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) / mFormal artifact
Lean source
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 := by let f : ℕ → Ω → ℝ := 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 : ℝ) ≤ (upcrossingsBefore a b f #F ω : ℝ)} * ((b - a) * m) := by norm_cast _ = (b - a) * ((m : ℝ) * μ.real {ω | (m : ℝ) ≤ (upcrossingsBefore a b f #F ω : ℝ)}) := by ring _ ≤ (b - a) * ∫ ω, (upcrossingsBefore a b f #F ω : ℝ) ∂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
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.