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
ℱ : Filtration ℕ m0
M : ℕ
hNM : N ≤ M
h : upperCrossingTime a b f N (n + 1) ω < N
this : lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω
⊢ upperCrossingTime a b f M (n + 1) ω = upperCrossingTime 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.... | refine' ⟨_, this⟩ | 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
have := (crossing_eq_crossing_of_lowe... | 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 |
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
this : lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω
⊢ upperCrossingTime a b f M (n + 1) ω = upperCrossingTime 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.... | rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this] | 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
have := (crossing_eq_crossing_of_lowe... | 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 |
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
this : lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω
⊢ hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω = hittin... | /-
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_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
have := (crossing_eq_crossing_of_lowe... | 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 |
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
this : lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω
⊢ ∃ j ∈ Set.Icc (lowerCrossingTime a b f N n ω) N, f j ω ∈ Set.Ici b | /-
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_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
have := (crossing_eq_crossing_of_lowe... | 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 |
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 (lowerCrossingTime a b f N n ω) N, f j ω ∈ Set.Ici b
this : lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω
⊢ ∃ j ∈ Set.Icc (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.... | obtain ⟨j, hj₁, hj₂⟩ := h | 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
have := (crossing_eq_crossing_of_lowe... | 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 |
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
this : lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω
j : ℕ
hj₁ : j ∈ Set.Ico (lowerCrossingTime a b f N n ω) N
hj₂ : f j ω ∈ Set.Ici b
⊢ ∃ j ∈ Set.I... | /-
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_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
have := (crossing_eq_crossing_of_lowe... | 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 |
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 ω < N
⊢ upperCrossingTime a b f M n ω = 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.... | cases n | theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
| Mathlib.Probability.Martingale.Upcrossing.535_0.80Cpy4Qgm9i1y9y | theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime 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 m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
M : ℕ
hNM : N ≤ M
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 | theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· | Mathlib.Probability.Martingale.Upcrossing.535_0.80Cpy4Qgm9i1y9y | theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime 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 m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
M : ℕ
hNM : N ≤ M
n✝ : ℕ
h : upperCrossingTime a b f N (Nat.succ n✝) ω < N
⊢ upperCrossingTime a b f M (Nat.succ n✝) ω = upperCrossingTime a b f N (Nat.succ 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.... | exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1 | theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· | Mathlib.Probability.Martingale.Upcrossing.535_0.80Cpy4Qgm9i1y9y | theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime 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
hab : a < b
⊢ Monotone fun N ω => upcrossingsBefore a b f 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 M hNM ω | theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
| Mathlib.Probability.Martingale.Upcrossing.543_0.80Cpy4Qgm9i1y9y | theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f 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
hab : a < b
N M : ℕ
hNM : N ≤ M
ω : Ω
⊢ (fun N ω => upcrossingsBefore a b f N ω) N ω ≤ (fun N ω => upcrossingsBefore a b f N ω) 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.... | simp only [upcrossingsBefore] | theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
| Mathlib.Probability.Martingale.Upcrossing.543_0.80Cpy4Qgm9i1y9y | theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f 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
hab : a < b
N M : ℕ
hNM : N ≤ M
ω : Ω
⊢ sSup {n | upperCrossingTime a b f N n ω < N} ≤ sSup {n | upperCrossingTime a b f M n ω < 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.... | by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty | theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
| Mathlib.Probability.Martingale.Upcrossing.543_0.80Cpy4Qgm9i1y9y | theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω | 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
hab : a < b
N M : ℕ
hNM : N ≤ M
ω : Ω
hemp : Set.Nonempty {n | upperCrossingTime a b f N n ω < N}
⊢ sSup {n | upperCrossingTime a b f N n ω < N} ≤ sSup {n | upperCrossingTime a b f M 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.... | refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _ | theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· | Mathlib.Probability.Martingale.Upcrossing.543_0.80Cpy4Qgm9i1y9y | theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω | 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
hab : a < b
N M : ℕ
hNM : N ≤ M
ω : Ω
hemp : Set.Nonempty {n | upperCrossingTime a b f N n ω < N}
n : ℕ
hn : n ∈ {n | upperCrossingTime a b f N n ω < N}
⊢ n ∈ {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.... | rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn] | theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
