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 ∂PFormal artifact
Lean source
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 := 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
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.