Documentation

BrownianMotion.Debut.Approximation

This file contains the definitions and some theorems about t-approximable sets, which are needed in the proof of the Debut Theorem.

def MeasureTheory.š“šā‚€ {T : Type u_1} {Ī© : Type u_2} {mĪ© : MeasurableSpace Ī©} [Preorder T] [TopologicalSpace T] (š“• : Filtration T mĪ©) (t : T) :
Set (Set (T Ɨ Ī©))

š“šā‚€(t) is the collection of subsets of [0, t] Ɨ Ī© of the form A Ɨ C, where A is compact and C is (f t)-measurable.

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    @[simp]
    theorem MeasureTheory.empty_mem_š“šā‚€ {T : Type u_1} {Ī© : Type u_2} {mĪ© : MeasurableSpace Ī©} [Preorder T] [TopologicalSpace T] (š“• : Filtration T mĪ©) (t : T) :
    theorem MeasureTheory.subset_Iic_of_mem_š“šā‚€ {T : Type u_1} {Ī© : Type u_2} {mĪ© : MeasurableSpace Ī©} [Preorder T] [TopologicalSpace T] {š“• : Filtration T mĪ©} {t : T} {B : Set (T Ɨ Ī©)} (hB : B ∈ š“šā‚€ š“• t) :
    theorem MeasureTheory.measurableSet_snd_of_mem_š“šā‚€ {T : Type u_1} {Ī© : Type u_2} {mĪ© : MeasurableSpace Ī©} [Preorder T] [TopologicalSpace T] {š“• : Filtration T mĪ©} {t : T} {B : Set (T Ɨ Ī©)} (hB : B ∈ š“šā‚€ š“• t) :

    If B ∈ š“šā‚€(t), then its projetion over Ī© is (f t)-measurable.

    theorem MeasureTheory.inter_mem_š“šā‚€ {T : Type u_1} {Ī© : Type u_2} {mĪ© : MeasurableSpace Ī©} [Preorder T] [TopologicalSpace T] [T2Space T] {š“• : Filtration T mĪ©} {t : T} {B B' : Set (T Ɨ Ī©)} (hB : B ∈ š“šā‚€ š“• t) (hB' : B' ∈ š“šā‚€ š“• t) :
    B ∩ B' ∈ š“šā‚€ š“• t

    š“šā‚€(t) is closed under intersection.

    inductive MeasureTheory.š“š {T : Type u_1} {Ī© : Type u_2} {mĪ© : MeasurableSpace Ī©} [Preorder T] [TopologicalSpace T] (š“• : Filtration T mĪ©) (t : T) :
    Set (Set (T Ɨ Ī©))

    š“š(t) is the collection of finite unions of sets in š“šā‚€(t).

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      theorem MeasureTheory.š“šā‚€_subset_š“š {T : Type u_1} {Ī© : Type u_2} {mĪ© : MeasurableSpace Ī©} [Preorder T] [TopologicalSpace T] (š“• : Filtration T mĪ©) (t : T) :
      š“šā‚€ š“• t āŠ† š“š š“• t
      theorem MeasureTheory.mem_š“š_iff {T : Type u_1} {Ī© : Type u_2} {mĪ© : MeasurableSpace Ī©} [Preorder T] [TopologicalSpace T] (š“• : Filtration T mĪ©) (t : T) (B : Set (T Ɨ Ī©)) :
      B ∈ š“š š“• t ↔ ∃ (s : Finset (Set (T Ɨ Ī©))), ↑s āŠ† š“šā‚€ š“• t ∧ B = ā‹ƒ x ∈ s, x
      @[simp]
      theorem MeasureTheory.empty_mem_š“š {T : Type u_1} {Ī© : Type u_2} {mĪ© : MeasurableSpace Ī©} [Preorder T] [TopologicalSpace T] {š“• : Filtration T mĪ©} {t : T} :
      theorem MeasureTheory.subset_Iic_of_mem_š“š {T : Type u_1} {Ī© : Type u_2} {mĪ© : MeasurableSpace Ī©} [Preorder T] [TopologicalSpace T] {š“• : Filtration T mĪ©} {t : T} {B : Set (T Ɨ Ī©)} (hB : B ∈ š“š š“• t) :
      theorem MeasureTheory.union_mem_š“š {T : Type u_1} {Ī© : Type u_2} {mĪ© : MeasurableSpace Ī©} [Preorder T] [TopologicalSpace T] {f : Filtration T mĪ©} {t : T} {B B' : Set (T Ɨ Ī©)} (hB : B ∈ š“š f t) (hB' : B' ∈ š“š f t) :

