-- Mathlib/Probability/Process/Filtration.lean
theorem memLp_limitProcess_of_eLpNorm_bdd {R : ℝ≥0} {p : ℝ≥0∞} {F : Type*} [NormedAddCommGroup F]
    {ℱ : Filtration ℕ m} {f : ℕ → Ω → F} (hfm : ∀ n, AEStronglyMeasurable (f n) μ)
    (hbdd : ∀ n, eLpNorm (f n) p μ ≤ R) : MemLp (limitProcess f ℱ μ) p μ

Proof state:
case pos
Ω : Type u_1
m : MeasurableSpace Ω
μ : Measure Ω
R : ℝ≥0
p : ℝ≥0∞
F : Type u_5
inst✝ : NormedAddCommGroup F
ℱ : Filtration ℕ m
f : ℕ → Ω → F
hfm : ∀ (n : ℕ), AEStronglyMeasurable (f n) μ
hbdd : ∀ (n : ℕ), eLpNorm (f n) p μ ≤ ↑R
h : ∃ g, StronglyMeasurable g ∧ ∀ᵐ (ω : Ω) ∂μ, Tendsto (fun n => f n ω) atTop (𝓝 (g ω))
⊢ MemLp (Classical.choose h) p μ

Tactic:
refine ⟨StronglyMeasurable.aestronglyMeasurable
  ((Classical.choose_spec h).1.mono (sSup_le fun m ⟨n, hn⟩ => hn ▸ ℱ.le _)),
  lt_of_le_of_lt (Lp.eLpNorm_lim_le_liminf_eLpNorm hfm _ (Classical.choose_spec h).2)
    (lt_of_le_of_lt ?_ (ENNReal.coe_lt_top : ↑R < ∞))⟩

Result:
case pos
Ω : Type u_1
m : MeasurableSpace Ω
μ : Measure Ω
R : ℝ≥0
p : ℝ≥0∞
F : Type u_5
inst✝ : NormedAddCommGroup F
ℱ : Filtration ℕ m
f : ℕ → Ω → F
hfm : ∀ (n : ℕ), AEStronglyMeasurable (f n) μ
hbdd : ∀ (n : ℕ), eLpNorm (f n) p μ ≤ ↑R
h : ∃ g, StronglyMeasurable g ∧ ∀ᵐ (ω : Ω) ∂μ, Tendsto (fun n => f n ω) atTop (𝓝 (g ω))
⊢ liminf (fun n => eLpNorm (f n) p μ) atTop ≤ ↑R

Proof state:
Ω : Type u_1
m : MeasurableSpace Ω
μ : Measure Ω
R : ℝ≥0
p : ℝ≥0∞
F : Type u_5
inst✝ : NormedAddCommGroup F
ℱ : Filtration ℕ m
f : ℕ → Ω → F
hfm : ∀ (n : ℕ), AEStronglyMeasurable (f n) μ
hbdd : ∀ (n : ℕ), eLpNorm (f n) p μ ≤ ↑R
⊢ MemLp
    (if h : ∃ g, StronglyMeasurable g ∧ ∀ᵐ (ω : Ω) ∂μ, Tendsto (fun n => f n ω) atTop (𝓝 (g ω)) then Classical.choose h
    else 0)
    p μ

Tactic:
split_ifs with h

Result:
case pos
Ω : Type u_1
m : MeasurableSpace Ω
μ : Measure Ω
R : ℝ≥0
p : ℝ≥0∞
F : Type u_5
inst✝ : NormedAddCommGroup F
ℱ : Filtration ℕ m
f : ℕ → Ω → F
hfm : ∀ (n : ℕ), AEStronglyMeasurable (f n) μ
hbdd : ∀ (n : ℕ), eLpNorm (f n) p μ ≤ ↑R
h : ∃ g, StronglyMeasurable g ∧ ∀ᵐ (ω : Ω) ∂μ, Tendsto (fun n => f n ω) atTop (𝓝 (g ω))
⊢ MemLp (Classical.choose h) p μ

case neg
Ω : Type u_1
m : MeasurableSpace Ω
μ : Measure Ω
R : ℝ≥0
p : ℝ≥0∞
F : Type u_5
inst✝ : NormedAddCommGroup F
ℱ : Filtration ℕ m
f : ℕ → Ω → F
hfm : ∀ (n : ℕ), AEStronglyMeasurable (f n) μ
hbdd : ∀ (n : ℕ), eLpNorm (f n) p μ ≤ ↑R
h : ¬∃ g, StronglyMeasurable g ∧ ∀ᵐ (ω : Ω) ∂μ, Tendsto (fun n => f n ω) atTop (𝓝 (g ω))
⊢ MemLp 0 p μ

