Measure infinite Alt
ProbabilityTheory.measure_infiniteAlt
Plain-language statement
Almost surely, there is no infinite family of alternations of X from below a to above b at times in a countable set T below t.
Exact Lean statement
lemma measure_infiniteAlt [IsFiniteMeasure μ]
(hX : IsRealQuasimartingale 𝓕 X μ) (hab : a < b) (hT : T.Countable) :
μ (infiniteAlt T t X a b) = 0Formal artifact
Lean source
lemma measure_infiniteAlt [IsFiniteMeasure μ] (hX : IsRealQuasimartingale 𝓕 X μ) (hab : a < b) (hT : T.Countable) : μ (infiniteAlt T t X a b) = 0 := by suffices μ (⋂ m : ℕ, ⋃ F ∈ {F : Finset ι | ↑F ⊆ T ∩ Set.Iic t}, altSet X F a b (m + 1)) = 0 by refine measure_mono_null ?_ this intro ω simp only [infiniteAlt, Set.subset_inter_iff, Set.mem_ofPred_eq, Set.mem_iInter, Set.mem_iUnion, exists_prop] exact fun h i ↦ h (i + 1) refine le_antisymm ?_ zero_le have hbound : ∀ m : ℕ, μ (⋂ m : ℕ, ⋃ F ∈ {F : Finset ι | ↑F ⊆ T ∩ Set.Iic t}, altSet X F a b (m + 1)) ≤ ENNReal.ofReal ((variationBound X 𝓕 μ t + ∫ ω, (a - X t ω)⁺ ∂μ) / (b - a) / (m + 1)) := by intro m refine (measure_mono (Set.iInter_subset _ m)).trans ?_ have := measure_biUnion_altSet_le (μ := μ) hX hab (Nat.succ_pos m) hT t simpa using this have hlim : Tendsto (fun m : ℕ ↦ ENNReal.ofReal ((variationBound X 𝓕 μ t + ∫ ω, (a - X t ω)⁺ ∂μ) / (b - a) / (m + 1))) atTop (𝓝 0) := by rw [← ENNReal.ofReal_zero] refine (ENNReal.continuous_ofReal.tendsto 0).comp ?_ have h1 : Tendsto (fun n : ℕ ↦ ((variationBound X 𝓕 μ t + ∫ ω, (a - X t ω)⁺ ∂μ) / (b - a)) / n) atTop (𝓝 0) := tendsto_const_div_atTop_nhds_zero_nat _ have h2 := h1.comp (tendsto_add_atTop_nat 1) refine h2.congr fun m ↦ ?_ simp [Function.comp, div_div] exact ge_of_tendsto' hlim hbound- Project
- Brownian motion
- License
- Apache-2.0
- Commit
- 5077304f5e73
- Source
- BrownianMotion/StochasticIntegral/Quasimartingale/MaximalInequality.lean:755-782
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Source project: Brownian motion
Person-level attribution pending.
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Project documentation
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Source project: Brownian motion
Person-level attribution pending.