-- Module: Mathlib.MeasureTheory.VectorMeasure.AddContent
Goal:
α : Type u_1
hα : MeasurableSpace α
E : Type u_2
inst : NormedAddCommGroup E
inst_1 : CompleteSpace E
μ : Measure α
inst_2 : IsFiniteMeasure μ
C : Set (Set α)
m : AddContent E C
hC : IsSetRing C
hCmeas : ∀ s ∈ C, MeasurableSet s
hm : ∀ s ∈ C, enorm.{u_2} (E := E) ((m : (a : Set α) → E) s : E) ≤ (μ : (a : Set α) → ℝ≥0∞) s
h'C : ∀ (t : Set α) (ε : ℝ≥0∞), MeasurableSet t → 0 < ε → ∃ s ∈ C, (μ : (a : Set α) → ℝ≥0∞) (s ∆ t) < ε
Express Express₁ Express₂ :
  ∃ (m' : VectorMeasure α E),
    (∀ s ∈ C, (↑m' : Set α → E) s = (m : (a : Set α) → E) s) ∧
      ∀ (s : Set α), ‖(↑m' : Set α → E) s‖ₑ ≤ (μ : (a : Set α) → ℝ≥0∞) s
Express₃ :
  let C' : Set (MeasuredSets μ) := {s : MeasuredSets μ | ∃ c ∈ C, (↑s : Set α) = c};
  ∀ (C'C : ∀ (s : MeasuredSets μ) (hs : s ∈ C'), (↑s : Set α) ∈ C),
    ∃ (m' : VectorMeasure α E),
      (∀ s ∈ C, (↑m' : Set α → E) s = (m : (a : Set α) → E) s) ∧
        ∀ (s : Set α), ‖(↑m' : Set α → E) s‖ₑ ≤ (μ : (a : Set α) → ℝ≥0∞) s
Express₄ Express₅ :
  let C' : Set (MeasuredSets μ) := {s : MeasuredSets μ | ∃ c ∈ C, (↑s : Set α) = c};
  ∀ (C'C : ∀ (s : MeasuredSets μ) (hs : s ∈ C'), (↑s : Set α) ∈ C) (C'_dense : Dense C'),
    ∃ (m' : VectorMeasure α E),
      (∀ s ∈ C, (↑m' : Set α → E) s = (m : (a : Set α) → E) s) ∧
        ∀ (s : Set α), ‖(↑m' : Set α → E) s‖ₑ ≤ (μ : (a : Set α) → ℝ≥0∞) s
Express₆ Express₇ :
  let C' : Set (MeasuredSets μ) := {s : MeasuredSets μ | ∃ c ∈ C, (↑s : Set α) = c};
  ∀ (C'C : ∀ (s : MeasuredSets μ) (hs : s ∈ C'), (↑s : Set α) ∈ C) (C'_dense : Dense C'),
    let m₀ : (↑C' : Type u_1) → E := fun (x : (↑C' : Type u_1)) ↦
      (m : (a : Set α) → E) (↑(↑x : MeasuredSets μ) : Set α);
    ∀ (lip : LipschitzWith 1 m₀),
      ∃ (m' : VectorMeasure α E),
        (∀ s ∈ C, (↑m' : Set α → E) s = (m : (a : Set α) → E) s) ∧
          ∀ (s : Set α), ‖(↑m' : Set α → E) s‖ₑ ≤ (μ : (a : Set α) → ℝ≥0∞) s
Express₈ :
  let C' : Set (MeasuredSets μ) := {s : MeasuredSets μ | ∃ c ∈ C, (↑s : Set α) = c};
  ∀ (C'C : ∀ (s : MeasuredSets μ) (hs : s ∈ C'), (↑s : Set α) ∈ C) (C'_dense : Dense C'),
    let m₀ : (↑C' : Type u_1) → E := fun (x : (↑C' : Type u_1)) ↦
      (m : (a : Set α) → E) (↑(↑x : MeasuredSets μ) : Set α);
    ∀ (lip : LipschitzWith 1 m₀),
      let m₁ := C'_dense.extend (s := C') m₀;
      ∀ (m₁_lip : LipschitzWith 1 m₁),
        ∃ (m' : VectorMeasure α E),
          (∀ s ∈ C, (↑m' : Set α → E) s = (m : (a : Set α) → E) s) ∧
            ∀ (s : Set α), ‖(↑m' : Set α → E) s‖ₑ ≤ (μ : (a : Set α) → ℝ≥0∞) s
Express₉ :
  let C' : Set (MeasuredSets μ) := {s : MeasuredSets μ | ∃ c ∈ C, (↑s : Set α) = c};
  ∀ (C'C : ∀ (s : MeasuredSets μ) (hs : s ∈ C'), (↑s : Set α) ∈ C) (C'_dense : Dense C'),
    let m₀ : (↑C' : Type u_1) → E := fun (x : (↑C' : Type u_1)) ↦
