state stringlengths 0 159k | srcUpToTactic stringlengths 387 167k | nextTactic stringlengths 3 9k | declUpToTactic stringlengths 22 11.5k | declId stringlengths 38 95 | decl stringlengths 16 1.89k | file_tag stringlengths 17 73 |
|---|---|---|---|---|---|---|
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
hab : a < b
hn : lowerCrossingTime a b f N (n + 1) ω ≠ N
h : upperCrossingTime a b f N (n + 1) ω = lowerCrossingTime a b f N (n + 1) ω
⊢ b ≤ f (upperCrossingTime a b f N (n + 1) ω) ω | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | exact stoppedValue_upperCrossingTime (h.symm ▸ hn) | theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowe... | Mathlib.Probability.Martingale.Upcrossing.243_0.80Cpy4Qgm9i1y9y | theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω | Mathlib_Probability_Martingale_Upcrossing |
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
hab : a < b
hn : upperCrossingTime a b f N (n + 1) ω ≠ N
⊢ lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _ | theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
| Mathlib.Probability.Martingale.Upcrossing.253_0.80Cpy4Qgm9i1y9y | theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω | Mathlib_Probability_Martingale_Upcrossing |
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
hab : a < b
hn : upperCrossingTime a b f N (n + 1) ω ≠ N
h : lowerCrossingTime a b f N n ω = upperCrossingTime a b f N (n + 1) ω
⊢ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω ≤ a | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | simp only [stoppedValue] | theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCr... | Mathlib.Probability.Martingale.Upcrossing.253_0.80Cpy4Qgm9i1y9y | theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω | Mathlib_Probability_Martingale_Upcrossing |
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
hab : a < b
hn : upperCrossingTime a b f N (n + 1) ω ≠ N
h : lowerCrossingTime a b f N n ω = upperCrossingTime a b f N (n + 1) ω
⊢ f (upperCrossingTime a b f N (n + 1) ω) ω ≤ a | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | rw [← h] | theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCr... | Mathlib.Probability.Martingale.Upcrossing.253_0.80Cpy4Qgm9i1y9y | theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω | Mathlib_Probability_Martingale_Upcrossing |
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
hab : a < b
hn : upperCrossingTime a b f N (n + 1) ω ≠ N
h : lowerCrossingTime a b f N n ω = upperCrossingTime a b f N (n + 1) ω
⊢ f (lowerCrossingTime a b f N n ω) ω ≤ a | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | exact stoppedValue_lowerCrossingTime (h.symm ▸ hn) | theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCr... | Mathlib.Probability.Martingale.Upcrossing.253_0.80Cpy4Qgm9i1y9y | theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω | Mathlib_Probability_Martingale_Upcrossing |
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f✝ : ℕ → Ω → ℝ
N✝ n m : ℕ
ω✝ : Ω
f : ℕ → Ω → ℝ
N : ℕ
ω : Ω
hab : a < b
⊢ ∃ n, upperCrossingTime a b f N n ω = N | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | by_contra h | theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
| Mathlib.Probability.Martingale.Upcrossing.290_0.80Cpy4Qgm9i1y9y | theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N | Mathlib_Probability_Martingale_Upcrossing |
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f✝ : ℕ → Ω → ℝ
N✝ n m : ℕ
ω✝ : Ω
f : ℕ → Ω → ℝ
N : ℕ
ω : Ω
hab : a < b
h : ¬∃ n, upperCrossingTime a b f N n ω = N
⊢ False | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | push_neg at h | theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; | Mathlib.Probability.Martingale.Upcrossing.290_0.80Cpy4Qgm9i1y9y | theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N | Mathlib_Probability_Martingale_Upcrossing |
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f✝ : ℕ → Ω → ℝ
N✝ n m : ℕ
ω✝ : Ω
f : ℕ → Ω → ℝ
N : ℕ
ω : Ω
hab : a < b
h : ∀ (n : ℕ), upperCrossingTime a b f N n ω ≠ N
⊢ False | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _) | theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
| Mathlib.Probability.Martingale.Upcrossing.290_0.80Cpy4Qgm9i1y9y | theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N | Mathlib_Probability_Martingale_Upcrossing |
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f✝ : ℕ → Ω → ℝ
N✝ n m : ℕ
ω✝ : Ω
f : ℕ → Ω → ℝ
N : ℕ
ω : Ω
hab : a < b
h : ∀ (n : ℕ), upperCrossingTime a b f N n ω ≠ N
this : StrictMono fun n => upperCrossingTime a b f N n ω
⊢ False | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩ | theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
| Mathlib.Probability.Martingale.Upcrossing.290_0.80Cpy4Qgm9i1y9y | theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N | Mathlib_Probability_Martingale_Upcrossing |
case intro.intro.intro
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f✝ : ℕ → Ω → ℝ
N✝ n m : ℕ
ω✝ : Ω
f : ℕ → Ω → ℝ
N : ℕ
ω : Ω
hab : a < b
h : ∀ (n : ℕ), upperCrossingTime a b f N n ω ≠ N
this : StrictMono fun n => upperCrossingTime a b f N n ω
k : ℕ
hk : N < (fun n => upperCrossingTime a b f ... | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | exact not_le.2 hk upperCrossingTime_le | theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩... | Mathlib.Probability.Martingale.Upcrossing.290_0.80Cpy4Qgm9i1y9y | theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N | Mathlib_Probability_Martingale_Upcrossing |
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
hab : a < b
⊢ BddAbove {n | upperCrossingTime a b f N n ω < N} | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab | theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
| Mathlib.Probability.Martingale.Upcrossing.302_0.80Cpy4Qgm9i1y9y | theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} | Mathlib_Probability_Martingale_Upcrossing |
case intro
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
hab : a < b
k : ℕ
hk : upperCrossingTime a b f N k ω = N
⊢ BddAbove {n | upperCrossingTime a b f N n ω < N} | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩ | theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
| Mathlib.Probability.Martingale.Upcrossing.302_0.80Cpy4Qgm9i1y9y | theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} | Mathlib_Probability_Martingale_Upcrossing |
case intro
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n✝ m : ℕ
ω : Ω
hab : a < b
k : ℕ
hk : upperCrossingTime a b f N k ω = N
n : ℕ
hn : upperCrossingTime a b f N n ω < N
⊢ n ≤ k | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | by_contra hn' | theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