      š“š(t) is closed under union.

      theorem MeasureTheory.measurableSet_snd_of_mem_š“š {T : Type u_1} {Ī© : Type u_2} {mĪ© : MeasurableSpace Ī©} [Preorder T] [TopologicalSpace T] {š“• : Filtration T mĪ©} {t : T} {B : Set (T Ɨ Ī©)} (hB : B ∈ š“š š“• t) :

      If B ∈ š“š(t), then its projection over Ī© is (f t)-measurable.

      theorem MeasureTheory.inter_mem_š“š {T : Type u_1} {Ī© : Type u_2} {mĪ© : MeasurableSpace Ī©} [Preorder T] [TopologicalSpace T] [T2Space T] {f : Filtration T mĪ©} {t : T} {B B' : Set (T Ɨ Ī©)} (hB : B ∈ š“š f t) (hB' : B' ∈ š“š f t) :

      š“š(t) is closed under intersection.

      def MeasureTheory.š“šĪ“ {T : Type u_1} {Ī© : Type u_2} {mĪ© : MeasurableSpace Ī©} [Preorder T] [TopologicalSpace T] (š“• : Filtration T mĪ©) (t : T) :
      Set (Set (T Ɨ Ī©))

      š“šĪ“(t) is the collection of countable intersections of sets in š“š(t).

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        theorem MeasureTheory.subset_Iic_of_mem_š“šĪ“ {T : Type u_1} {Ī© : Type u_2} {mĪ© : MeasurableSpace Ī©} [Preorder T] [TopologicalSpace T] {š“• : Filtration T mĪ©} {t : T} {B : Set (T Ɨ Ī©)} (hB : B ∈ š“šĪ“ š“• t) :
        theorem MeasureTheory.š“š_subset_š“šĪ“ {T : Type u_1} {Ī© : Type u_2} {mĪ© : MeasurableSpace Ī©} [Preorder T] [TopologicalSpace T] {š“• : Filtration T mĪ©} {t : T} {B : Set (T Ɨ Ī©)} (hB : B ∈ š“š š“• t) :
        B ∈ š“šĪ“ š“• t

        š“š(t) āŠ† š“šĪ“(t).

        @[simp]
        theorem MeasureTheory.empty_mem_š“šĪ“ {T : Type u_1} {Ī© : Type u_2} {mĪ© : MeasurableSpace Ī©} [Preorder T] [TopologicalSpace T] {š“• : Filtration T mĪ©} {t : T} :
        theorem MeasureTheory.union_mem_š“šĪ“ {T : Type u_1} {Ī© : Type u_2} {mĪ© : MeasurableSpace Ī©} [Preorder T] [TopologicalSpace T] {š“• : Filtration T mĪ©} {t : T} {B B' : Set (T Ɨ Ī©)} (hB : B ∈ š“šĪ“ š“• t) (hB' : B' ∈ š“šĪ“ š“• t) :
        B ∪ B' ∈ š“šĪ“ š“• t

        š“šĪ“(t) is closed under union.

        theorem MeasureTheory.inter_mem_š“šĪ“ {T : Type u_1} {Ī© : Type u_2} {mĪ© : MeasurableSpace Ī©} [Preorder T] [TopologicalSpace T] {š“• : Filtration T mĪ©} {t : T} {B B' : Set (T Ɨ Ī©)} (hB : B ∈ š“šĪ“ š“• t) (hB' : B' ∈ š“šĪ“ š“• t) :
        B ∩ B' ∈ š“šĪ“ š“• t

        š“šĪ“(t) is closed under intersection.

        theorem MeasureTheory.iInter_mem_š“šĪ“ {T : Type u_1} {Ī© : Type u_2} {mĪ© : MeasurableSpace Ī©} [Preorder T] [TopologicalSpace T] {š“• : Filtration T mĪ©} {t : T} {B : ā„• → Set (T Ɨ Ī©)} (hB : āˆ€ (n : ā„•), B n ∈ š“šĪ“ š“• t) :
        ā‹‚ (n : ā„•), B n ∈ š“šĪ“ š“• t

        š“šĪ“(t) is closed under countable intersections.

