-- Mathlib/MeasureTheory/Integral/Layercake.lean
theorem lintegral_comp_eq_lintegral_meas_le_mul_of_measurable_of_sigmaFinite
    (μ : Measure α) [SFinite μ]
    (f_nn : 0 ≤ f) (f_mble : Measurable f)
    (g_intble : ∀ t > 0, IntervalIntegrable g volume 0 t) (g_mble : Measurable g)
    (g_nn : ∀ t > 0, 0 ≤ g t) :
    ∫⁻ ω, ENNReal.ofReal (∫ t in (0)..f ω, g t) ∂μ =
      ∫⁻ t in Ioi 0, μ {a : α | t ≤ f a} * ENNReal.ofReal (g t)

Proof state:
case h
α : Type u_1
inst✝¹ : MeasurableSpace α
f : α → ℝ
g : ℝ → ℝ
μ : Measure α
inst✝ : SFinite μ
f_nn : 0 ≤ f
f_mble : Measurable f
g_intble : ∀ t > 0, IntervalIntegrable g volume 0 t
g_mble : Measurable g
g_nn : ∀ t > 0, 0 ≤ g t
g_intble' : ∀ (t : ℝ), 0 ≤ t → IntervalIntegrable g volume 0 t
integrand_eq : ∀ (ω : α), ENNReal.ofReal (∫ (t : ℝ) in 0 ..f ω, g t) = ∫⁻ (t : ℝ) in Ioc 0 (f ω), ENNReal.ofReal (g t)
s : ℝ
a : α
⊢ (Ioc 0 (f a)).indicator (fun t => ENNReal.ofReal (g t)) s =
    ENNReal.ofReal (g s) * (Ioi 0).indicator (fun x => 1) s * (Ici s).indicator (fun x => 1) (f a)

Tactic:
by_cases h : s ∈ Ioc (0 : ℝ) (f a)

Result:
case pos
α : Type u_1
inst✝¹ : MeasurableSpace α
f : α → ℝ
g : ℝ → ℝ
μ : Measure α
inst✝ : SFinite μ
f_nn : 0 ≤ f
f_mble : Measurable f
g_intble : ∀ t > 0, IntervalIntegrable g volume 0 t
g_mble : Measurable g
g_nn : ∀ t > 0, 0 ≤ g t
g_intble' : ∀ (t : ℝ), 0 ≤ t → IntervalIntegrable g volume 0 t
integrand_eq : ∀ (ω : α), ENNReal.ofReal (∫ (t : ℝ) in 0 ..f ω, g t) = ∫⁻ (t : ℝ) in Ioc 0 (f ω), ENNReal.ofReal (g t)
s : ℝ
a : α
h : s ∈ Ioc 0 (f a)
⊢ (Ioc 0 (f a)).indicator (fun t => ENNReal.ofReal (g t)) s =
    ENNReal.ofReal (g s) * (Ioi 0).indicator (fun x => 1) s * (Ici s).indicator (fun x => 1) (f a)

case neg
α : Type u_1
inst✝¹ : MeasurableSpace α
f : α → ℝ
g : ℝ → ℝ
μ : Measure α
inst✝ : SFinite μ
f_nn : 0 ≤ f
f_mble : Measurable f
g_intble : ∀ t > 0, IntervalIntegrable g volume 0 t
g_mble : Measurable g
g_nn : ∀ t > 0, 0 ≤ g t
g_intble' : ∀ (t : ℝ), 0 ≤ t → IntervalIntegrable g volume 0 t
integrand_eq : ∀ (ω : α), ENNReal.ofReal (∫ (t : ℝ) in 0 ..f ω, g t) = ∫⁻ (t : ℝ) in Ioc 0 (f ω), ENNReal.ofReal (g t)
s : ℝ
a : α
h : s ∉ Ioc 0 (f a)
⊢ (Ioc 0 (f a)).indicator (fun t => ENNReal.ofReal (g t)) s =
    ENNReal.ofReal (g s) * (Ioi 0).indicator (fun x => 1) s * (Ici s).indicator (fun x => 1) (f a)