| Mathlib.Probability.Martingale.Upcrossing.302_0.80Cpy4Qgm9i1y9y | theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} | Mathlib_Probability_Martingale_Upcrossing |
case intro
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n✝ m : ℕ
ω : Ω
hab : a < b
k : ℕ
hk : upperCrossingTime a b f N k ω = N
n : ℕ
hn : upperCrossingTime a b f N n ω < N
hn' : ¬n ≤ k
⊢ False | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk) | theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
| Mathlib.Probability.Martingale.Upcrossing.302_0.80Cpy4Qgm9i1y9y | theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} | Mathlib_Probability_Martingale_Upcrossing |
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f✝ : ℕ → Ω → ℝ
N✝ n m : ℕ
ω✝ : Ω
f : ℕ → Ω → ℝ
N : ℕ
ω : Ω
hab : a < b
⊢ upperCrossingTime a b f N N ω = N | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab) | theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
| Mathlib.Probability.Martingale.Upcrossing.315_0.80Cpy4Qgm9i1y9y | theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N | Mathlib_Probability_Martingale_Upcrossing |
case pos
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f✝ : ℕ → Ω → ℝ
N✝ n m : ℕ
ω✝ : Ω
f : ℕ → Ω → ℝ
N : ℕ
ω : Ω
hab : a < b
hN' : N < Nat.find (_ : ∃ n, upperCrossingTime a b f N n ω = N)
⊢ upperCrossingTime a b f N N ω = N | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | refine' le_antisymm upperCrossingTime_le _ | theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· | Mathlib.Probability.Martingale.Upcrossing.315_0.80Cpy4Qgm9i1y9y | theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N | Mathlib_Probability_Martingale_Upcrossing |
case pos
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f✝ : ℕ → Ω → ℝ
N✝ n m : ℕ
ω✝ : Ω
f : ℕ → Ω → ℝ
N : ℕ
ω : Ω
hab : a < b
hN' : N < Nat.find (_ : ∃ n, upperCrossingTime a b f N n ω = N)
⊢ N ≤ upperCrossingTime a b f N N ω | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm | theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
| Mathlib.Probability.Martingale.Upcrossing.315_0.80Cpy4Qgm9i1y9y | theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N | Mathlib_Probability_Martingale_Upcrossing |
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f✝ : ℕ → Ω → ℝ
N✝ n m : ℕ
ω✝ : Ω
f : ℕ → Ω → ℝ
N : ℕ
ω : Ω
hab : a < b
hN' : N < Nat.find (_ : ∃ n, upperCrossingTime a b f N n ω = N)
⊢ StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.pred (Nat.find (_ : ∃ n, upperCrossingTi... | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _ | theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
... | Mathlib.Probability.Martingale.Upcrossing.315_0.80Cpy4Qgm9i1y9y | theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N | Mathlib_Probability_Martingale_Upcrossing |
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f✝ : ℕ → Ω → ℝ
N✝ n m✝ : ℕ
ω✝ : Ω
f : ℕ → Ω → ℝ
N : ℕ
ω : Ω
hab : a < b
hN' : N < Nat.find (_ : ∃ n, upperCrossingTime a b f N n ω = N)
m : ℕ
hm : m < Nat.pred (Nat.find (_ : ∃ n, upperCrossingTime a b f N n ω = N))
⊢ upperCrossingTime a b f N (m + ... | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | rw [Nat.lt_pred_iff] at hm | theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
... | Mathlib.Probability.Martingale.Upcrossing.315_0.80Cpy4Qgm9i1y9y | theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N | Mathlib_Probability_Martingale_Upcrossing |
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f✝ : ℕ → Ω → ℝ
N✝ n m✝ : ℕ
ω✝ : Ω
f : ℕ → Ω → ℝ
N : ℕ
ω : Ω
hab : a < b
hN' : N < Nat.find (_ : ∃ n, upperCrossingTime a b f N n ω = N)
m : ℕ
hm : Nat.succ m < Nat.find (_ : ∃ n, upperCrossingTime a b f N n ω = N)
⊢ upperCrossingTime a b f N (m + 1)... | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | convert Nat.find_min _ hm | theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
... | Mathlib.Probability.Martingale.Upcrossing.315_0.80Cpy4Qgm9i1y9y | theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N | Mathlib_Probability_Martingale_Upcrossing |
case pos
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f✝ : ℕ → Ω → ℝ
N✝ n m : ℕ
ω✝ : Ω
f : ℕ → Ω → ℝ
N : ℕ
ω : Ω
hab : a < b
hN' : N < Nat.find (_ : ∃ n, upperCrossingTime a b f N n ω = N)
hmono :
StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.pred (Nat.find (_ : ∃ n... | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN') | theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
... | Mathlib.Probability.Martingale.Upcrossing.315_0.80Cpy4Qgm9i1y9y | theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N | Mathlib_Probability_Martingale_Upcrossing |
case neg
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f✝ : ℕ → Ω → ℝ
N✝ n m : ℕ
ω✝ : Ω
f : ℕ → Ω → ℝ
N : ℕ
ω : Ω
hab : a < b
hN' : ¬N < Nat.find (_ : ∃ n, upperCrossingTime a b f N n ω = N)
⊢ upperCrossingTime a b f N N ω = N | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | rw [not_lt] at hN' | theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
... | Mathlib.Probability.Martingale.Upcrossing.315_0.80Cpy4Qgm9i1y9y | theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N | Mathlib_Probability_Martingale_Upcrossing |
case neg
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f✝ : ℕ → Ω → ℝ
N✝ n m : ℕ
ω✝ : Ω
f : ℕ → Ω → ℝ
N : ℕ
ω : Ω
hab : a < b
hN' : Nat.find (_ : ∃ n, upperCrossingTime a b f N n ω = N) ≤ N
⊢ upperCrossingTime a b f N N ω = N | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab)) | theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
... | Mathlib.Probability.Martingale.Upcrossing.315_0.80Cpy4Qgm9i1y9y | theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N | Mathlib_Probability_Martingale_Upcrossing |
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
hf : Adapted ℱ f
⊢ IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧ IsStoppingTime ℱ (lowerCrossingTime a b f N n) | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | induction' n with k ih | theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
| Mathlib.Probability.Martingale.Upcrossing.337_0.80Cpy4Qgm9i1y9y | theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) | Mathlib_Probability_Martingale_Upcrossing |
case zero
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
hf : Adapted ℱ f
⊢ IsStoppingTime ℱ (upperCrossingTime a b f N Nat.zero) ∧ IsStoppingTime ℱ (lowerCrossingTime a b f N Nat.zero) | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | refine' ⟨isStoppingTime_const _ 0, _⟩ | theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· | Mathlib.Probability.Martingale.Upcrossing.337_0.80Cpy4Qgm9i1y9y | theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) | Mathlib_Probability_Martingale_Upcrossing |
case zero
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
