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Project-declaredLean 4.33.0-rc1 · mathlib@0434c033

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) = 0

Formal artifact

Lean source

Canonical source
Full Lean sourceLean 4
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 : , ⋃ 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 : ,      μ (⋂ m : , ⋃ 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 :        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 :   ((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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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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