        theorem MeasureTheory.iInf_snd_eq_snd_iInf_of_mem_š“šĪ“ {T : Type u_1} {Ī© : Type u_2} {mĪ© : MeasurableSpace Ī©} [Preorder T] [TopologicalSpace T] {š“• : Filtration T mĪ©} {t : T} {ℬ : ā„• → Set (T Ɨ Ī©)} (hℬ : āˆ€ (i : ā„•), ℬ i ∈ š“šĪ“ š“• t) (h_desc : āˆ€ (i : ā„•), ℬ (i + 1) āŠ† ℬ i) :
        ā‹‚ (i : ā„•), Prod.snd '' ℬ i = Prod.snd '' ā‹‚ (i : ā„•), ℬ i

        In š“šĪ“, the projection over Ī© and countable descending intersections commute.

        theorem MeasureTheory.measurableSet_snd_of_mem_š“šĪ“ {T : Type u_1} {Ī© : Type u_2} {mĪ© : MeasurableSpace Ī©} [Preorder T] [TopologicalSpace T] {š“• : Filtration T mĪ©} {t : T} [T2Space T] {B : Set (T Ɨ Ī©)} (hB : B ∈ š“šĪ“ š“• t) :

        If B ∈ š“šĪ“(t), then its projetion over Ī© is (š“• t)-measurable.

        def MeasureTheory.š“›ā‚€ {T : Type u_1} {Ī© : Type u_2} {mĪ© : MeasurableSpace Ī©} [Preorder T] [TopologicalSpace T] (X : Type u_3) [TopologicalSpace X] (š“• : Filtration T mĪ©) (t : T) :
        Set (Set (X Ɨ T Ɨ Ī©))

        š“›ā‚€(X) is the collection of sets of the form A Ć—Ė¢ B, where A : Set X is compact and B ∈ š“š š“• t.

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          inductive MeasureTheory.š“›ā‚ {T : Type u_1} {Ī© : Type u_2} {mĪ© : MeasurableSpace Ī©} [Preorder T] [TopologicalSpace T] (X : Type u_3) [TopologicalSpace X] (š“• : Filtration T mĪ©) (t : T) :
          Set (Set (X Ɨ T Ɨ Ī©))

          š“›ā‚(X) is the collection of finite unions of sets in š“›ā‚€(X).

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            def MeasureTheory.š“› {T : Type u_1} {Ī© : Type u_2} {mĪ© : MeasurableSpace Ī©} [Preorder T] [TopologicalSpace T] (X : Type u_3) [TopologicalSpace X] (š“• : Filtration T mĪ©) (t : T) :
            Set (Set (X Ɨ T Ɨ Ī©))

            š“›(X) is the collection of intersections of countable decreasing sequences in š“›ā‚(X).

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              def MeasureTheory.š“›Ļƒ {T : Type u_1} {Ī© : Type u_2} {mĪ© : MeasurableSpace Ī©} [Preorder T] [TopologicalSpace T] (X : Type u_3) [TopologicalSpace X] (š“• : Filtration T mĪ©) (t : T) :
              Set (Set (X Ɨ T Ɨ Ī©))

              š“›Ļƒ(X) is the collection of unions of countable increasing sequences in š“›(X).

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                def MeasureTheory.š“›ĻƒĪ“ {T : Type u_1} {Ī© : Type u_2} {mĪ© : MeasurableSpace Ī©} [Preorder T] [TopologicalSpace T] (X : Type u_3) [TopologicalSpace X] (š“• : Filtration T mĪ©) (t : T) :
                Set (Set (X Ɨ T Ɨ Ī©))

                š“›ĻƒĪ“(X) is the collection of intersections of countable decreasing sequences in š“›Ļƒ(X).

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                  theorem MeasureTheory.exists_mem_š“›ĻƒĪ“_of_measurableSet {T : Type u_1} {Ī© : Type u_2} {mĪ© : MeasurableSpace Ī©} [Preorder T] [TopologicalSpace T] {š“• : Filtration T mĪ©} {t : T} {mT : MeasurableSpace T} [BorelSpace T] {A : Set (T Ɨ Ī©)} (hA_subs : A āŠ† Set.Iic t Ć—Ė¢ Set.univ) (hA : MeasurableSet A) :
                  ∃ (X : Type u_3) (x : TopologicalSpace X) (_ : CompactSpace X) (_ : T2Space X), ∃ B ∈ š“›ĻƒĪ“ X š“• t, A = Prod.snd '' B

