Measure bi Union alt Set le
ProbabilityTheory.measure_biUnion_altSet_le
Plain-language statement
The union of the alternation events over all finite subsets of a countable set of times below t has measure at most K / ((b - a) * m).
Exact Lean statement
lemma measure_biUnion_altSet_le [IsFiniteMeasure μ]
(hX : IsRealQuasimartingale 𝓕 X μ)
(hab : a < b) (hm : 0 < m) (hT : T.Countable) (t : ι) :
μ (⋃ F ∈ {F : Finset ι | ↑F ⊆ T ∩ Set.Iic t}, altSet X F a b m)
≤ ENNReal.ofReal ((variationBound X 𝓕 μ t + ∫ ω, (a - X t ω)⁺ ∂μ) / (b - a) / m)Formal artifact
Lean source
lemma measure_biUnion_altSet_le [IsFiniteMeasure μ] (hX : IsRealQuasimartingale 𝓕 X μ) (hab : a < b) (hm : 0 < m) (hT : T.Countable) (t : ι) : μ (⋃ F ∈ {F : Finset ι | ↑F ⊆ T ∩ Set.Iic t}, altSet X F a b m) ≤ ENNReal.ofReal ((variationBound X 𝓕 μ t + ∫ ω, (a - X t ω)⁺ ∂μ) / (b - a) / m) := by have hcnt : {F : Finset ι | ↑F ⊆ T ∩ Set.Iic t}.Countable := countable_setOf_finset_coe_subset (hT.mono Set.inter_subset_left) have hdir : DirectedOn (Function.onFun (· ⊆ ·) fun F : Finset ι ↦ altSet X F a b m) {F : Finset ι | ↑F ⊆ T ∩ Set.Iic t} := fun F₁ h₁ F₂ h₂ ↦ ⟨F₁ ∪ F₂, by grind, altSet_mono subset_union_left, altSet_mono subset_union_right⟩ rw [measure_biUnion_eq_iSup hcnt hdir] refine iSup₂_le fun F hF ↦ ?_ have hF' : ∀ s ∈ F, s ≤ t := fun s hs ↦ (hF hs).2 calc μ (altSet X F a b m) _ = ENNReal.ofReal (μ.real (altSet X F a b m)) := (ENNReal.ofReal_toReal (measure_ne_top μ _)).symm _ ≤ _ := ENNReal.ofReal_le_ofReal (measureReal_altSet_le (μ := μ) hX.adapted hX.integrable (hX.integral_indicator_le_variationBound t) hab hm hF')- Project
- Brownian motion
- License
- Apache-2.0
- Commit
- 5077304f5e73
- Source
- BrownianMotion/StochasticIntegral/Quasimartingale/MaximalInequality.lean:733-751
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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.