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Project-declaredLean 4.33.0-rc1 · mathlib@0434c033

Measure Real alt Set le

ProbabilityTheory.measureReal_altSet_le

Plain-language statement

Quantitative alternation bound: the probability of m alternations along any finite F ⊆ Iic t is at most K / m with K independent of F and m.

Exact Lean statement

lemma measureReal_altSet_le [OrderBot ι] [IsFiniteMeasure μ]
    (hX : Adapted 𝓕 X) (hXint : ∀ s, Integrable (X s) μ) {C : ℝ}
    (hC : ∀ S : ElementaryPredictableSet 𝓕, μ[(S.indicator (1 : ℝ) ● X) t] ≤ C)
    (hab : a < b) (hm : 0 < m) (hF : ∀ s ∈ F, s ≤ t) :
    μ.real (altSet X F a b m) ≤ (C + ∫ ω, (a - X t ω)⁺ ∂μ) / (b - a) / m

Formal artifact

Lean source

Canonical source
Full Lean sourceLean 4
lemma measureReal_altSet_le [OrderBot ι] [IsFiniteMeasure μ]    (hX : Adapted 𝓕 X) (hXint :  s, Integrable (X s) μ) {C : }    (hC :  S : ElementaryPredictableSet 𝓕, μ[(S.indicator (1 : ) ● X) t]  C)    (hab : a < b) (hm : 0 < m) (hF :  s  F, s  t) :    μ.real (altSet X F a b m)  (C + ∫ ω, (a - X t ω)⁺ ∂μ) / (b - a) / m := by  let f :   Ω   := fun k ω  X (finIdx F t k) ω  have hadapt : StronglyAdapted (𝓕.indexComap (finIdx_monotone hF)) f :=    Adapted.stronglyAdapted <| fun j  hX (finIdx F t j)  rw [altSet_eq_upcrossingsBefore (t := t) hab, div_div, le_div_iff₀ (by positivity)]  calc μ.real {ω | m  upcrossingsBefore a b f #F ω} * ((b - a) * m)  _ = μ.real {ω | (m : )  (upcrossingsBefore a b f #F ω : )} * ((b - a) * m) := by norm_cast  _ = (b - a) * ((m : ) * μ.real {ω | (m : )  (upcrossingsBefore a b f #F ω : )}) := by ring  _  (b - a) * ∫ ω, (upcrossingsBefore a b f #F ω : ) ∂μ := by    gcongr    exact mul_meas_ge_le_integral_of_nonneg      (ae_of_all _ fun ω  by positivity) (hadapt.integrable_upcrossingsBefore hab) m  _  C + ∫ ω, (a - X t ω)⁺ ∂μ :=    mul_integral_upcrossingsBefore_finIdx_le (μ := μ) hX hXint hC hab hF
Project
Brownian motion
License
Apache-2.0
Commit
5077304f5e73
Source
BrownianMotion/StochasticIntegral/Quasimartingale/MaximalInequality.lean:267-284

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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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