                  If A is measurable with respect to the product sigma algebra of the Borel sigma algebra on T and š“• t, then there exists a compact Hausdorff space X and a set B ∈ š“›ĻƒĪ“ X š“• t such that A is the projection of B on T Ɨ Ī©.

                  structure MeasureTheory.Approximation {T : Type u_1} {Ī© : Type u_2} {mĪ© : MeasurableSpace Ī©} [Preorder T] [TopologicalSpace T] (š“• : Filtration T mĪ©) (P : Measure Ī©) (t : T) (A : Set (T Ɨ Ī©)) :
                  Type (max u_1 u_2)

                  An approximation of A āŠ† Set.Iic t Ć—Ė¢ .univ is a sequence of sets B ε āŠ† A for every ε > 0 such that B ε ∈ š“šĪ“ š“• t, and the projection of B ε on Ī© approximates A in measure as ε tends to 0.

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                    def MeasureTheory.Approximation.of_mem_š“šĪ“ {T : Type u_1} {Ī© : Type u_2} {mĪ© : MeasurableSpace Ī©} [Preorder T] [TopologicalSpace T] {š“• : Filtration T mĪ©} {t : T} {A : Set (T Ɨ Ī©)} (P : Measure Ī©) (hA : A ∈ š“šĪ“ š“• t) :
                    Approximation š“• P t A

                    A set A ∈ š“šĪ“(t) is approximable (the approximation is the set itself).

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                      def MeasureTheory.Approximation.B' {T : Type u_1} {Ī© : Type u_2} {mĪ© : MeasurableSpace Ī©} [Preorder T] [TopologicalSpace T] {š“• : Filtration T mĪ©} {t : T} {P : Measure Ī©} {A : Set (T Ɨ Ī©)} (š’œ : Approximation š“• P t A) :
                      ā„• → Set (T Ɨ Ī©)

                      Given an approximation š’œ, then š’œ.B' n is the union of B 1, B (1/2), ..., B (1/n). This gives us an increasing approximating sequence.