Proof state:
case pos
Ω : Type u_1
m : MeasurableSpace Ω
μ : Measure Ω
R : ℝ≥0
p : ℝ≥0∞
F : Type u_5
inst✝ : NormedAddCommGroup F
ℱ : Filtration ℕ m
f : ℕ → Ω → F
hfm : ∀ (n : ℕ), AEStronglyMeasurable (f n) μ
hbdd : ∀ (n : ℕ), eLpNorm (f n) p μ ≤ ↑R
h : ∃ g, StronglyMeasurable g ∧ ∀ᵐ (ω : Ω) ∂μ, Tendsto (fun n => f n ω) atTop (𝓝 (g ω))
⊢ sSup {a | ∃ a_1, ∀ b ≥ a_1, a ≤ eLpNorm (f b) p μ} ≤ ↑R

Tactic:
exact sSup_le fun b ⟨a, ha⟩ => (ha a le_rfl).trans (hbdd _)

Result:
no goals

Proof state:
case neg
Ω : Type u_1
m : MeasurableSpace Ω
μ : Measure Ω
R : ℝ≥0
p : ℝ≥0∞
F : Type u_5
inst✝ : NormedAddCommGroup F
ℱ : Filtration ℕ m
f : ℕ → Ω → F
hfm : ∀ (n : ℕ), AEStronglyMeasurable (f n) μ
hbdd : ∀ (n : ℕ), eLpNorm (f n) p μ ≤ ↑R
h : ¬∃ g, StronglyMeasurable g ∧ ∀ᵐ (ω : Ω) ∂μ, Tendsto (fun n => f n ω) atTop (𝓝 (g ω))
⊢ MemLp 0 p μ

Tactic:
exact MemLp.zero

Result:
no goals

Proof state:
Ω : Type u_1
m : MeasurableSpace Ω
μ : Measure Ω
R : ℝ≥0
p : ℝ≥0∞
F : Type u_5
inst✝ : NormedAddCommGroup F
ℱ : Filtration ℕ m
f : ℕ → Ω → F
hfm : ∀ (n : ℕ), AEStronglyMeasurable (f n) μ
hbdd : ∀ (n : ℕ), eLpNorm (f n) p μ ≤ ↑R
⊢ MemLp (limitProcess f ℱ μ) p μ

Tactic:
rw [limitProcess]

Result:
Ω : Type u_1
m : MeasurableSpace Ω
μ : Measure Ω
R : ℝ≥0
p : ℝ≥0∞
F : Type u_5
inst✝ : NormedAddCommGroup F
ℱ : Filtration ℕ m
f : ℕ → Ω → F
hfm : ∀ (n : ℕ), AEStronglyMeasurable (f n) μ
hbdd : ∀ (n : ℕ), eLpNorm (f n) p μ ≤ ↑R
⊢ MemLp
    (if h : ∃ g, StronglyMeasurable g ∧ ∀ᵐ (ω : Ω) ∂μ, Tendsto (fun n => f n ω) atTop (𝓝 (g ω)) then Classical.choose h
    else 0)
    p μ

Proof state:
case pos
Ω : Type u_1
m : MeasurableSpace Ω
μ : Measure Ω
R : ℝ≥0
p : ℝ≥0∞
F : Type u_5
inst✝ : NormedAddCommGroup F
ℱ : Filtration ℕ m
f : ℕ → Ω → F
hfm : ∀ (n : ℕ), AEStronglyMeasurable (f n) μ
hbdd : ∀ (n : ℕ), eLpNorm (f n) p μ ≤ ↑R
h : ∃ g, StronglyMeasurable g ∧ ∀ᵐ (ω : Ω) ∂μ, Tendsto (fun n => f n ω) atTop (𝓝 (g ω))
⊢ liminf (fun n => eLpNorm (f n) p μ) atTop ≤ ↑R

Tactic:
simp_rw [liminf_eq, eventually_atTop]

Result:
case pos
Ω : Type u_1
m : MeasurableSpace Ω
μ : Measure Ω
R : ℝ≥0
p : ℝ≥0∞
F : Type u_5
inst✝ : NormedAddCommGroup F
ℱ : Filtration ℕ m
f : ℕ → Ω → F
hfm : ∀ (n : ℕ), AEStronglyMeasurable (f n) μ
hbdd : ∀ (n : ℕ), eLpNorm (f n) p μ ≤ ↑R
h : ∃ g, StronglyMeasurable g ∧ ∀ᵐ (ω : Ω) ∂μ, Tendsto (fun n => f n ω) atTop (𝓝 (g ω))
⊢ sSup {a | ∃ a_1, ∀ b ≥ a_1, a ≤ eLpNorm (f b) p μ} ≤ ↑R