Proof state:
case h
α : Type u_1
inst✝¹ : MeasurableSpace α
f : α → ℝ
g : ℝ → ℝ
μ : Measure α
inst✝ : SFinite μ
f_nn : 0 ≤ f
f_mble : Measurable f
g_intble : ∀ t > 0, IntervalIntegrable g volume 0 t
g_mble : Measurable g
g_nn : ∀ t > 0, 0 ≤ g t
g_intble' : ∀ (t : ℝ), 0 ≤ t → IntervalIntegrable g volume 0 t
integrand_eq : ∀ (ω : α), ENNReal.ofReal (∫ (t : ℝ) in 0 ..f ω, g t) = ∫⁻ (t : ℝ) in Ioc 0 (f ω), ENNReal.ofReal (g t)
s : ℝ
aux₁ :
  (fun x => (Ioc 0 (f x)).indicator (fun t => ENNReal.ofReal (g t)) s) = fun x =>
    ENNReal.ofReal (g s) * (Ioi 0).indicator (fun x => 1) s * (Ici s).indicator (fun x => 1) (f x)
a : α
⊢ (Ici s).indicator (fun x => 1) (f a) = {a | s ≤ f a}.indicator (fun x => 1) a

Tactic:
by_cases h : s ≤ f a <;> simp [h]

Result:
no goals

Proof state:
α : Type u_1
inst✝¹ : MeasurableSpace α
f : α → ℝ
g : ℝ → ℝ
μ : Measure α
inst✝ : SFinite μ
f_nn : 0 ≤ f
f_mble : Measurable f
g_intble : ∀ t > 0, IntervalIntegrable g volume 0 t
g_mble : Measurable g
g_nn : ∀ t > 0, 0 ≤ g t
g_intble' : ∀ (t : ℝ), 0 ≤ t → IntervalIntegrable g volume 0 t
⊢ ∫⁻ (ω : α), ENNReal.ofReal (∫ (t : ℝ) in 0 ..f ω, g t) ∂μ =
    ∫⁻ (t : ℝ) in Ioi 0, μ {a | t ≤ f a} * ENNReal.ofReal (g t)

Tactic:
have integrand_eq : ∀ ω,
    ENNReal.ofReal (∫ t in (0)..f ω, g t) = ∫⁻ t in Ioc 0 (f ω), ENNReal.ofReal (g t) := by
  intro ω
  have g_ae_nn : 0 ≤ᵐ[volume.restrict (Ioc 0 (f ω))] g := by
    filter_upwards [self_mem_ae_restrict (measurableSet_Ioc : MeasurableSet (Ioc 0 (f ω)))]
      with x hx using g_nn x hx.1
  rw [← ofReal_integral_eq_lintegral_ofReal (g_intble' (f ω) (f_nn ω)).1 g_ae_nn]
  congr
  exact intervalIntegral.integral_of_le (f_nn ω)

Result:
α : Type u_1
inst✝¹ : MeasurableSpace α
f : α → ℝ
g : ℝ → ℝ
μ : Measure α
inst✝ : SFinite μ
f_nn : 0 ≤ f
f_mble : Measurable f
g_intble : ∀ t > 0, IntervalIntegrable g volume 0 t
g_mble : Measurable g
g_nn : ∀ t > 0, 0 ≤ g t
g_intble' : ∀ (t : ℝ), 0 ≤ t → IntervalIntegrable g volume 0 t
integrand_eq : ∀ (ω : α), ENNReal.ofReal (∫ (t : ℝ) in 0 ..f ω, g t) = ∫⁻ (t : ℝ) in Ioc 0 (f ω), ENNReal.ofReal (g t)
⊢ ∫⁻ (ω : α), ENNReal.ofReal (∫ (t : ℝ) in 0 ..f ω, g t) ∂μ =
    ∫⁻ (t : ℝ) in Ioi 0, μ {a | t ≤ f a} * ENNReal.ofReal (g t)

Proof state:
case inl
α : Type u_1
inst✝¹ : MeasurableSpace α
f : α → ℝ
g : ℝ → ℝ
μ : Measure α
inst✝ : SFinite μ
f_nn : 0 ≤ f
f_mble : Measurable f
g_intble : ∀ t > 0, IntervalIntegrable g volume 0 t
g_mble : Measurable g
g_nn : ∀ t > 0, 0 ≤ g t
t : ℝ
ht : 0 ≤ t
h : 0 = t
⊢ IntervalIntegrable g volume 0 t