      (m : (a : Set α) → E) (↑(↑x : MeasuredSets μ) : Set α);
    ∀ (lip : LipschitzWith 1 m₀),
      let m₁ := C'_dense.extend (s := C') m₀;
      ∀ (m₁_lip : LipschitzWith 1 m₁)
        (hBound : ∀ (s : MeasuredSets μ), ‖m₁ s‖ₑ ≤ (μ : (a : Set α) → ℝ≥0∞) (↑s : Set α)),
        ∃ (m' : VectorMeasure α E),
          (∀ s ∈ C, (↑m' : Set α → E) s = (m : (a : Set α) → E) s) ∧
            ∀ (s : Set α), ‖(↑m' : Set α → E) s‖ₑ ≤ (μ : (a : Set α) → ℝ≥0∞) s
Express₁₀ Express₁₁ Express₁₂ :
  let C' : Set (MeasuredSets μ) := {s : MeasuredSets μ | ∃ c ∈ C, (↑s : Set α) = c};
  ∀ (C'C : ∀ (s : MeasuredSets μ) (hs : s ∈ C'), (↑s : Set α) ∈ C) (C'_dense : Dense C'),
    let m₀ : (↑C' : Type u_1) → E := fun (x : (↑C' : Type u_1)) ↦
      (m : (a : Set α) → E) (↑(↑x : MeasuredSets μ) : Set α);
    ∀ (lip : LipschitzWith 1 m₀),
      let m₁ := C'_dense.extend (s := C') m₀;
      ∀ (m₁_lip : LipschitzWith 1 m₁) (hBound : ∀ (s : MeasuredSets μ), ‖m₁ s‖ₑ ≤ (μ : (a : Set α) → ℝ≥0∞) (↑s : Set α))
        (hAddit :
          ∀ (s t : MeasuredSets μ) (h : Disjoint (↑s : Set α) (↑t : Set α)),
            m₁ (Subtype.mk (p := fun (s : Set α) ↦ MeasurableSet s) ((↑s : Set α) ∪ (↑t : Set α)) ⋯) = m₁ s + m₁ t),
        ∃ (m' : VectorMeasure α E),
          (∀ s ∈ C, (↑m' : Set α → E) s = (m : (a : Set α) → E) s) ∧
            ∀ (s : Set α), ‖(↑m' : Set α → E) s‖ₑ ≤ (μ : (a : Set α) → ℝ≥0∞) s
refine_1 :
  let C' : Set (MeasuredSets μ) := {s : MeasuredSets μ | ∃ c ∈ C, (↑s : Set α) = c};
  ∀ (C'C : ∀ (s : MeasuredSets μ) (hs : s ∈ C'), (↑s : Set α) ∈ C) (C'_dense : Dense C'),
    let m₀ : (↑C' : Type u_1) → E := fun (x : (↑C' : Type u_1)) ↦
      (m : (a : Set α) → E) (↑(↑x : MeasuredSets μ) : Set α);
    ∀ (lip : LipschitzWith 1 m₀),
      let m₁ := C'_dense.extend (s := C') m₀;
      ∀ (m₁_lip : LipschitzWith 1 m₁) (hBound : ∀ (s : MeasuredSets μ), ‖m₁ s‖ₑ ≤ (μ : (a : Set α) → ℝ≥0∞) (↑s : Set α))
        (hAddit :
          ∀ (s t : MeasuredSets μ) (h : Disjoint (↑s : Set α) (↑t : Set α)),
            m₁ (Subtype.mk (p := fun (s : Set α) ↦ MeasurableSet s) ((↑s : Set α) ∪ (↑t : Set α)) ⋯) = m₁ s + m₁ t),
        let m' : (s : Set α) → E := fun (s : Set α) ↦
          if hs : MeasurableSet s then m₁ (Subtype.mk (p := fun (s : Set α) ↦ MeasurableSet s) s hs) else 0;
        let m'' : VectorMeasure α E := of_additive_of_le_measure (μ := μ) m' ⋯ ⋯ ⋯;
        ∀ (s : Set α) (hs : s ∈ C), (↑m'' : Set α → E) s = (m : (a : Set α) → E) s
refine_2 refine_2₁ :
  let C' : Set (MeasuredSets μ) := {s : MeasuredSets μ | ∃ c ∈ C, (↑s : Set α) = c};
  ∀ (C'C : ∀ (s : MeasuredSets μ) (hs : s ∈ C'), (↑s : Set α) ∈ C) (C'_dense : Dense C'),
    let m₀ : (↑C' : Type u_1) → E := fun (x : (↑C' : Type u_1)) ↦
      (m : (a : Set α) → E) (↑(↑x : MeasuredSets μ) : Set α);
    ∀ (lip : LipschitzWith 1 m₀),