| Mathlib.Probability.Martingale.Upcrossing.543_0.80Cpy4Qgm9i1y9y | theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω | 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
hab : a < b
N M : ℕ
hNM : N ≤ M
ω : Ω
hemp : Set.Nonempty {n | upperCrossingTime a b f N n ω < N}
n : ℕ
hn : n ∈ {n | upperCrossingTime a b f N n ω < 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.... | exact lt_of_lt_of_le hn hNM | theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_... | Mathlib.Probability.Martingale.Upcrossing.543_0.80Cpy4Qgm9i1y9y | theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω | 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
hab : a < b
N M : ℕ
hNM : N ≤ M
ω : Ω
hemp : ¬Set.Nonempty {n | upperCrossingTime a b f N n ω < N}
⊢ sSup {n | upperCrossingTime a b f N n ω < N} ≤ sSup {n | upperCrossingTime a b f M 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.... | rw [Set.not_nonempty_iff_eq_empty] at hemp | theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_... | Mathlib.Probability.Martingale.Upcrossing.543_0.80Cpy4Qgm9i1y9y | theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω | 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
hab : a < b
N M : ℕ
hNM : N ≤ M
ω : Ω
hemp : {n | upperCrossingTime a b f N n ω < N} = ∅
⊢ sSup {n | upperCrossingTime a b f N n ω < N} ≤ sSup {n | upperCrossingTime a b f M n ω < 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.... | simp [hemp, csSup_empty, bot_eq_zero', zero_le'] | theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_... | Mathlib.Probability.Martingale.Upcrossing.543_0.80Cpy4Qgm9i1y9y | theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f 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
hab : a < b
N₁ N₂ : ℕ
hN₁ : N ≤ N₁
hN₁' : f N₁ ω < a
hN₂ : N₁ ≤ N₂
hN₂' : b < f N₂ ω
⊢ upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 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_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _) | theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
| Mathlib.Probability.Martingale.Upcrossing.554_0.80Cpy4Qgm9i1y9y | theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 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 : Filtration ℕ m0
hab : a < b
N₁ N₂ : ℕ
hN₁ : N ≤ N₁
hN₁' : f N₁ ω < a
hN₂ : N₁ ≤ N₂
hN₂' : b < f N₂ ω
⊢ Nat.succ (upcrossingsBefore a b f N ω) ∈ {n | upperCrossingTime a b f (N₂ + 1) n ω < N₂ + 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 [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl] | theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) ... | Mathlib.Probability.Martingale.Upcrossing.554_0.80Cpy4Qgm9i1y9y | theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 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 : Filtration ℕ m0
hab : a < b
N₁ N₂ : ℕ
hN₁ : N ≤ N₁
hN₁' : f N₁ ω < a
hN₂ : N₁ ≤ N₂
hN₂' : b < f N₂ ω
⊢ ∃ j ∈ Set.Ico (lowerCrossingTime a b f (N₂ + 1) (upcrossingsBefore a b f N ω) ω) (N₂ + 1), f j ω ∈ Set.Ici b | /-
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' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩ | theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) ... | Mathlib.Probability.Martingale.Upcrossing.554_0.80Cpy4Qgm9i1y9y | theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 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 : Filtration ℕ m0
hab : a < b
N₁ N₂ : ℕ
hN₁ : N ≤ N₁
hN₁' : f N₁ ω < a
hN₂ : N₁ ≤ N₂
hN₂' : b < f N₂ ω
⊢ lowerCrossingTime a b f (N₂ + 1) (upcrossingsBefore a b f N ω) ω ≤ N₂ | /-
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_le_iff_of_lt _ (Nat.lt_succ_self _)] | theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) ... | Mathlib.Probability.Martingale.Upcrossing.554_0.80Cpy4Qgm9i1y9y | theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 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 : Filtration ℕ m0
hab : a < b
N₁ N₂ : ℕ
hN₁ : N ≤ N₁
hN₁' : f N₁ ω < a
hN₂ : N₁ ≤ N₂
hN₂' : b < f N₂ ω
⊢ ∃ j ∈ Set.Icc (upperCrossingTime a b f (N₂ + 1) (upcrossingsBefore a b f N ω) ω) N₂, 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.... | refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩ | theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) ... | Mathlib.Probability.Martingale.Upcrossing.554_0.80Cpy4Qgm9i1y9y | theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 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 : Filtration ℕ m0
hab : a < b
N₁ N₂ : ℕ
hN₁ : N ≤ N₁
hN₁' : f N₁ ω < a
hN₂ : N₁ ≤ N₂
hN₂' : b < f N₂ ω
⊢ upperCrossingTime a b f (N₂ + 1) (upcrossingsBefore a b f N ω) 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 : 0 < N | theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) ... | Mathlib.Probability.Martingale.Upcrossing.554_0.80Cpy4Qgm9i1y9y | theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω | 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
hab : a < b
N₁ N₂ : ℕ
hN₁ : N ≤ N₁
hN₁' : f N₁ ω < a
hN₂ : N₁ ≤ N₂
hN₂' : b < f N₂ ω
hN : 0 < N
⊢ upperCrossingTime a b f (N₂ + 1) (upcrossingsBefore a b f N ω) 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.... | have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab) | theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) ... | Mathlib.Probability.Martingale.Upcrossing.554_0.80Cpy4Qgm9i1y9y | theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω | 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
hab : a < b
N₁ N₂ : ℕ
hN₁ : N ≤ N₁
hN₁' : f N₁ ω < a
hN₂ : N₁ ≤ N₂
hN₂' : b < f N₂ ω
hN : 0 < N
this : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < 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.... | rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this] | theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) ... | Mathlib.Probability.Martingale.Upcrossing.554_0.80Cpy4Qgm9i1y9y | theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω | 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
hab : a < b
N₁ N₂ : ℕ
hN₁ : N ≤ N₁
hN₁' : f N₁ ω < a
hN₂ : N₁ ≤ N₂
hN₂' : b < f N₂ ω
hN : 0 < N
this : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < 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 this.le | theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) ... | Mathlib.Probability.Martingale.Upcrossing.554_0.80Cpy4Qgm9i1y9y | theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω | 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
hab : a < b
N₁ N₂ : ℕ
hN₁ : N ≤ N₁
hN₁' : f N₁ ω < a
hN₂ : N₁ ≤ N₂
hN₂' : b < f N₂ ω
hN : ¬0 < N
⊢ upperCrossingTime a b f (N₂ + 1) (upcrossingsBefore a b f N ω) 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, le_zero_iff] at hN | theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) ... | Mathlib.Probability.Martingale.Upcrossing.554_0.80Cpy4Qgm9i1y9y | theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω | 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
hab : a < b
N₁ N₂ : ℕ
hN₁ : N ≤ N₁
hN₁' : f N₁ ω < a
hN₂ : N₁ ≤ N₂
hN₂' : b < f N₂ ω
hN : N = 0
⊢ upperCrossingTime a b f (N₂ + 1) (upcrossingsBefore a b f N ω) 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 [hN, upcrossingsBefore_zero, upperCrossingTime_zero] | theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) ... | Mathlib.Probability.Martingale.Upcrossing.554_0.80Cpy4Qgm9i1y9y | theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω | 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
hab : a < b
N₁ N₂ : ℕ
hN₁ : N ≤ N₁
hN₁' : f N₁ ω < a
hN₂ : N₁ ≤ N₂
hN₂' : b < f N₂ ω
hN : N = 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.... | rfl | theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) ... | Mathlib.Probability.Martingale.Upcrossing.554_0.80Cpy4Qgm9i1y9y | theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 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 : Filtration ℕ m0
hab : a < b
hn : upcrossingsBefore a b f N ω < n
⊢ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω - stoppedValue f (lowerCrossingTime a b f N n) 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.... | have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h) | theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
| Mathlib.Probability.Martingale.Upcrossing.588_0.80Cpy4Qgm9i1y9y | theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) 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
hab : a < b
hn : upcrossingsBefore a b f 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.... | rw [upcrossingsBefore] at hn | theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
| Mathlib.Probability.Martingale.Upcrossing.588_0.80Cpy4Qgm9i1y9y | theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) 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
hab : a < b
hn : sSup {n | upperCrossingTime a b f N n ω < N} < 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.... | rw [← not_lt] | theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
| Mathlib.Probability.Martingale.Upcrossing.588_0.80Cpy4Qgm9i1y9y | theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) 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
hab : a < b
hn : sSup {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 fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h) | theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]... | Mathlib.Probability.Martingale.Upcrossing.588_0.80Cpy4Qgm9i1y9y | theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) 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
hab : a < b
hn : upcrossingsBefore a b f N ω < n
this : N ≤ upperCrossingTime a b f N n ω
⊢ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω - stoppedValue f (lowerCrossingTime a b f N n) 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 [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)] | theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]... | Mathlib.Probability.Martingale.Upcrossing.588_0.80Cpy4Qgm9i1y9y | theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) 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
hf : a ≤ f N ω
hab : a < b
⊢ (b - a) * ↑(upcrossingsBefore a b f N ω) ≤ ∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) 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.... | classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime ... | theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
| Mathlib.Probability.Martingale.Upcrossing.599_0.80Cpy4Qgm9i1y9y | theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) 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
hf : a ≤ f N ω
hab : a < b
⊢ (b - a) * ↑(upcrossingsBefore a b f N ω) ≤ ∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) 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.... | by_cases hN : N = 0 | theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
| Mathlib.Probability.Martingale.Upcrossing.599_0.80Cpy4Qgm9i1y9y | theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω | 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
hf : a ≤ f N ω
hab : a < b
hN : N = 0
⊢ (b - a) * ↑(upcrossingsBefore a b f N ω) ≤ ∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) 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 [hN] | theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· | Mathlib.Probability.Martingale.Upcrossing.599_0.80Cpy4Qgm9i1y9y | theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω | 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
hf : a ≤ f N ω
hab : a < b
hN : ¬N = 0
⊢ (b - a) * ↑(upcrossingsBefore a b f N ω) ≤ ∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) 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_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul] | theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
| Mathlib.Probability.Martingale.Upcrossing.599_0.80Cpy4Qgm9i1y9y | theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω | 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
hf : a ≤ f N ω
hab : a < b
hN : ¬N = 0
⊢ (b - a) * ↑(upcrossingsBefore a b f N ω) ≤
∑ x in Finset.range N,
∑ x_1 in Finset.range N,
Set.indicator (Set.Ico (lowerCrossingTim... | /-
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 [Finset.sum_comm] | theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (f... | Mathlib.Probability.Martingale.Upcrossing.599_0.80Cpy4Qgm9i1y9y | theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω | 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
