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Project-declaredLean 4.33.0-rc1 · mathlib@0434c033

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 _ ↦ c

Formal artifact

Lean source

Canonical source
Full Lean sourceLean 4
lemma stoppedValue_predictablePart_tauMesh_le {ι Ω : Type*} [TopologicalSpace ι]    [SecondCountableTopology ι] [LinearOrder ι] [OrderBot ι] [OrderTop ι] {mΩ : MeasurableSpace Ω}    (S : ι  Ω  ) (𝓕 : Filtration ι mΩ) (P : Measure Ω) (n : ) {c : } (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

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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