      let m₁ := C'_dense.extend (s := C') m₀;
      ∀ (m₁_lip : LipschitzWith 1 m₁) (hBound : ∀ (s : MeasuredSets μ), ‖m₁ s‖ₑ ≤ (μ : (a : Set α) → ℝ≥0∞) (↑s : Set α))
        (hAddit :
          ∀ (s t : MeasuredSets μ) (h : Disjoint (↑s : Set α) (↑t : Set α)),
            m₁ (Subtype.mk (p := fun (s : Set α) ↦ MeasurableSet s) ((↑s : Set α) ∪ (↑t : Set α)) ⋯) = m₁ s + m₁ t),
        let m' : (s : Set α) → E := fun (s : Set α) ↦
          if hs : MeasurableSet s then m₁ (Subtype.mk (p := fun (s : Set α) ↦ MeasurableSet s) s hs) else 0;
        let m'' : VectorMeasure α E := of_additive_of_le_measure (μ := μ) m' ⋯ ⋯ ⋯;
        ∀ (s : Set α), ‖(↑m'' : Set α → E) s‖ₑ ≤ (μ : (a : Set α) → ℝ≥0∞) s
⊢ ∃ (m' : VectorMeasure α E),
    (∀ s ∈ C, (↑m' : Set α → E) s = (m : (a : Set α) → E) s) ∧
      ∀ (s : Set α), ‖(↑m' : Set α → E) s‖ₑ ≤ (μ : (a : Set α) → ℝ≥0∞) s

Tactic:
classical
  -- Express things inside `MeasuredSets μ`.
  let C' : Set (MeasuredSets μ) := {s | ∃ c ∈ C, s = c}
  have C'C (s : MeasuredSets μ) (hs : s ∈ C') : (s : Set α) ∈ C := by
    rcases hs with ⟨t, ht, rfl⟩; exact ht
  have C'_dense : Dense C' := by
    simp only [Dense, EMetric.mem_closure_iff, gt_iff_lt]
    intro x ε εpos
    rcases h'C x ε x.2 εpos with ⟨s, sC, hs⟩
    refine ⟨⟨s, hCmeas s sC⟩, ⟨s, sC, rfl⟩, ?_⟩
    rw [edist_comm]
    exact hs
  /- Let `m₀` be the function `m` expressed on the subtype of `MeasuredSets μ` made of
  elements of `C`. -/
  let m₀ : C' → E := fun x ↦ m x
  -- It is Lipschitz continuous
  have lip : LipschitzWith 1 m₀ := by
    intro s t
    have : edist s t = edist (s : MeasuredSets μ) t := rfl
    simp only [ENNReal.coe_one, one_mul, this, MeasuredSets.edist_def, m₀, edist_eq_enorm_sub]
    rw [measure_symmDiff_eq (by exact s.1.2.nullMeasurableSet) (by exact t.1.2.nullMeasurableSet)]
    have Is : ((s : Set α) ∩ t) ∪ (s \ t) = (s : Set α) := Set.inter_union_diff _ _
    have It : ((t : Set α) ∩ s) ∪ (t \ s) = (t : Set α) := Set.inter_union_diff _ _
    nth_rewrite 1 [← Is]
    nth_rewrite 3 [← It]
    rw [addContent_union hC (hC.inter_mem (C'C _ t.2) (C'C _ s.2))
        (hC.diff_mem (C'C _ t.2) (C'C _ s.2)) Set.disjoint_sdiff_inter.symm,
      addContent_union hC (hC.inter_mem (C'C _ s.2) (C'C _ t.2))
        (hC.diff_mem (C'C _ s.2) (C'C _ t.2)) Set.disjoint_sdiff_inter.symm, Set.inter_comm]
    simp only [add_sub_add_left_eq_sub, ge_iff_le]
    apply enorm_sub_le.trans
    gcongr
    · exact hm _ (hC.diff_mem (C'C _ s.2) (C'C _ t.2))
    · exact hm _ (hC.diff_mem (C'C _ t.2) (C'C _ s.2))
  -- Let `m₁` be the extension of `m₀` to all elements of `MeasuredSets μ` by continuity
  let m₁ : MeasuredSets μ → E := C'_dense.extend m₀
  -- It is again Lipschitz continuous and bounded by `μ`
  have m₁_lip : LipschitzWith 1 m₁ := C'_dense.lipschitzWith_extend lip