hf : a ≤ f N ω
hab : a < b
hN : ¬N = 0
⊢ (b - a) * ↑(upcrossingsBefore a b f N ω) ≤
∑ y in Finset.range N,
∑ x in Finset.range N,
Set.indicator (Set.Ico (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.... | have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.su... | theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (f... | Mathlib.Probability.Martingale.Upcrossing.599_0.80Cpy4Qgm9i1y9y | theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) 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
hf : a ≤ f N ω
hab : a < b
hN : ¬N = 0
⊢ ∀ (k : ℕ),
∑ n in Finset.range N,
Set.indicator (Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω))
(fun 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.... | intro k | theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (f... | Mathlib.Probability.Martingale.Upcrossing.599_0.80Cpy4Qgm9i1y9y | theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) 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
hf : a ≤ f N ω
hab : a < b
hN : ¬N = 0
k : ℕ
⊢ ∑ n in Finset.range N,
Set.indicator (Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω))
(fun m => f (m + 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.... | rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le... | theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (f... | Mathlib.Probability.Martingale.Upcrossing.599_0.80Cpy4Qgm9i1y9y | theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) 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
hf : a ≤ f N ω
hab : a < b
hN : ¬N = 0
k : ℕ
⊢ f (upperCrossingTime a b f N (k + 1) ω) ω - f (lowerCrossingTime a b f N k ω) ω =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω - stoppedValu... | /-
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.... | rfl | theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (f... | Mathlib.Probability.Martingale.Upcrossing.599_0.80Cpy4Qgm9i1y9y | theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) 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
hf : a ≤ f N ω
hab : a < b
hN : ¬N = 0
k : ℕ
⊢ Finset.filter (fun i => i ∈ Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω))
(Finset.range N) =
Finset.Ico (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.... | ext i | theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (f... | Mathlib.Probability.Martingale.Upcrossing.599_0.80Cpy4Qgm9i1y9y | theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω | Mathlib_Probability_Martingale_Upcrossing |
case a
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 : a ≤ f N ω
hab : a < b
hN : ¬N = 0
k i : ℕ
⊢ i ∈
Finset.filter (fun i => i ∈ Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω))
(Finset.range 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 only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp] | theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (f... | Mathlib.Probability.Martingale.Upcrossing.599_0.80Cpy4Qgm9i1y9y | theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω | Mathlib_Probability_Martingale_Upcrossing |
case a
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 : a ≤ f N ω
hab : a < b
hN : ¬N = 0
k i : ℕ
⊢ lowerCrossingTime a b f N k ω ≤ i → i < upperCrossingTime a b f N (k + 1) ω → i < 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 fun _ h => lt_of_lt_of_le h upperCrossingTime_le | theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (f... | Mathlib.Probability.Martingale.Upcrossing.599_0.80Cpy4Qgm9i1y9y | theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω | 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
hf : a ≤ f N ω
hab : a < b
hN : ¬N = 0
h₁ :
∀ (k : ℕ),
∑ n in Finset.range N,
Set.indicator (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.... | simp_rw [h₁] | theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (f... | Mathlib.Probability.Martingale.Upcrossing.599_0.80Cpy4Qgm9i1y9y | theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω | 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
hf : a ≤ f N ω
hab : a < b
hN : ¬N = 0
h₁ :
∀ (k : ℕ),
∑ n in Finset.range N,
Set.indicator (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.... | have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.... | theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (f... | Mathlib.Probability.Martingale.Upcrossing.599_0.80Cpy4Qgm9i1y9y | theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) 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
hf : a ≤ f N ω
hab : a < b
hN : ¬N = 0
h₁ :
∀ (k : ℕ),
∑ n in Finset.range N,
Set.indicator (Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω))
(fu... | /-
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.... | calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
... | theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (f... | Mathlib.Probability.Martingale.Upcrossing.599_0.80Cpy4Qgm9i1y9y | theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) 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
hf : a ≤ f N ω
hab : a < b
hN : ¬N = 0
h₁ :
∀ (k : ℕ),
∑ n in Finset.range N,
Set.indicator (Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω))
(fu... | /-
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.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _ | theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (f... | Mathlib.Probability.Martingale.Upcrossing.599_0.80Cpy4Qgm9i1y9y | theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) 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
hf : a ≤ f N ω
hab : a < b
hN : ¬N = 0
h₁ :
∀ (k : ℕ),
∑ n in Finset.range N,
Set.indicator (Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω))
(fu... | /-
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.... | rwa [Finset.mem_range] at hi | theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (f... | Mathlib.Probability.Martingale.Upcrossing.599_0.80Cpy4Qgm9i1y9y | theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) 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