hf : Adapted ℱ f
⊢ IsStoppingTime ℱ (lowerCrossingTime a b f N Nat.zero) | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | simp [hitting_isStoppingTime hf measurableSet_Iic] | theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
| Mathlib.Probability.Martingale.Upcrossing.337_0.80Cpy4Qgm9i1y9y | theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) | Mathlib_Probability_Martingale_Upcrossing |
case succ
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
hf : Adapted ℱ f
k : ℕ
ih : IsStoppingTime ℱ (upperCrossingTime a b f N k) ∧ IsStoppingTime ℱ (lowerCrossingTime a b f N k)
⊢ IsStoppingTime ℱ (upperCrossingTime a b f N (Nat.succ k)) ∧ IsS... | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | obtain ⟨_, ih₂⟩ := ih | theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· | Mathlib.Probability.Martingale.Upcrossing.337_0.80Cpy4Qgm9i1y9y | theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) | Mathlib_Probability_Martingale_Upcrossing |
case succ.intro
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
hf : Adapted ℱ f
k : ℕ
left✝ : IsStoppingTime ℱ (upperCrossingTime a b f N k)
ih₂ : IsStoppingTime ℱ (lowerCrossingTime a b f N k)
⊢ IsStoppingTime ℱ (upperCrossingTime a b f N (Nat.s... | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _ | theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih... | Mathlib.Probability.Martingale.Upcrossing.337_0.80Cpy4Qgm9i1y9y | theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) | Mathlib_Probability_Martingale_Upcrossing |
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
hf : Adapted ℱ f
k : ℕ
left✝ : IsStoppingTime ℱ (upperCrossingTime a b f N k)
ih₂ : IsStoppingTime ℱ (lowerCrossingTime a b f N k)
⊢ IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | intro n | theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih... | Mathlib.Probability.Martingale.Upcrossing.337_0.80Cpy4Qgm9i1y9y | theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) | Mathlib_Probability_Martingale_Upcrossing |
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n✝ m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
hf : Adapted ℱ f
k : ℕ
left✝ : IsStoppingTime ℱ (upperCrossingTime a b f N k)
ih₂ : IsStoppingTime ℱ (lowerCrossingTime a b f N k)
n : ℕ
⊢ MeasurableSet {ω | upperCrossingTime a b f N (k + 1) ω ≤ n} | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | simp_rw [upperCrossingTime_succ_eq] | theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih... | Mathlib.Probability.Martingale.Upcrossing.337_0.80Cpy4Qgm9i1y9y | theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) | Mathlib_Probability_Martingale_Upcrossing |
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n✝ m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
hf : Adapted ℱ f
k : ℕ
left✝ : IsStoppingTime ℱ (upperCrossingTime a b f N k)
ih₂ : IsStoppingTime ℱ (lowerCrossingTime a b f N k)
n : ℕ
⊢ MeasurableSet {ω | hitting f (Set.Ici b) (lowerCrossingTime... | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _ | theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih... | Mathlib.Probability.Martingale.Upcrossing.337_0.80Cpy4Qgm9i1y9y | theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) | Mathlib_Probability_Martingale_Upcrossing |
case succ.intro
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
hf : Adapted ℱ f
k : ℕ
left✝ : IsStoppingTime ℱ (upperCrossingTime a b f N k)
ih₂ : IsStoppingTime ℱ (lowerCrossingTime a b f N k)
this : IsStoppingTime ℱ (upperCrossingTime a b f N (... | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | refine' ⟨this, _⟩ | theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih... | Mathlib.Probability.Martingale.Upcrossing.337_0.80Cpy4Qgm9i1y9y | theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) | Mathlib_Probability_Martingale_Upcrossing |
case succ.intro
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
hf : Adapted ℱ f
k : ℕ
left✝ : IsStoppingTime ℱ (upperCrossingTime a b f N k)
ih₂ : IsStoppingTime ℱ (lowerCrossingTime a b f N k)
this : IsStoppingTime ℱ (upperCrossingTime a b f N (... | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | intro n | theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih... | Mathlib.Probability.Martingale.Upcrossing.337_0.80Cpy4Qgm9i1y9y | theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) | Mathlib_Probability_Martingale_Upcrossing |
case succ.intro
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n✝ m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
hf : Adapted ℱ f
k : ℕ
left✝ : IsStoppingTime ℱ (upperCrossingTime a b f N k)
ih₂ : IsStoppingTime ℱ (lowerCrossingTime a b f N k)
this : IsStoppingTime ℱ (upperCrossingTime a b f N ... | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _ | theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih... | Mathlib.Probability.Martingale.Upcrossing.337_0.80Cpy4Qgm9i1y9y | theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) | Mathlib_Probability_Martingale_Upcrossing |
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
⊢ upcrossingStrat a b f N n ω ≤ 1 | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | rw [upcrossingStrat, ← Finset.indicator_biUnion_apply] | theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
| Mathlib.Probability.Martingale.Upcrossing.377_0.80Cpy4Qgm9i1y9y | theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 | Mathlib_Probability_Martingale_Upcrossing |
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
⊢ Set.indicator (⋃ i ∈ Finset.range N, Set.Ico (lowerCrossingTime a b f N i ω) (upperCrossingTime a b f N (i + 1) ω)) 1
n ≤
1 | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | exact Set.indicator_le_self' (fun _ _ => zero_le_one) _ | theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· | Mathlib.Probability.Martingale.Upcrossing.377_0.80Cpy4Qgm9i1y9y | theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 | Mathlib_Probability_Martingale_Upcrossing |
case h
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
⊢ Set.PairwiseDisjoint ↑(Finset.range N) fun k =>
Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω) | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | intro i _ j _ hij | theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
| Mathlib.Probability.Martingale.Upcrossing.377_0.80Cpy4Qgm9i1y9y | theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 | Mathlib_Probability_Martingale_Upcrossing |
case h
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
i : ℕ
a✝¹ : i ∈ ↑(Finset.range N)
j : ℕ
a✝ : j ∈ ↑(Finset.range N)
hij : i ≠ j
⊢ (Disjoint on fun k => Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) i j | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | simp only [Set.Ico_disjoint_Ico] | theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
