Stopped Value predictable Part tau Mesh le
stoppedValue_predictablePart_tauMesh_le
Plain-language statement
The stopped valued of the predictable part with respect to τₙ(c) is less than or equal to c.
Exact Lean statement
lemma stoppedValue_predictablePart_tauMesh_le {ι Ω : Type*} [TopologicalSpace ι]
[SecondCountableTopology ι] [LinearOrder ι] [OrderBot ι] [OrderTop ι] {mΩ : MeasurableSpace Ω}
(S : ι → Ω → ℝ) (𝓕 : Filtration ι mΩ) (P : Measure Ω) (n : ℕ) {c : ℝ} (hc : 0 ≤ c) :
stoppedValue (predictablePart (S ∘ Subtype.val) (meshFiltration 𝓕 n) P)
(tauMesh S 𝓕 P n c) ≤ fun _ ↦ cFormal artifact
Lean source
lemma stoppedValue_predictablePart_tauMesh_le {ι Ω : Type*} [TopologicalSpace ι] [SecondCountableTopology ι] [LinearOrder ι] [OrderBot ι] [OrderTop ι] {mΩ : MeasurableSpace Ω} (S : ι → Ω → ℝ) (𝓕 : Filtration ι mΩ) (P : Measure Ω) (n : ℕ) {c : ℝ} (hc : 0 ≤ c) : stoppedValue (predictablePart (S ∘ Subtype.val) (meshFiltration 𝓕 n) P) (tauMesh S 𝓕 P n c) ≤ fun _ ↦ c := by intro ω let A := predictablePart (S ∘ Subtype.val) (meshFiltration 𝓕 n) P let τ := hittingBtwn (fun t ω ↦ A (succ t) ω) (Set.Ioi c) ⊥ ⊤ ω change A τ ω ≤ c by_cases hτ_bot : τ = ⊥ · simpa [A, hτ_bot] using hc · have hpred_lt : pred τ < τ := (pred_lt_iff_ne_bot).2 hτ_bot have hnot_min : ¬ IsMin τ := by simpa [isMin_iff_eq_bot] using hτ_bot simpa [succ_pred_of_not_isMin hnot_min] using notMem_of_lt_hittingBtwn hpred_lt bot_le- Project
- Brownian motion
- License
- Apache-2.0
- Commit
- 5077304f5e73
- Source
- BrownianMotion/StochasticIntegral/DoobMeyer.lean:320-333
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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.