hf : a ≤ f N ω
hab : a < b
hN : ¬N = 0
h₁ :
∀ (k : ℕ),
∑ n in Finset.range N,
Set.indicator (Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω))
(fu... | /-
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.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _ | theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (f... | Mathlib.Probability.Martingale.Upcrossing.599_0.80Cpy4Qgm9i1y9y | theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) 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
hf : a ≤ f N ω
hab : a < b
hN : ¬N = 0
h₁ :
∀ (k : ℕ),
∑ n in Finset.range N,
Set.indicator (Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω))
(fu... | /-
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 hi' : i = upcrossingsBefore a b f N ω | theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (f... | Mathlib.Probability.Martingale.Upcrossing.599_0.80Cpy4Qgm9i1y9y | theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω | 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
hf : a ≤ f N ω
hab : a < b
hN : ¬N = 0
h₁ :
∀ (k : ℕ),
∑ n in Finset.range N,
Set.indicator (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.... | subst hi' | theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (f... | Mathlib.Probability.Martingale.Upcrossing.599_0.80Cpy4Qgm9i1y9y | theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω | 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
hf : a ≤ f N ω
hab : a < b
hN : ¬N = 0
h₁ :
∀ (k : ℕ),
∑ n in Finset.range N,
Set.indicator (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.... | simp only [stoppedValue] | theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (f... | Mathlib.Probability.Martingale.Upcrossing.599_0.80Cpy4Qgm9i1y9y | theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω | 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
hf : a ≤ f N ω
hab : a < b
hN : ¬N = 0
h₁ :
∀ (k : ℕ),
∑ n in Finset.range N,
Set.indicator (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.... | rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)] | theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (f... | Mathlib.Probability.Martingale.Upcrossing.599_0.80Cpy4Qgm9i1y9y | theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω | 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
hf : a ≤ f N ω
hab : a < b
hN : ¬N = 0
h₁ :
∀ (k : ℕ),
∑ n in Finset.range N,
Set.indicator (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.... | by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N | theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (f... | Mathlib.Probability.Martingale.Upcrossing.599_0.80Cpy4Qgm9i1y9y | theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω | 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
hf : a ≤ f N ω
hab : a < b
hN : ¬N = 0
h₁ :
∀ (k : ℕ),
∑ n in Finset.range N,
Set.indicator (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.... | rw [heq, sub_self] | theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (f... | Mathlib.Probability.Martingale.Upcrossing.599_0.80Cpy4Qgm9i1y9y | theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω | 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
hf : a ≤ f N ω
hab : a < b
hN : ¬N = 0
h₁ :
∀ (k : ℕ),
∑ n in Finset.range N,
Set.indicator (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.... | rw [sub_nonneg] | theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (f... | Mathlib.Probability.Martingale.Upcrossing.599_0.80Cpy4Qgm9i1y9y | theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω | 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
hf : a ≤ f N ω
hab : a < b
hN : ¬N = 0
h₁ :
∀ (k : ℕ),
∑ n in Finset.range N,
Set.indicator (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.... | exact le_trans (stoppedValue_lowerCrossingTime heq) hf | theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (f... | Mathlib.Probability.Martingale.Upcrossing.599_0.80Cpy4Qgm9i1y9y | theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω | 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
hf : a ≤ f N ω
hab : a < b
hN : ¬N = 0
h₁ :
∀ (k : ℕ),
∑ n in Finset.range N,
Set.indicator (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.... | rw [sub_eq_zero_of_upcrossingsBefore_lt hab] | theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (f... | Mathlib.Probability.Martingale.Upcrossing.599_0.80Cpy4Qgm9i1y9y | theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω | 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
hf : a ≤ f N ω
hab : a < b
hN : ¬N = 0
h₁ :
∀ (k : ℕ),
∑ n in Finset.range N,
Set.indicator (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.... | rw [Finset.mem_range, not_lt] at hi | theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (f... | Mathlib.Probability.Martingale.Upcrossing.599_0.80Cpy4Qgm9i1y9y | theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω | 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
hf : a ≤ f N ω
hab : a < b
hN : ¬N = 0
h₁ :
∀ (k : ℕ),
∑ n in Finset.range N,
Set.indicator (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.... | exact lt_of_le_of_ne hi (Ne.symm hi') | theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (f... | Mathlib.Probability.Martingale.Upcrossing.599_0.80Cpy4Qgm9i1y9y | theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω | 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
hf : a ≤ f N ω
hab : a < b
hN : ¬N = 0
h₁ :
∀ (k : ℕ),
∑ n in Finset.range N,
Set.indicator (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.... | refine' le_trans _ h₂ | theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (f... | Mathlib.Probability.Martingale.Upcrossing.599_0.80Cpy4Qgm9i1y9y | theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω | 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
hf : a ≤ f N ω
hab : a < b
hN : ¬N = 0
h₁ :
∀ (k : ℕ),
∑ n in Finset.range N,
Set.indicator (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.... | rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm] | theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (f... | Mathlib.Probability.Martingale.Upcrossing.599_0.80Cpy4Qgm9i1y9y | theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) 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
