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Project-declaredLean 4.33.0-rc1 · mathlib@0434c033

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

Canonical source
Full Lean sourceLean 4
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

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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