| Mathlib.Probability.Martingale.Upcrossing.377_0.80Cpy4Qgm9i1y9y | theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 | Mathlib_Probability_Martingale_Upcrossing |
case h
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
i : ℕ
a✝¹ : i ∈ ↑(Finset.range N)
j : ℕ
a✝ : j ∈ ↑(Finset.range N)
hij : i ≠ j
⊢ min (upperCrossingTime a b f N (i + 1) ω) (upperCrossingTime a b f N (j + 1) ω) ≤
max (lowerCrossingTime a ... | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | obtain hij' | hij' := lt_or_gt_of_ne hij | theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
| Mathlib.Probability.Martingale.Upcrossing.377_0.80Cpy4Qgm9i1y9y | theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 | Mathlib_Probability_Martingale_Upcrossing |
case h.inl
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
i : ℕ
a✝¹ : i ∈ ↑(Finset.range N)
j : ℕ
a✝ : j ∈ ↑(Finset.range N)
hij : i ≠ j
hij' : i < j
⊢ min (upperCrossingTime a b f N (i + 1) ω) (upperCrossingTime a b f N (j + 1) ω) ≤
max (low... | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)] | theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· | Mathlib.Probability.Martingale.Upcrossing.377_0.80Cpy4Qgm9i1y9y | theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 | Mathlib_Probability_Martingale_Upcrossing |
case h.inl
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
i : ℕ
a✝¹ : i ∈ ↑(Finset.range N)
j : ℕ
a✝ : j ∈ ↑(Finset.range N)
hij : i ≠ j
hij' : i < j
⊢ upperCrossingTime a b f N (Nat.succ i) ω ≤ lowerCrossingTime a b f N j ω | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij')) | theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossing... | Mathlib.Probability.Martingale.Upcrossing.377_0.80Cpy4Qgm9i1y9y | theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 | Mathlib_Probability_Martingale_Upcrossing |
case h.inr
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
i : ℕ
a✝¹ : i ∈ ↑(Finset.range N)
j : ℕ
a✝ : j ∈ ↑(Finset.range N)
hij : i ≠ j
hij' : i > j
⊢ min (upperCrossingTime a b f N (i + 1) ω) (upperCrossingTime a b f N (j + 1) ω) ≤
max (low... | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | rw [gt_iff_lt] at hij' | theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossing... | Mathlib.Probability.Martingale.Upcrossing.377_0.80Cpy4Qgm9i1y9y | theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 | Mathlib_Probability_Martingale_Upcrossing |
case h.inr
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
i : ℕ
a✝¹ : i ∈ ↑(Finset.range N)
j : ℕ
a✝ : j ∈ ↑(Finset.range N)
hij : i ≠ j
hij' : j < i
⊢ min (upperCrossingTime a b f N (i + 1) ω) (upperCrossingTime a b f N (j + 1) ω) ≤
max (low... | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)] | theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossing... | Mathlib.Probability.Martingale.Upcrossing.377_0.80Cpy4Qgm9i1y9y | theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 | Mathlib_Probability_Martingale_Upcrossing |
case h.inr
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
i : ℕ
a✝¹ : i ∈ ↑(Finset.range N)
j : ℕ
a✝ : j ∈ ↑(Finset.range N)
hij : i ≠ j
hij' : j < i
⊢ upperCrossingTime a b f N (Nat.succ j) ω ≤ lowerCrossingTime a b f N i ω | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij')) | theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossing... | Mathlib.Probability.Martingale.Upcrossing.377_0.80Cpy4Qgm9i1y9y | theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 | Mathlib_Probability_Martingale_Upcrossing |
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
hf : Adapted ℱ f
⊢ Adapted ℱ (upcrossingStrat a b f N) | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | intro n | theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
| Mathlib.Probability.Martingale.Upcrossing.398_0.80Cpy4Qgm9i1y9y | theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) | Mathlib_Probability_Martingale_Upcrossing |
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n✝ m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
hf : Adapted ℱ f
n : ℕ
⊢ StronglyMeasurable (upcrossingStrat a b f N n) | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n | theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
| Mathlib.Probability.Martingale.Upcrossing.398_0.80Cpy4Qgm9i1y9y | theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) | Mathlib_Probability_Martingale_Upcrossing |
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n✝ m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
hf : Adapted ℱ f
n : ℕ
⊢ StronglyMeasurable fun ω =>
∑ k in Finset.range N,
Set.indicator ({n | lowerCrossingTime a b f N k ω ≤ n} ∩ {n | n < upperCrossingTime a b f N (k + 1) ω}) 1 n | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _) | theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
| Mathlib.Probability.Martingale.Upcrossing.398_0.80Cpy4Qgm9i1y9y | theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) | Mathlib_Probability_Martingale_Upcrossing |
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n✝ m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
hf : Adapted ℱ f
n i : ℕ
x✝ : i ∈ Finset.range N
⊢ MeasurableSet fun ω => setOf (fun n => n < upperCrossingTime a b f N (i + 1) ω) n | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | simp_rw [← not_le] | theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.strongl... | Mathlib.Probability.Martingale.Upcrossing.398_0.80Cpy4Qgm9i1y9y | theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) | Mathlib_Probability_Martingale_Upcrossing |
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n✝ m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
hf : Adapted ℱ f
n i : ℕ
x✝ : i ∈ Finset.range N
⊢ MeasurableSet fun ω => setOf (fun n => ¬upperCrossingTime a b f N (i + 1) ω ≤ n) n | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | exact (hf.isStoppingTime_upperCrossingTime n).compl | theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.strongl... | Mathlib.Probability.Martingale.Upcrossing.398_0.80Cpy4Qgm9i1y9y | theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) | Mathlib_Probability_Martingale_Upcrossing |
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a✝ b✝ : ℝ
f : ℕ → Ω → ℝ
N✝ n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
inst✝ : IsFiniteMeasure μ
hf : Submartingale f ℱ μ
a b : ℝ
N : ℕ
⊢ Submartingale (fun n => ∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _ | theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
| Mathlib.Probability.Martingale.Upcrossing.417_0.80Cpy4Qgm9i1y9y | theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ | Mathlib_Probability_Martingale_Upcrossing |
case refine'_1