inst✝ : IsFiniteMeasure μ
hf : Submartingale f ℱ μ
hfN : ∀ (ω : Ω), a ≤ f N ω
hfzero : 0 ≤ f 0
hab : a < b
⊢ (b - a) * ∫ (x : Ω), ↑(upcrossingsBefore a b f N 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.... | rw [← integral_mul_left] | theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b ... | Mathlib.Probability.Martingale.Upcrossing.655_0.80Cpy4Qgm9i1y9y | theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[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
hfN : ∀ (ω : Ω), a ≤ f N ω
hfzero : 0 ≤ f 0
hab : a < b
⊢ ∫ (a_1 : Ω), (b - a) * ↑(upcrossingsBefore a b f N a_1) ∂μ ≤
∫ (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.... | refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _ | theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b ... | Mathlib.Probability.Martingale.Upcrossing.655_0.80Cpy4Qgm9i1y9y | theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] | 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
hfN : ∀ (ω : Ω), a ≤ f N ω
hfzero : 0 ≤ f 0
hab : a < b
⊢ 0 ≤ᵐ[μ] fun a_1 => (b - a) * ↑(upcrossingsBefore a b f N a_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 eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _) | theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b ... | Mathlib.Probability.Martingale.Upcrossing.655_0.80Cpy4Qgm9i1y9y | theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] | 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
hfN : ∀ (ω : Ω), a ≤ f N ω
hfzero : 0 ≤ f 0
hab : a < b
⊢ (fun a_1 => (b - a) * ↑(upcrossingsBefore a b f N a_1)) ≤ᵐ[μ] fun 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.... | refine' eventually_of_forall fun ω => _ | theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b ... | Mathlib.Probability.Martingale.Upcrossing.655_0.80Cpy4Qgm9i1y9y | theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] | 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
hfN : ∀ (ω : Ω), a ≤ f N ω
hfzero : 0 ≤ f 0
hab : a < b
ω : Ω
⊢ (fun a_1 => (b - a) * ↑(upcrossingsBefore a b f N a_1)) ω ≤
(fun... | /-
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.... | simpa using mul_upcrossingsBefore_le (hfN ω) hab | theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b ... | Mathlib.Probability.Martingale.Upcrossing.655_0.80Cpy4Qgm9i1y9y | theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[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
hab : a < b
⊢ upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = 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.... | have hab' : 0 < b - a := sub_pos.2 hab | theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
| Mathlib.Probability.Martingale.Upcrossing.670_0.80Cpy4Qgm9i1y9y | theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = 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
hab : a < b
hab' : 0 < b - a
⊢ upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingT... | /-
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 : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans ... | theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
| Mathlib.Probability.Martingale.Upcrossing.670_0.80Cpy4Qgm9i1y9y | theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = 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
hab : a < b
hab' : 0 < b - a
⊢ ∀ (ω : Ω) (i : ℕ), b - a ≤ (f i ω - a)⁺ ↔ b ≤ f 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.... | intro i ω | theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤... | Mathlib.Probability.Martingale.Upcrossing.670_0.80Cpy4Qgm9i1y9y | theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = 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
hab : a < b
hab' : 0 < b - a
i : Ω
ω : ℕ
⊢ b - a ≤ (f ω i - a)⁺ ↔ b ≤ f ω i | /-
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' ⟨fun h => _, fun h => _⟩ | theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤... | Mathlib.Probability.Martingale.Upcrossing.670_0.80Cpy4Qgm9i1y9y | theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n | 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
hab : a < b
hab' : 0 < b - a
i : Ω
ω : ℕ
h : b - a ≤ (f ω i - a)⁺
⊢ b ≤ f ω i | /-
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.... | rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)] | theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤... | Mathlib.Probability.Martingale.Upcrossing.670_0.80Cpy4Qgm9i1y9y | theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n | 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
hab : a < b
hab' : 0 < b - a
i : Ω
ω : ℕ
h : b ≤ f ω i
⊢ b - a ≤ (f ω i - 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 [← sub_le_sub_iff_right a] at h | theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤... | Mathlib.Probability.Martingale.Upcrossing.670_0.80Cpy4Qgm9i1y9y | theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n | 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
hab : a < b
hab' : 0 < b - a
i : Ω
ω : ℕ
h : b - a ≤ f ω i - a
⊢ b - a ≤ (f ω i - 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.... | rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)] | theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤... | Mathlib.Probability.Martingale.Upcrossing.670_0.80Cpy4Qgm9i1y9y | theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = 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
hab : a < b
hab' : 0 < b - a
hf : ∀ (ω : Ω) (i : ℕ), b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω
⊢ upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
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.... | have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos] | theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤... | Mathlib.Probability.Martingale.Upcrossing.670_0.80Cpy4Qgm9i1y9y | theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = 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
hab : a < b
hab' : 0 < b - a
hf : ∀ (ω : Ω) (i : ℕ), b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω
