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Project-declaredLean 4.33.0-rc1 · mathlib@0434c033

Mul integral upcrossings Before fin Idx le

ProbabilityTheory.mul_integral_upcrossingsBefore_finIdx_le

Plain-language statement

Expectation bound on the number of upcrossings along a finite set of times F ⊆ Iic t, from the boundedness of elementary stochastic integrals at time t.

Exact Lean statement

lemma mul_integral_upcrossingsBefore_finIdx_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 ● X) t] ≤ C)
    (hab : a < b) (hF : ∀ s ∈ F, s ≤ t) :
    (b - a) * ∫ ω, (upcrossingsBefore a b (fun k ↦ X (finIdx F t k)) #F ω : ℝ) ∂μ
      ≤ C + ∫ ω, (a - X t ω)⁺ ∂μ

Formal artifact

Lean source

Canonical source
Full Lean sourceLean 4
lemma mul_integral_upcrossingsBefore_finIdx_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) (hF :  s  F, s  t) :    (b - a) * ∫ ω, (upcrossingsBefore a b (fun k  X (finIdx F t k)) #F ω : ) ∂μ       C + ∫ ω, (a - X t ω)⁺ ∂μ := 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)  let S := elemPredSetOfSeq (W := upcrossingStrat a b f #F) (finIdx_monotone hF) #F fun k hk     (hadapt.upcrossingStrat k).measurable  have hintS : Integrable ((S.indicator (1 : ) ● X) t) μ :=    ElementaryPredictableSet.integrable_integral_real hXint S 1 t  have hintmax : Integrable (fun ω  (a - X t ω)⁺) μ :=    (((integrable_const a).sub (hXint t))).pos_part  have hintcount : Integrable (fun ω  (upcrossingsBefore a b f #F ω : )) μ :=    hadapt.integrable_upcrossingsBefore hab  calc (b - a) * ∫ ω, (upcrossingsBefore a b f #F ω : ) ∂μ  _ = ∫ ω, (b - a) * (upcrossingsBefore a b f #F ω : ) ∂μ := (integral_const_mul _ _).symm  _  ∫ ω, ((S.indicator (1 : ) ● X) t ω + (a - X t ω)⁺) ∂μ :=    integral_mono (hintcount.const_mul _) (hintS.add hintmax)      (mul_upcrossingsBefore_le_integral_add_posPart hX.stronglyAdapted hab hF)  _ = μ[(S.indicator (1 : ) ● X) t] + ∫ ω, (a - X t ω)⁺ ∂μ := integral_add hintS hintmax  _  C + ∫ ω, (a - X t ω)⁺ ∂μ := by gcongr; exact hC S
Project
Brownian motion
License
Apache-2.0
Commit
5077304f5e73
Source
BrownianMotion/StochasticIntegral/Quasimartingale/MaximalInequality.lean:194-217

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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

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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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