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a✝ b✝ : ℝ
f : ℕ → Ω → ℝ
N✝ n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
inst✝ : IsFiniteMeasure μ
hf : Submartingale f ℱ μ
a b : ℝ
N : ℕ
⊢ ∀ (n : ℕ) (ω : Ω), (1 - upcrossingStrat a b f N n) ω ≤ 1 | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | exact fun n ω => sub_le_self _ upcrossingStrat_nonneg | theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcros... | Mathlib.Probability.Martingale.Upcrossing.417_0.80Cpy4Qgm9i1y9y | theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ | Mathlib_Probability_Martingale_Upcrossing |
case refine'_2
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a✝ b✝ : ℝ
f : ℕ → Ω → ℝ
N✝ n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
inst✝ : IsFiniteMeasure μ
hf : Submartingale f ℱ μ
a b : ℝ
N : ℕ
⊢ ∀ (n : ℕ) (ω : Ω), 0 ≤ (1 - upcrossingStrat a b f N n) ω | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | intro n ω | theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcros... | Mathlib.Probability.Martingale.Upcrossing.417_0.80Cpy4Qgm9i1y9y | theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ | Mathlib_Probability_Martingale_Upcrossing |
case refine'_2
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a✝ b✝ : ℝ
f : ℕ → Ω → ℝ
N✝ n✝ m : ℕ
ω✝ : Ω
ℱ : Filtration ℕ m0
inst✝ : IsFiniteMeasure μ
hf : Submartingale f ℱ μ
a b : ℝ
N n : ℕ
ω : Ω
⊢ 0 ≤ (1 - upcrossingStrat a b f N n) ω | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | simp [upcrossingStrat_le_one] | theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcros... | Mathlib.Probability.Martingale.Upcrossing.417_0.80Cpy4Qgm9i1y9y | theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ | Mathlib_Probability_Martingale_Upcrossing |
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
inst✝ : IsFiniteMeasure μ
hf : Submartingale f ℱ μ
⊢ ∫ (x : Ω), Finset.sum (Finset.range n) (fun k => upcrossingStrat a b f N k * (f (k + 1) - f k)) x ∂μ ≤
∫ (x : Ω), f n x ∂μ - ∫ (x : Ω), f 0 x ... | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Fins... | theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
| Mathlib.Probability.Martingale.Upcrossing.427_0.80Cpy4Qgm9i1y9y | theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] | Mathlib_Probability_Martingale_Upcrossing |
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
inst✝ : IsFiniteMeasure μ
hf : Submartingale f ℱ μ
⊢ 0 ≤ ∫ (x : Ω), Finset.sum (Finset.range n) (fun k => (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) x ∂μ | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ | theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
| Mathlib.Probability.Martingale.Upcrossing.427_0.80Cpy4Qgm9i1y9y | theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] | Mathlib_Probability_Martingale_Upcrossing |
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
inst✝ : IsFiniteMeasure μ
hf : Submartingale f ℱ μ
this :
∫ (ω : Ω) in Set.univ,
Finset.sum (Finset.range 0) (fun k => (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ω ∂μ ≤
∫ (ω : Ω... | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | rw [integral_univ, integral_univ] at this | theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have :... | Mathlib.Probability.Martingale.Upcrossing.427_0.80Cpy4Qgm9i1y9y | theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] | Mathlib_Probability_Martingale_Upcrossing |
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
inst✝ : IsFiniteMeasure μ
hf : Submartingale f ℱ μ
this :
∫ (x : Ω), Finset.sum (Finset.range 0) (fun k => (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) x ∂μ ≤
∫ (x : Ω), Finset.sum (Fin... | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | refine' le_trans _ this | theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have :... | Mathlib.Probability.Martingale.Upcrossing.427_0.80Cpy4Qgm9i1y9y | theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] | Mathlib_Probability_Martingale_Upcrossing |
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
inst✝ : IsFiniteMeasure μ
hf : Submartingale f ℱ μ
this :
∫ (x : Ω), Finset.sum (Finset.range 0) (fun k => (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) x ∂μ ≤
∫ (x : Ω), Finset.sum (Fin... | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl] | theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have :... | Mathlib.Probability.Martingale.Upcrossing.427_0.80Cpy4Qgm9i1y9y | theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] | Mathlib_Probability_Martingale_Upcrossing |
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
inst✝ : IsFiniteMeasure μ
hf : Submartingale f ℱ μ
h₁ : 0 ≤ ∫ (x : Ω), Finset.sum (Finset.range n) (fun k => (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) x ∂μ
⊢ ∫ (x : Ω), Finset.sum (Finset.... | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
P... | theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have :... | Mathlib.Probability.Martingale.Upcrossing.427_0.80Cpy4Qgm9i1y9y | theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] | Mathlib_Probability_Martingale_Upcrossing |
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
inst✝ : IsFiniteMeasure μ
hf : Submartingale f ℱ μ
h₁ : 0 ≤ ∫ (x : Ω), Finset.sum (Finset.range n) (fun k => (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) x ∂μ
⊢ ∫ (x : Ω), Finset.sum (Finset.... | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply] | theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have :... | Mathlib.Probability.Martingale.Upcrossing.427_0.80Cpy4Qgm9i1y9y | theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] | Mathlib_Probability_Martingale_Upcrossing |
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
inst✝ : IsFiniteMeasure μ
hf : Submartingale f ℱ μ
h₁ : 0 ≤ ∫ (x : Ω), Finset.sum (Finset.range n) (fun k => (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) x ∂μ
⊢ ∫ (x : Ω),
∑ x_1 in Fins... | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _ | theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have :... | Mathlib.Probability.Martingale.Upcrossing.427_0.80Cpy4Qgm9i1y9y | theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] | Mathlib_Probability_Martingale_Upcrossing |
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
inst✝ : IsFiniteMeasure μ
hf : Submartingale f ℱ μ
h₁ : 0 ≤ ∫ (x : Ω), Finset.sum (Finset.range n) (fun k => (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) x ∂μ
⊢ Integrable fun x => ∑ x_1 in F... | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1 | theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have :... | Mathlib.Probability.Martingale.Upcrossing.427_0.80Cpy4Qgm9i1y9y | theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] | Mathlib_Probability_Martingale_Upcrossing |