⊢ ∀ (ω : Ω) (i : ℕ), (f i ω - a)⁺ ≤ 0 ↔ f i 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.... | intro ω i | theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤... | Mathlib.Probability.Martingale.Upcrossing.670_0.80Cpy4Qgm9i1y9y | theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = 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
hab : a < b
hab' : 0 < b - a
hf : ∀ (ω : Ω) (i : ℕ), b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω
ω : Ω
i : ℕ
⊢ (f i ω - a)⁺ ≤ 0 ↔ f i 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 [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos] | theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤... | Mathlib.Probability.Martingale.Upcrossing.670_0.80Cpy4Qgm9i1y9y | theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = 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
hab : a < b
hab' : 0 < b - a
hf : ∀ (ω : Ω) (i : ℕ), b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω
hf' : ∀ (ω : Ω) (i : ℕ), (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a
⊢ upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) 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 crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤... | Mathlib.Probability.Martingale.Upcrossing.670_0.80Cpy4Qgm9i1y9y | theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = 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
hab : a < b
hab' : 0 < b - a
hf : ∀ (ω : Ω) (i : ℕ), b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω
hf' : ∀ (ω : Ω) (i : ℕ), (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a
⊢ upperCrossingTime 0 (b - a) (fun n ω => (f 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.... | refine' ⟨rfl, _⟩ | theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤... | Mathlib.Probability.Martingale.Upcrossing.670_0.80Cpy4Qgm9i1y9y | theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = 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
hab : a < b
hab' : 0 < b - a
hf : ∀ (ω : Ω) (i : ℕ), b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω
hf' : ∀ (ω : Ω) (i : ℕ), (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a
⊢ lowerCrossingTime 0 (b - a) (fun n ω => (f 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 (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq] | theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤... | Mathlib.Probability.Martingale.Upcrossing.670_0.80Cpy4Qgm9i1y9y | theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = 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
hab : a < b
hab' : 0 < b - a
hf : ∀ (ω : Ω) (i : ℕ), b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω
hf' : ∀ (ω : Ω) (i : ℕ), (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a
⊢ (fun x => if ∃ j ∈ Set.Icc ⊥ N, (f j x - 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.... | ext ω | theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤... | Mathlib.Probability.Martingale.Upcrossing.670_0.80Cpy4Qgm9i1y9y | theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n | Mathlib_Probability_Martingale_Upcrossing |
case zero.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
hab : a < b
hab' : 0 < b - a
hf : ∀ (ω : Ω) (i : ℕ), b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω
hf' : ∀ (ω : Ω) (i : ℕ), (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a
ω : Ω
⊢ (if ∃ j ∈ Set.Icc ⊥ N, (f j 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.... | split_ifs with h₁ h₂ h₂ | theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤... | Mathlib.Probability.Martingale.Upcrossing.670_0.80Cpy4Qgm9i1y9y | theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N 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
hab : a < b
hab' : 0 < b - a
hf : ∀ (ω : Ω) (i : ℕ), b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω
hf' : ∀ (ω : Ω) (i : ℕ), (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a
ω : Ω
h₁ : ∃ j ∈ Set.Icc ⊥ N, (f j ω - a)⁺ ∈ Set.... | /-
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 [hf'] | theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤... | Mathlib.Probability.Martingale.Upcrossing.670_0.80Cpy4Qgm9i1y9y | theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N 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
hab : a < b
hab' : 0 < b - a
hf : ∀ (ω : Ω) (i : ℕ), b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω
hf' : ∀ (ω : Ω) (i : ℕ), (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a
ω : Ω
h₁ : ∃ j ∈ Set.Icc ⊥ N, (f j ω - a)⁺ ∈ Set.... | /-
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 [Set.mem_Iic, ← hf' _ _] at h₂ | theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤... | Mathlib.Probability.Martingale.Upcrossing.670_0.80Cpy4Qgm9i1y9y | theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N 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
hab : a < b
hab' : 0 < b - a
hf : ∀ (ω : Ω) (i : ℕ), b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω
hf' : ∀ (ω : Ω) (i : ℕ), (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a
ω : Ω
h₁ : ∃ j ∈ Set.Icc ⊥ N, (f j ω - a)⁺ ∈ Set.... | /-
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 False.elim (h₂ h₁) | theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤... | Mathlib.Probability.Martingale.Upcrossing.670_0.80Cpy4Qgm9i1y9y | theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N 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
hab : a < b
hab' : 0 < b - a
hf : ∀ (ω : Ω) (i : ℕ), b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω
hf' : ∀ (ω : Ω) (i : ℕ), (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a
ω : Ω
h₁ : ¬∃ j ∈ Set.Icc ⊥ N, (f j ω - a)⁺ ∈ Set... | /-
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 [Set.mem_Iic, hf' _ _] at h₁ | theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤... | Mathlib.Probability.Martingale.Upcrossing.670_0.80Cpy4Qgm9i1y9y | theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N 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
hab : a < b
hab' : 0 < b - a
hf : ∀ (ω : Ω) (i : ℕ), b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω
hf' : ∀ (ω : Ω) (i : ℕ), (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a
