsub hnonneg ε n
Project
Brownian motion
License
Apache-2.0
Commit
5077304f5e73
Source
BrownianMotion/StochasticIntegral/DoobLp.lean:305-320

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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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