case h.e'_5
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
inst✝ : IsFiniteMeasure μ
hf : Submartingale f ℱ μ
h₁ : 0 ≤ ∫ (x : Ω), Finset.sum (Finset.range n) (fun k => (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) x ∂μ
⊢ (fun x => ∑ x_1 in... | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | ext | theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have :... | Mathlib.Probability.Martingale.Upcrossing.427_0.80Cpy4Qgm9i1y9y | theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] | Mathlib_Probability_Martingale_Upcrossing |
case h.e'_5.h
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
inst✝ : IsFiniteMeasure μ
hf : Submartingale f ℱ μ
h₁ : 0 ≤ ∫ (x : Ω), Finset.sum (Finset.range n) (fun k => (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) x ∂μ
x✝ : Ω
⊢ ∑ x in Fi... | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | simp | theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have :... | Mathlib.Probability.Martingale.Upcrossing.427_0.80Cpy4Qgm9i1y9y | theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] | Mathlib_Probability_Martingale_Upcrossing |
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
inst✝ : IsFiniteMeasure μ
hf : Submartingale f ℱ μ
h₁ : 0 ≤ ∫ (x : Ω), Finset.sum (Finset.range n) (fun k => (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) x ∂μ
h₂ :
∫ (x : Ω), Finset.sum (Fi... | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | rw [h₂, sub_nonneg] at h₁ | theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have :... | Mathlib.Probability.Martingale.Upcrossing.427_0.80Cpy4Qgm9i1y9y | theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] | Mathlib_Probability_Martingale_Upcrossing |
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
inst✝ : IsFiniteMeasure μ
hf : Submartingale f ℱ μ
h₁ :
∫ (x : Ω), Finset.sum (Finset.range n) (fun k => upcrossingStrat a b f N k * (f (k + 1) - f k)) x ∂μ ≤
∫ (x : Ω), Finset.sum (Finset.rang... | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | refine' le_trans h₁ _ | theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have :... | Mathlib.Probability.Martingale.Upcrossing.427_0.80Cpy4Qgm9i1y9y | theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] | Mathlib_Probability_Martingale_Upcrossing |
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
inst✝ : IsFiniteMeasure μ
hf : Submartingale f ℱ μ
h₁ :
∫ (x : Ω), Finset.sum (Finset.range n) (fun k => upcrossingStrat a b f N k * (f (k + 1) - f k)) x ∂μ ≤
∫ (x : Ω), Finset.sum (Finset.rang... | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl] | theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have :... | Mathlib.Probability.Martingale.Upcrossing.427_0.80Cpy4Qgm9i1y9y | theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] | Mathlib_Probability_Martingale_Upcrossing |
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a✝ b✝ : ℝ
f✝ : ℕ → Ω → ℝ
N n m : ℕ
ω✝ : Ω
ℱ : Filtration ℕ m0
inst✝² : Preorder ι
inst✝¹ : OrderBot ι
inst✝ : InfSet ι
a b : ℝ
f : ι → Ω → ℝ
ω : Ω
⊢ upcrossingsBefore a b f ⊥ ω = ⊥ | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | simp [upcrossingsBefore] | @[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by | Mathlib.Probability.Martingale.Upcrossing.455_0.80Cpy4Qgm9i1y9y | @[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ | Mathlib_Probability_Martingale_Upcrossing |
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
⊢ upcrossingsBefore a b f 0 ω = 0 | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | simp [upcrossingsBefore] | theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by | Mathlib.Probability.Martingale.Upcrossing.460_0.80Cpy4Qgm9i1y9y | theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 | Mathlib_Probability_Martingale_Upcrossing |
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
⊢ upcrossingsBefore a b f 0 = 0 | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | ext ω | @[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
| Mathlib.Probability.Martingale.Upcrossing.463_0.80Cpy4Qgm9i1y9y | @[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 | Mathlib_Probability_Martingale_Upcrossing |
case h
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω✝ : Ω
ℱ : Filtration ℕ m0
ω : Ω
⊢ upcrossingsBefore a b f 0 ω = OfNat.ofNat 0 ω | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | exact upcrossingsBefore_zero | @[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; | Mathlib.Probability.Martingale.Upcrossing.463_0.80Cpy4Qgm9i1y9y | @[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 | Mathlib_Probability_Martingale_Upcrossing |
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
hab : a < b
hn : upcrossingsBefore a b f N ω < n
⊢ upperCrossingTime a b f N n ω = N | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | refine' le_antisymm upperCrossingTime_le (not_lt.1 _) | theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
| Mathlib.Probability.Martingale.Upcrossing.476_0.80Cpy4Qgm9i1y9y | theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N | Mathlib_Probability_Martingale_Upcrossing |
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
hab : a < b
hn : upcrossingsBefore a b f N ω < n
⊢ ¬upperCrossingTime a b f N n ω < N | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab) | theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
| Mathlib.Probability.Martingale.Upcrossing.476_0.80Cpy4Qgm9i1y9y | theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N | Mathlib_Probability_Martingale_Upcrossing |
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f✝ : ℕ → Ω → ℝ
N n m : ℕ
ω✝ : Ω
ℱ : Filtration ℕ m0
f : ℕ → Ω → ℝ
ω : Ω
hab : a < b
⊢ upcrossingsBefore a b f N ω ≤ N | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | by_cases hN : N = 0 | theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
| Mathlib.Probability.Martingale.Upcrossing.482_0.80Cpy4Qgm9i1y9y | theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N | Mathlib_Probability_Martingale_Upcrossing |
case pos
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f✝ : ℕ → Ω → ℝ
N n m : ℕ
ω✝ : Ω
ℱ : Filtration ℕ m0
f : ℕ → Ω → ℝ
ω : Ω
hab : a < b
hN : N = 0
⊢ upcrossingsBefore a b f N ω ≤ N | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | subst hN | theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· | Mathlib.Probability.Martingale.Upcrossing.482_0.80Cpy4Qgm9i1y9y | theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N | Mathlib_Probability_Martingale_Upcrossing |
case pos
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f✝ : ℕ → Ω → ℝ
n m : ℕ
ω✝ : Ω
ℱ : Filtration ℕ m0
f : ℕ → Ω → ℝ
ω : Ω
hab : a < b