ω : Ω
h₂ : ∃ j ∈ Set.Icc ⊥ N, f j ω ∈ Set.Iic a
h... | /-
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 False.elim (h₁ h₂) | theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤... | Mathlib.Probability.Martingale.Upcrossing.670_0.80Cpy4Qgm9i1y9y | theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N 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
hab : a < b
hab' : 0 < b - a
hf : ∀ (ω : Ω) (i : ℕ), b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω
hf' : ∀ (ω : Ω) (i : ℕ), (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a
ω : Ω
h₁ : ¬∃ j ∈ Set.Icc ⊥ N, (f j ω - a)⁺ ∈ Set... | /-
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.... | rfl | theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤... | Mathlib.Probability.Martingale.Upcrossing.670_0.80Cpy4Qgm9i1y9y | theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = 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
hab : a < b
hab' : 0 < b - a
hf : ∀ (ω : Ω) (i : ℕ), b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω
hf' : ∀ (ω : Ω) (i : ℕ), (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a
k : ℕ
ih :
upperCrossingTime 0 (b - a) (fun 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 : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' Fals... | theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤... | Mathlib.Probability.Martingale.Upcrossing.670_0.80Cpy4Qgm9i1y9y | theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = 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
hab : a < b
hab' : 0 < b - a
hf : ∀ (ω : Ω) (i : ℕ), b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω
hf' : ∀ (ω : Ω) (i : ℕ), (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a
k : ℕ
ih :
upperCrossingTime 0 (b - a) (fun n ω => (f 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.... | ext ω | theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤... | Mathlib.Probability.Martingale.Upcrossing.670_0.80Cpy4Qgm9i1y9y | theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n | 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
hab : a < b
hab' : 0 < b - a
hf : ∀ (ω : Ω) (i : ℕ), b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω
hf' : ∀ (ω : Ω) (i : ℕ), (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a
k : ℕ
ih :
upperCrossingTime 0 (b - a) (fun 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 only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right] | theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤... | Mathlib.Probability.Martingale.Upcrossing.670_0.80Cpy4Qgm9i1y9y | theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n | 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
hab : a < b
hab' : 0 < b - a
hf : ∀ (ω : Ω) (i : ℕ), b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω
hf' : ∀ (ω : Ω) (i : ℕ), (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a
k : ℕ
ih :
upperCrossingTime 0 (b - a) (fun 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.... | split_ifs with h₁ h₂ h₂ | theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤... | Mathlib.Probability.Martingale.Upcrossing.670_0.80Cpy4Qgm9i1y9y | theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N 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
hab : a < b
hab' : 0 < b - a
hf : ∀ (ω : Ω) (i : ℕ), b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω
hf' : ∀ (ω : Ω) (i : ℕ), (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a
k : ℕ
ih :
upperCrossingTime 0 (b - a) (fun 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_rw [← sub_le_iff_le_add, hf ω] | theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤... | Mathlib.Probability.Martingale.Upcrossing.670_0.80Cpy4Qgm9i1y9y | theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N 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
hab : a < b
hab' : 0 < b - a
hf : ∀ (ω : Ω) (i : ℕ), b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω
hf' : ∀ (ω : Ω) (i : ℕ), (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a
k : ℕ
ih :
upperCrossingTime 0 (b - a) (fun 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.... | refine' False.elim (h₂ _) | theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤... | Mathlib.Probability.Martingale.Upcrossing.670_0.80Cpy4Qgm9i1y9y | theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N 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
hab : a < b
hab' : 0 < b - a
hf : ∀ (ω : Ω) (i : ℕ), b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω
hf' : ∀ (ω : Ω) (i : ℕ), (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a
k : ℕ
ih :
upperCrossingTime 0 (b - a) (fun 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_all only [Set.mem_Ici, not_true_eq_false] | theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤... | Mathlib.Probability.Martingale.Upcrossing.670_0.80Cpy4Qgm9i1y9y | theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N 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
hab : a < b
hab' : 0 < b - a
hf : ∀ (ω : Ω) (i : ℕ), b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω
hf' : ∀ (ω : Ω) (i : ℕ), (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a
k : ℕ
ih :
upperCrossingTime 0 (b - a) (fun 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.... | refine' False.elim (h₁ _) | theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤... | Mathlib.Probability.Martingale.Upcrossing.670_0.80Cpy4Qgm9i1y9y | theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N 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
hab : a < b
hab' : 0 < b - a
hf : ∀ (ω : Ω) (i : ℕ), b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω
hf' : ∀ (ω : Ω) (i : ℕ), (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a
k : ℕ
ih :
upperCrossingTime 0 (b - a) (fun 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_all only [Set.mem_Ici] | theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤... | Mathlib.Probability.Martingale.Upcrossing.670_0.80Cpy4Qgm9i1y9y | theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n | Mathlib_Probability_Martingale_Upcrossing |
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