  have hBound : ∀ s, ‖m₁ s‖ₑ ≤ μ s := by
    have : IsClosed {s | ‖m₁ s‖ₑ ≤ μ s} :=
      isClosed_le m₁_lip.continuous.enorm MeasuredSets.continuous_measure
    have : Dense {s | ‖m₁ s‖ₑ ≤ μ s} := by
      apply C'_dense.mono
      intro s hs
      simp only [Set.mem_setOf_eq]
      convert! hm s (C'C s hs)
      exact C'_dense.extend_eq lip.continuous ⟨s, hs⟩
    simpa only [Dense, IsClosed.closure_eq, Set.mem_setOf_eq] using this
  /- Most involved technical step: show that the extension `m₁` of `m₀` is still finitely
  additive. -/
  have hAddit (s t : MeasuredSets μ) (h : Disjoint (s : Set α) t) :
      m₁ ⟨s ∪ t, s.2.union t.2⟩ = m₁ s + m₁ t := by
    suffices ∀ ε > 0, ‖m₁ (⟨s ∪ t, s.2.union t.2⟩) - m₁ s - m₁ t‖ₑ < ε by
      rw [← sub_eq_zero, ← enorm_eq_zero, sub_add_eq_sub_sub]
      exact eq_bot_iff.2 (le_of_forall_gt this)
    intro ε εpos
    obtain ⟨δ, δpos, hδ⟩ : ∃ δ, 0 < δ ∧ 8 * δ = ε :=
      ⟨ε / 8, (ENNReal.div_pos εpos.ne' (by simp)), ENNReal.mul_div_cancel (by simp) (by simp)⟩
    -- approximate `s` and `t` up to `δ` by sets `s'` and `t'` in `C`.
    obtain ⟨s', s'C, hs'⟩ : ∃ s' ∈ C, μ (s' ∆ s) < δ := h'C _ _ s.2 δpos
    obtain ⟨t', t'C, ht'⟩ : ∃ t' ∈ C, μ (t' ∆ t) < δ := h'C _ _ t.2 δpos
    have It : ‖m t' - m₁ t‖ₑ < δ := by
      have : m₁ ⟨t', hCmeas _ t'C⟩ = m t' :=
        C'_dense.extend_eq lip.continuous ⟨⟨t', hCmeas _ t'C⟩, ⟨t', t'C, rfl⟩⟩
      rw [← this, ← edist_eq_enorm_sub]
      apply (m₁_lip _ _).trans_lt
      simp only [ENNReal.coe_one, MeasuredSets.edist_def, one_mul]
      exact ht'
    -- `s'` and `t'` have no reason to be disjoint, but their intersection has small measure
    have hμ' : μ (s' ∩ t') < 2 * δ := calc
      μ (s' ∩ t')
      _ ≤ μ (s ∩ t ∪ (s' ∆ s) ∪ (t' ∆ t)) := measure_mono (by grind)
      _ = μ ((s' ∆ s) ∪ (t' ∆ t)) := by simp [Set.disjoint_iff_inter_eq_empty.mp h]
      _ ≤ μ (s' ∆ s) + μ (t' ∆ t) := measure_union_le _ _
      _ < δ + δ := by gcongr
      _ = 2 * δ := by ring
    -- Therefore, the set `s'' := s' \ t'` still approximates well the original set `s`, it belongs
    -- to `C`, and moreover `s''` and `t'` are disjoint.
    let s'' := s' \ t'
    have s''C : s'' ∈ C := hC.diff_mem s'C t'C
    have hs'' : μ (s'' ∆ s) < 3 * δ := calc
      μ (s'' ∆ s)
      _ ≤ μ (s'' ∆ s') + μ (s' ∆ s) := measure_symmDiff_le _ _ _
      _ < 2 * δ + δ := by gcongr; simp [s'', symmDiff, hμ']
      _ = 3 * δ := by ring
    have Is : ‖m s'' - m₁ s‖ₑ < 3 * δ := by
      have : m₁ ⟨s'', hCmeas _ s''C⟩ = m s'' :=
        C'_dense.extend_eq lip.continuous ⟨⟨s'', hCmeas _ s''C⟩, ⟨s'', s''C, rfl⟩⟩
      rw [← this, ← edist_eq_enorm_sub]
      apply (m₁_lip _ _).trans_lt
      simp only [ENNReal.coe_one, MeasuredSets.edist_def, one_mul]
      exact hs''
    -- `s'' ∪ t'` also approximates well `s ∪ t`.