Tactic:
simp [← h]

Result:
no goals

Proof state:
case hf
α : Type u_1
inst✝¹ : MeasurableSpace α
f : α → ℝ
g : ℝ → ℝ
μ : Measure α
inst✝ : SFinite μ
f_nn : 0 ≤ f
f_mble : Measurable f
g_intble : ∀ t > 0, IntervalIntegrable g volume 0 t
g_mble : Measurable g
g_nn : ∀ t > 0, 0 ≤ g t
g_intble' : ∀ (t : ℝ), 0 ≤ t → IntervalIntegrable g volume 0 t
integrand_eq : ∀ (ω : α), ENNReal.ofReal (∫ (t : ℝ) in 0 ..f ω, g t) = ∫⁻ (t : ℝ) in Ioc 0 (f ω), ENNReal.ofReal (g t)
aux₂ :
  (Function.uncurry fun x y => (Ioc 0 (f x)).indicator (fun t => ENNReal.ofReal (g t)) y) =
    {p | p.2 ∈ Ioc 0 (f p.1)}.indicator fun p => ENNReal.ofReal (g p.2)
mble₀ : MeasurableSet {p | p.2 ∈ Ioc 0 (f p.1)}
⊢ AEMeasurable ({p | p.2 ∈ Ioc 0 (f p.1)}.indicator fun p => ENNReal.ofReal (g p.2)) (μ.prod volume)

Tactic:
exact (ENNReal.measurable_ofReal.comp (g_mble.comp measurable_snd)).aemeasurable.indicator₀
  mble₀.nullMeasurableSet

Result:
no goals

Proof state:
case h.mk
α : Type u_1
inst✝¹ : MeasurableSpace α
f : α → ℝ
g : ℝ → ℝ
μ : Measure α
inst✝ : SFinite μ
f_nn : 0 ≤ f
f_mble : Measurable f
g_intble : ∀ t > 0, IntervalIntegrable g volume 0 t
g_mble : Measurable g
g_nn : ∀ t > 0, 0 ≤ g t
g_intble' : ∀ (t : ℝ), 0 ≤ t → IntervalIntegrable g volume 0 t
integrand_eq : ∀ (ω : α), ENNReal.ofReal (∫ (t : ℝ) in 0 ..f ω, g t) = ∫⁻ (t : ℝ) in Ioc 0 (f ω), ENNReal.ofReal (g t)
p_fst : α
p_snd : ℝ
⊢ Function.uncurry (fun x y => (Ioc 0 (f x)).indicator (fun t => ENNReal.ofReal (g t)) y) (p_fst, p_snd) =
    {p | p.2 ∈ Ioc 0 (f p.1)}.indicator (fun p => ENNReal.ofReal (g p.2)) (p_fst, p_snd)

Tactic:
rw [Function.uncurry_apply_pair]

Result:
case h.mk
α : Type u_1
inst✝¹ : MeasurableSpace α
f : α → ℝ
g : ℝ → ℝ
μ : Measure α
inst✝ : SFinite μ
f_nn : 0 ≤ f
f_mble : Measurable f
g_intble : ∀ t > 0, IntervalIntegrable g volume 0 t
g_mble : Measurable g
g_nn : ∀ t > 0, 0 ≤ g t
g_intble' : ∀ (t : ℝ), 0 ≤ t → IntervalIntegrable g volume 0 t
integrand_eq : ∀ (ω : α), ENNReal.ofReal (∫ (t : ℝ) in 0 ..f ω, g t) = ∫⁻ (t : ℝ) in Ioc 0 (f ω), ENNReal.ofReal (g t)
p_fst : α
p_snd : ℝ
⊢ (Ioc 0 (f p_fst)).indicator (fun t => ENNReal.ofReal (g t)) p_snd =
    {p | p.2 ∈ Ioc 0 (f p.1)}.indicator (fun p => ENNReal.ofReal (g p.2)) (p_fst, p_snd)