⊢ upcrossingsBefore a b f 0 ω ≤ 0 | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | rw [upcrossingsBefore_zero] | theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
| Mathlib.Probability.Martingale.Upcrossing.482_0.80Cpy4Qgm9i1y9y | theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N | Mathlib_Probability_Martingale_Upcrossing |
case neg
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f✝ : ℕ → Ω → ℝ
N n m : ℕ
ω✝ : Ω
ℱ : Filtration ℕ m0
f : ℕ → Ω → ℝ
ω : Ω
hab : a < b
hN : ¬N = 0
⊢ upcrossingsBefore a b f N ω ≤ N | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _ | theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· | Mathlib.Probability.Martingale.Upcrossing.482_0.80Cpy4Qgm9i1y9y | theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N | Mathlib_Probability_Martingale_Upcrossing |
case neg
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f✝ : ℕ → Ω → ℝ
N n✝ m : ℕ
ω✝ : Ω
ℱ : Filtration ℕ m0
f : ℕ → Ω → ℝ
ω : Ω
hab : a < b
hN : ¬N = 0
n : ℕ
hn : upperCrossingTime a b f N n ω < N
⊢ n ≤ N | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | by_contra hnN | theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
| Mathlib.Probability.Martingale.Upcrossing.482_0.80Cpy4Qgm9i1y9y | theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N | Mathlib_Probability_Martingale_Upcrossing |
case neg
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f✝ : ℕ → Ω → ℝ
N n✝ m : ℕ
ω✝ : Ω
ℱ : Filtration ℕ m0
f : ℕ → Ω → ℝ
ω : Ω
hab : a < b
hN : ¬N = 0
n : ℕ
hn : upperCrossingTime a b f N n ω < N
hnN : ¬n ≤ N
⊢ False | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le) | theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
| Mathlib.Probability.Martingale.Upcrossing.482_0.80Cpy4Qgm9i1y9y | theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N | Mathlib_Probability_Martingale_Upcrossing |
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
M : ℕ
hNM : N ≤ M
h : lowerCrossingTime a b f N n ω < N
⊢ upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h | theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
| Mathlib.Probability.Martingale.Upcrossing.492_0.80Cpy4Qgm9i1y9y | theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω | Mathlib_Probability_Martingale_Upcrossing |
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
M : ℕ
hNM : N ≤ M
h : lowerCrossingTime a b f N n ω < N
h' : upperCrossingTime a b f N n ω < N
⊢ upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lo... | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | induction' n with k ih | theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_o... | Mathlib.Probability.Martingale.Upcrossing.492_0.80Cpy4Qgm9i1y9y | theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω | Mathlib_Probability_Martingale_Upcrossing |
case zero
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
M : ℕ
hNM : N ≤ M
h : lowerCrossingTime a b f N Nat.zero ω < N
h' : upperCrossingTime a b f N Nat.zero ω < N
⊢ upperCrossingTime a b f M Nat.zero ω = upperCrossingTime a b f N Nat.zero ω ∧
... | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm] | theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_o... | Mathlib.Probability.Martingale.Upcrossing.492_0.80Cpy4Qgm9i1y9y | theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω | Mathlib_Probability_Martingale_Upcrossing |
case zero
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
M : ℕ
hNM : N ≤ M
h : lowerCrossingTime a b f N Nat.zero ω < N
h' : upperCrossingTime a b f N Nat.zero ω < N
⊢ hitting f (Set.Iic a) 0 N ω = hitting f (Set.Iic a) 0 M ω | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | refine' hitting_eq_hitting_of_exists hNM _ | theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_o... | Mathlib.Probability.Martingale.Upcrossing.492_0.80Cpy4Qgm9i1y9y | theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω | Mathlib_Probability_Martingale_Upcrossing |
case zero
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
M : ℕ
hNM : N ≤ M
h : lowerCrossingTime a b f N Nat.zero ω < N
h' : upperCrossingTime a b f N Nat.zero ω < N
⊢ ∃ j ∈ Set.Icc 0 N, f j ω ∈ Set.Iic a | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | rw [lowerCrossingTime, hitting_lt_iff] at h | theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_o... | Mathlib.Probability.Martingale.Upcrossing.492_0.80Cpy4Qgm9i1y9y | theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω | Mathlib_Probability_Martingale_Upcrossing |
case zero
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
M : ℕ
hNM : N ≤ M
h : ∃ j ∈ Set.Ico (upperCrossingTime a b f N Nat.zero ω) N, f j ω ∈ Set.Iic a
h' : upperCrossingTime a b f N Nat.zero ω < N
⊢ ∃ j ∈ Set.Icc 0 N, f j ω ∈ Set.Iic a
case zer... | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | obtain ⟨j, hj₁, hj₂⟩ := h | theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_o... | Mathlib.Probability.Martingale.Upcrossing.492_0.80Cpy4Qgm9i1y9y | theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω | Mathlib_Probability_Martingale_Upcrossing |
case zero.intro.intro
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
M : ℕ
hNM : N ≤ M
h' : upperCrossingTime a b f N Nat.zero ω < N
j : ℕ
hj₁ : j ∈ Set.Ico (upperCrossingTime a b f N Nat.zero ω) N
hj₂ : f j ω ∈ Set.Iic a
⊢ ∃ j ∈ Set.Icc 0 N, f j... | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl] | theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_o... | Mathlib.Probability.Martingale.Upcrossing.492_0.80Cpy4Qgm9i1y9y | theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω | Mathlib_Probability_Martingale_Upcrossing |
case succ
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
M : ℕ
hNM : N ≤ M
k : ℕ
ih :
lowerCrossingTime a b f N k ω < N →
upperCrossingTime a b f N k ω < N →
upperCrossingTime a b f M k ω = upperCrossingTime a b f N k ω ∧
lowe... | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h') | theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_o... | Mathlib.Probability.Martingale.Upcrossing.492_0.80Cpy4Qgm9i1y9y | theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω | Mathlib_Probability_Martingale_Upcrossing |
case succ
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
M : ℕ
hNM : N ≤ M
k : ℕ
h : lowerCrossingTime a b f N (Nat.succ k) ω < N
h' : upperCrossingTime a b f N (Nat.succ k) ω < N
ih :
upperCrossingTime a b f M k ω = upperCrossingTime a b f N k... | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩... | theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_o... | Mathlib.Probability.Martingale.Upcrossing.492_0.80Cpy4Qgm9i1y9y | theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω | Mathlib_Probability_Martingale_Upcrossing |
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
M : ℕ
hNM : N ≤ M
k : ℕ
h : lowerCrossingTime a b f N (Nat.succ k) ω < N