    have Ist : ‖m (s'' ∪ t') - m₁ ⟨s ∪ t, s.2.union t.2⟩‖ₑ < 4 * δ := by
      have s''t'C : s'' ∪ t' ∈ C := hC.union_mem s''C t'C
      have : m₁ ⟨s'' ∪ t', hCmeas _ s''t'C⟩ = m (s'' ∪ t') :=
        C'_dense.extend_eq lip.continuous ⟨⟨s'' ∪ t', hCmeas _ s''t'C⟩, ⟨s'' ∪ t', s''t'C, rfl⟩⟩
      rw [← this, ← edist_eq_enorm_sub]
      apply (m₁_lip _ _).trans_lt
      simp only [ENNReal.coe_one, MeasuredSets.edist_def, one_mul]
      change μ ((s'' ∪ t') ∆ (s ∪ t)) < 4 * δ
      calc μ ((s'' ∪ t') ∆ (s ∪ t))
      _ ≤ μ (s'' ∆ s ∪ t' ∆ t) := measure_mono (Set.union_symmDiff_union_subset ..)
      _ ≤ μ (s'' ∆ s) + μ (t' ∆ t) := measure_union_le _ _
      _ < 3 * δ + δ := by gcongr
      _ = 4 * δ := by ring
    -- conclusion: to estimate `m₁ (s ∪ t) - m₁ s - m₁ t`, replace it up to a small error by
    -- `m₁ (s'' ∪ t') - m₁ s'' - m₁ t'`, which is zero as `m₁` is additive on `C` and these
    -- two sets are disjoint
    calc ‖m₁ (⟨s ∪ t, s.2.union t.2⟩) - m₁ s - m₁ t‖ₑ
    _ = ‖(m (s'' ∪ t') - m s'' - m t') + (m₁ ⟨s ∪ t, s.2.union t.2⟩ - m (s'' ∪ t'))
          + (m s'' - m₁ s) + (m t' - m₁ t)‖ₑ := by abel_nf
    _ ≤ ‖m (s'' ∪ t') - m s'' - m t'‖ₑ + ‖m₁ ⟨s ∪ t, s.2.union t.2⟩ - m (s'' ∪ t')‖ₑ
          + ‖m s'' - m₁ s‖ₑ + ‖m t' - m₁ t‖ₑ := enorm_add₄_le
    _ = ‖m₁ ⟨s ∪ t, s.2.union t.2⟩ - m (s'' ∪ t')‖ₑ + ‖m s'' - m₁ s‖ₑ + ‖m t' - m₁ t‖ₑ := by
      rw [addContent_union hC s''C t'C Set.disjoint_sdiff_left]
      simp
    _ < 4 * δ + 3 * δ + δ := by
      gcongr
      rwa [enorm_sub_rev]
    _ = 8 * δ := by ring
    _ = ε := hδ
  -- conclusion of the proof: the function `s ↦ m₁ s` if `s` is measurable, and `0` otherwise,
  -- defines a vector measure satisfying the required properties
  let m' (s : Set α) := if hs : MeasurableSet s then m₁ ⟨s, hs⟩ else 0
  let m'' : VectorMeasure α E := by
    apply VectorMeasure.of_additive_of_le_measure m' (μ := μ)
    · intro s
      by_cases hs : MeasurableSet s
      · simpa [hs, m'] using hBound _
      · simp [hs, m']
    · intro s t hs ht hst
      simp only [hs, ht, MeasurableSet.union, ↓reduceDIte, m']
      exact hAddit ⟨s, hs⟩ ⟨t, ht⟩ hst
    · intro s hs
      simp [m', hs]
  refine ⟨m'', fun s hs ↦ ?_, fun s ↦ ?_⟩
  · change m' s = m s
    simp only [hCmeas s hs, ↓reduceDIte, m']
    exact C'_dense.extend_eq lip.continuous ⟨⟨s, hCmeas _ hs⟩, ⟨s, hs, rfl⟩⟩
  · change ‖m' s‖ₑ ≤ μ s
    by_cases hs : MeasurableSet s
    · simp only [hs, ↓reduceDIte, m']
      exact hBound ⟨s, hs⟩
    · simp [m', hs]

Premises used: reduceDIte