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                        @[simp]
                        theorem MeasureTheory.Approximation.B'_zero {T : Type u_1} {Ī© : Type u_2} {mĪ© : MeasurableSpace Ī©} [Preorder T] [TopologicalSpace T] {š“• : Filtration T mĪ©} {t : T} {P : Measure Ī©} {A : Set (T Ɨ Ī©)} (š’œ : Approximation š“• P t A) :
                        š’œ.B' 0 = āˆ…
                        theorem MeasureTheory.Approximation.B'_succ {T : Type u_1} {Ī© : Type u_2} {mĪ© : MeasurableSpace Ī©} [Preorder T] [TopologicalSpace T] {š“• : Filtration T mĪ©} {t : T} {P : Measure Ī©} {A : Set (T Ɨ Ī©)} (š’œ : Approximation š“• P t A) (n : ā„•) :
                        š’œ.B' (n + 1) = š’œ.B' n ∪ š’œ.B (1 / (↑n + 1))
                        theorem MeasureTheory.Approximation.B_subset_B' {T : Type u_1} {Ī© : Type u_2} {mĪ© : MeasurableSpace Ī©} [Preorder T] [TopologicalSpace T] {š“• : Filtration T mĪ©} {t : T} {P : Measure Ī©} {A : Set (T Ɨ Ī©)} (š’œ : Approximation š“• P t A) (n : ā„•) [NeZero n] :
                        š’œ.B (1 / ↑n) āŠ† š’œ.B' n
                        theorem MeasureTheory.Approximation.B'_mem {T : Type u_1} {Ī© : Type u_2} {mĪ© : MeasurableSpace Ī©} [Preorder T] [TopologicalSpace T] {š“• : Filtration T mĪ©} {t : T} {P : Measure Ī©} {A : Set (T Ɨ Ī©)} (š’œ : Approximation š“• P t A) (n : ā„•) :
                        š’œ.B' n ∈ š“šĪ“ š“• t
                        theorem MeasureTheory.Approximation.B'_subset_A {T : Type u_1} {Ī© : Type u_2} {mĪ© : MeasurableSpace Ī©} [Preorder T] [TopologicalSpace T] {š“• : Filtration T mĪ©} {t : T} {P : Measure Ī©} {A : Set (T Ɨ Ī©)} (š’œ : Approximation š“• P t A) (n : ā„•) :
                        š’œ.B' n āŠ† A
                        theorem MeasureTheory.Approximation.le' {T : Type u_1} {Ī© : Type u_2} {mĪ© : MeasurableSpace Ī©} [Preorder T] [TopologicalSpace T] {š“• : Filtration T mĪ©} {t : T} {P : Measure Ī©} {A : Set (T Ɨ Ī©)} (š’œ : Approximation š“• P t A) (n : ā„•) :
                        P (Prod.snd '' A) ≤ P (Prod.snd '' š’œ.B' n) + 1 / ↑n
                        theorem MeasureTheory.Approximation.B'_mono {T : Type u_1} {Ī© : Type u_2} {mĪ© : MeasurableSpace Ī©} [Preorder T] [TopologicalSpace T] {š“• : Filtration T mĪ©} {t : T} {P : Measure Ī©} {A : Set (T Ɨ Ī©)} (š’œ : Approximation š“• P t A) :
                        Monotone š’œ.B'
                        theorem MeasureTheory.Approximation.measurableSet_snd_iUnion_B' {T : Type u_1} {Ī© : Type u_2} {mĪ© : MeasurableSpace Ī©} [Preorder T] [TopologicalSpace T] {š“• : Filtration T mĪ©} {t : T} {P : Measure Ī©} {A : Set (T Ɨ Ī©)} [T2Space T] (š’œ : Approximation š“• P t A) :
                        MeasurableSet (Prod.snd '' ā‹ƒ (n : ā„•), š’œ.B' n)
                        theorem MeasureTheory.Approximation.measure_snd_iUnion_B' {T : Type u_1} {Ī© : Type u_2} {mĪ© : MeasurableSpace Ī©} [Preorder T] [TopologicalSpace T] {š“• : Filtration T mĪ©} {t : T} {P : Measure Ī©} {A : Set (T Ɨ Ī©)} (š’œ : Approximation š“• P t A) :
                        P (Prod.snd '' ā‹ƒ (n : ā„•), š’œ.B' n) = P (Prod.snd '' A)
                        theorem MeasureTheory.Approximation.measure_snd_diff {T : Type u_1} {Ī© : Type u_2} {mĪ© : MeasurableSpace Ī©} [Preorder T] [TopologicalSpace T] {š“• : Filtration T mĪ©} {t : T} {P : Measure Ī©} {A : Set (T Ɨ Ī©)} [IsFiniteMeasure P] (š’œ : Approximation š“• P t A) :
                        P (Prod.snd '' A \ Prod.snd '' ā‹ƒ (n : ā„•), š’œ.B' n) = 0
                        theorem MeasureTheory.Approximation.measurableSet_snd {T : Type u_1} {Ī© : Type u_2} {mĪ© : MeasurableSpace Ī©} [Preorder T] [TopologicalSpace T] {š“• : Filtration T mĪ©} {t : T} {P : Measure Ī©} {A : Set (T Ɨ Ī©)} [T2Space T] (š’œ : Approximation š“• P t A) :

                        If there exists an approximation of A, then the projection of A over Ī© is measurable with respect to š“• t.

                        theorem MeasureTheory.Approximation.tendsto_measure_diff_B' {T : Type u_1} {Ī© : Type u_2} {mĪ© : MeasurableSpace Ī©} [Preorder T] [TopologicalSpace T] {š“• : Filtration T mĪ©} {t : T} {P : Measure Ī©} {A : Set (T Ɨ Ī©)} (š’œ : Approximation š“• P t A) :
                        Filter.Tendsto (fun (n : ā„•) => P (Prod.snd '' A \ Prod.snd '' š’œ.B' n)) Filter.atTop (nhds 0)
                        def MeasureTheory.Approximation.of_mem_prod_borel {T : Type u_1} {Ī© : Type u_2} {mĪ© : MeasurableSpace Ī©} [Preorder T] [TopologicalSpace T] {š“• : Filtration T mĪ©} {t : T} {A : Set (T Ɨ Ī©)} {mT : MeasurableSpace T} [BorelSpace T] (P : Measure Ī©) (hA_subs : A āŠ† Set.Iic t Ć—Ė¢ Set.univ) (hA : MeasurableSet A) :
                        Approximation š“• P t A

                        If A is measurable with respect to the product sigma algebra of the Borel sigma algebra on T and š“• t, then it is approximable.

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