h' : upperCrossingTime a b f N (Nat.succ k) ω < N
ih :
upperCrossingTime a b f M k ω = upperCrossingTime a b f N k ω ∧
l... | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h' | theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_o... | Mathlib.Probability.Martingale.Upcrossing.492_0.80Cpy4Qgm9i1y9y | theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω | Mathlib_Probability_Martingale_Upcrossing |
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
M : ℕ
hNM : N ≤ M
k : ℕ
h : lowerCrossingTime a b f N (Nat.succ k) ω < N
h' : ∃ j ∈ Set.Ico (lowerCrossingTime a b f N k ω) N, f j ω ∈ Set.Ici b
ih :
upperCrossingTime a b f M k ω = upperCrossingTi... | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | simp only [upperCrossingTime_succ_eq] | theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_o... | Mathlib.Probability.Martingale.Upcrossing.492_0.80Cpy4Qgm9i1y9y | theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω | Mathlib_Probability_Martingale_Upcrossing |
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
M : ℕ
hNM : N ≤ M
k : ℕ
h : lowerCrossingTime a b f N (Nat.succ k) ω < N
h' : ∃ j ∈ Set.Ico (lowerCrossingTime a b f N k ω) N, f j ω ∈ Set.Ici b
ih :
upperCrossingTime a b f M k ω = upperCrossingTi... | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | obtain ⟨j, hj₁, hj₂⟩ := h' | theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_o... | Mathlib.Probability.Martingale.Upcrossing.492_0.80Cpy4Qgm9i1y9y | theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω | Mathlib_Probability_Martingale_Upcrossing |
case intro.intro
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
M : ℕ
hNM : N ≤ M
k : ℕ
h : lowerCrossingTime a b f N (Nat.succ k) ω < N
ih :
upperCrossingTime a b f M k ω = upperCrossingTime a b f N k ω ∧
lowerCrossingTime a b f M k ω = lo... | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | rw [eq_comm, ih.2] | theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_o... | Mathlib.Probability.Martingale.Upcrossing.492_0.80Cpy4Qgm9i1y9y | theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω | Mathlib_Probability_Martingale_Upcrossing |
case intro.intro
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
M : ℕ
hNM : N ≤ M
k : ℕ
h : lowerCrossingTime a b f N (Nat.succ k) ω < N
ih :
upperCrossingTime a b f M k ω = upperCrossingTime a b f N k ω ∧
lowerCrossingTime a b f M k ω = lo... | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl] | theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_o... | Mathlib.Probability.Martingale.Upcrossing.492_0.80Cpy4Qgm9i1y9y | theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω | Mathlib_Probability_Martingale_Upcrossing |
case succ
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
M : ℕ
hNM : N ≤ M
k : ℕ
h : lowerCrossingTime a b f N (Nat.succ k) ω < N
h' : upperCrossingTime a b f N (Nat.succ k) ω < N
ih :
upperCrossingTime a b f M k ω = upperCrossingTime a b f N k... | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | refine' ⟨this, _⟩ | theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_o... | Mathlib.Probability.Martingale.Upcrossing.492_0.80Cpy4Qgm9i1y9y | theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω | Mathlib_Probability_Martingale_Upcrossing |
case succ
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
M : ℕ
hNM : N ≤ M
k : ℕ
h : lowerCrossingTime a b f N (Nat.succ k) ω < N
h' : upperCrossingTime a b f N (Nat.succ k) ω < N
ih :
upperCrossingTime a b f M k ω = upperCrossingTime a b f N k... | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | simp only [lowerCrossingTime, eq_comm, this] | theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_o... | Mathlib.Probability.Martingale.Upcrossing.492_0.80Cpy4Qgm9i1y9y | theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω | Mathlib_Probability_Martingale_Upcrossing |
case succ
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
M : ℕ
hNM : N ≤ M
k : ℕ
h : lowerCrossingTime a b f N (Nat.succ k) ω < N
h' : upperCrossingTime a b f N (Nat.succ k) ω < N
ih :
upperCrossingTime a b f M k ω = upperCrossingTime a b f N k... | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | refine' hitting_eq_hitting_of_exists hNM _ | theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_o... | Mathlib.Probability.Martingale.Upcrossing.492_0.80Cpy4Qgm9i1y9y | theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω | Mathlib_Probability_Martingale_Upcrossing |
case succ
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
M : ℕ
hNM : N ≤ M
k : ℕ
h : lowerCrossingTime a b f N (Nat.succ k) ω < N
h' : upperCrossingTime a b f N (Nat.succ k) ω < N
ih :
upperCrossingTime a b f M k ω = upperCrossingTime a b f N k... | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h | theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_o... | Mathlib.Probability.Martingale.Upcrossing.492_0.80Cpy4Qgm9i1y9y | theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω | Mathlib_Probability_Martingale_Upcrossing |
case succ
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
M : ℕ
hNM : N ≤ M
k : ℕ
h : ∃ j ∈ Set.Ico (upperCrossingTime a b f N (Nat.succ k) ω) N, f j ω ∈ Set.Iic a
h' : upperCrossingTime a b f N (Nat.succ k) ω < N
ih :
upperCrossingTime a b f M ... | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | obtain ⟨j, hj₁, hj₂⟩ := h | theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_o... | Mathlib.Probability.Martingale.Upcrossing.492_0.80Cpy4Qgm9i1y9y | theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω | Mathlib_Probability_Martingale_Upcrossing |
case succ.intro.intro
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
M : ℕ
hNM : N ≤ M
k : ℕ
h' : upperCrossingTime a b f N (Nat.succ k) ω < N
ih :
upperCrossingTime a b f M k ω = upperCrossingTime a b f N k ω ∧
lowerCrossingTime a b f M k ... | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩ | theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_o... | Mathlib.Probability.Martingale.Upcrossing.492_0.80Cpy4Qgm9i1y9y | theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω | Mathlib_Probability_Martingale_Upcrossing |
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
M : ℕ
hNM : N ≤ M
h : upperCrossingTime a b f N (n + 1) ω < N
⊢ upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f... | /-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.... | have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2 | theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
| Mathlib.Probability.Martingale.Upcrossing.521_0.80Cpy4Qgm9i1y9y | theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω | Mathlib_Probability_Martingale_Upcrossing |
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