-- Mathlib/Analysis/Convolution.lean
theorem contDiffOn_convolution_right_with_param {f : G → E} {n : ℕ∞} (L : E →L[𝕜] E' →L[𝕜] F)
    {g : P → G → E'} {s : Set P} {k : Set G} (hs : IsOpen s) (hk : IsCompact k)
    (hgs : ∀ p, ∀ x, p ∈ s → x ∉ k → g p x = 0) (hf : LocallyIntegrable f μ)
    (hg : ContDiffOn 𝕜 n (↿g) (s ×ˢ univ)) :
    ContDiffOn 𝕜 n (fun q : P × G => (f ⋆[L, μ] g q.1) q.2) (s ×ˢ univ)

Proof state:
𝕜 : Type u𝕜
G : Type uG
E : Type uE
E' : Type uE'
F : Type uF
P : Type uP
inst✝¹³ : NormedAddCommGroup E
inst✝¹² : NormedAddCommGroup E'
inst✝¹¹ : NormedAddCommGroup F
inst✝¹⁰ : RCLike 𝕜
inst✝⁹ : NormedSpace 𝕜 E
inst✝⁸ : NormedSpace 𝕜 E'
inst✝⁷ : NormedSpace ℝ F
inst✝⁶ : NormedSpace 𝕜 F
inst✝⁵ : MeasurableSpace G
inst✝⁴ : NormedAddCommGroup G
inst✝³ : BorelSpace G
inst✝² : NormedSpace 𝕜 G
inst✝¹ : NormedAddCommGroup P
inst✝ : NormedSpace 𝕜 P
μ : Measure G
f : G → E
n : ℕ∞
L : E →L[𝕜] E' →L[𝕜] F
g : P → G → E'
s : Set P
k : Set G
hs : IsOpen s
hk : IsCompact k
hgs : ∀ (p : P) (x : G), p ∈ s → x ∉ k → g p x = 0
hf : LocallyIntegrable f μ
hg : ContDiffOn 𝕜 (↑n) (↿g) (s ×ˢ univ)
eG : Type (max uG uE' uF uP) := ULift.{max uE' uF uP, uG} G
this✝¹ : MeasurableSpace eG := borel eG
this✝ : BorelSpace eG
eE' : Type (max uE' uG uF uP) := ULift.{max uG uF uP, uE'} E'
eF : Type (max uF uG uE' uP) := ULift.{max uG uE' uP, uF} F
eP : Type (max uP uG uE' uF) := ULift.{max uG uE' uF, uP} P
isoG : eG ≃L[𝕜] G := ContinuousLinearEquiv.ulift
isoE' : eE' ≃L[𝕜] E' := ContinuousLinearEquiv.ulift
isoF : eF ≃L[𝕜] F := ContinuousLinearEquiv.ulift
isoP : eP ≃L[𝕜] P := ContinuousLinearEquiv.ulift
ef : eG → E := f ∘ ⇑isoG
eμ : Measure eG := Measure.map (⇑isoG.symm) μ
eg : eP → eG → eE' := fun ep ex => isoE'.symm (g (isoP ep) (isoG ex))
eL : E →L[𝕜] eE' →L[𝕜] eF := (↑(isoE'.arrowCongr isoF).symm).comp L
R : eP × eG → eF := fun q => (ef ⋆[eL, eμ] eg q.1) q.2
R_contdiff : ContDiffOn 𝕜 (↑n) R ((⇑isoP ⁻¹' s) ×ˢ univ)
⊢ ContDiffOn 𝕜 (↑n) (fun q => (f ⋆[L, μ] g q.1) q.2) (s ×ˢ univ)

Tactic:
have A : ContDiffOn 𝕜 n (isoF ∘ R ∘ (isoP.prod isoG).symm) (s ×ˢ univ) := by
  apply isoF.contDiff.comp_contDiffOn
  apply R_contdiff.comp (ContinuousLinearEquiv.contDiff _).contDiffOn
  rintro ⟨p, x⟩ ⟨hp, -⟩
  simpa only [mem_preimage, mem_prod, mem_univ, and_true, ContinuousLinearEquiv.prod_symm,
    ContinuousLinearEquiv.prod_apply, ContinuousLinearEquiv.apply_symm_apply] using hp

Result:
𝕜 : Type u𝕜
G : Type uG
E : Type uE
E' : Type uE'
F : Type uF
P : Type uP
inst✝¹³ : NormedAddCommGroup E
inst✝¹² : NormedAddCommGroup E'
inst✝¹¹ : NormedAddCommGroup F
inst✝¹⁰ : RCLike 𝕜
inst✝⁹ : NormedSpace 𝕜 E
inst✝⁸ : NormedSpace 𝕜 E'
inst✝⁷ : NormedSpace ℝ F
inst✝⁶ : NormedSpace 𝕜 F
inst✝⁵ : MeasurableSpace G
inst✝⁴ : NormedAddCommGroup G
inst✝³ : BorelSpace G
inst✝² : NormedSpace 𝕜 G
inst✝¹ : NormedAddCommGroup P
inst✝ : NormedSpace 𝕜 P
μ : Measure G
f : G → E
n : ℕ∞
L : E →L[𝕜] E' →L[𝕜] F
g : P → G → E'
s : Set P
k : Set G
hs : IsOpen s
hk : IsCompact k
hgs : ∀ (p : P) (x : G), p ∈ s → x ∉ k → g p x = 0
hf : LocallyIntegrable f μ
hg : ContDiffOn 𝕜 (↑n) (↿g) (s ×ˢ univ)
eG : Type (max uG uE' uF uP) := ULift.{max uE' uF uP, uG} G
this✝¹ : MeasurableSpace eG := borel eG
this✝ : BorelSpace eG
eE' : Type (max uE' uG uF uP) := ULift.{max uG uF uP, uE'} E'
eF : Type (max uF uG uE' uP) := ULift.{max uG uE' uP, uF} F
eP : Type (max uP uG uE' uF) := ULift.{max uG uE' uF, uP} P
isoG : eG ≃L[𝕜] G := ContinuousLinearEquiv.ulift
isoE' : eE' ≃L[𝕜] E' := ContinuousLinearEquiv.ulift
isoF : eF ≃L[𝕜] F := ContinuousLinearEquiv.ulift
isoP : eP ≃L[𝕜] P := ContinuousLinearEquiv.ulift
ef : eG → E := f ∘ ⇑isoG
eμ : Measure eG := Measure.map (⇑isoG.symm) μ
eg : eP → eG → eE' := fun ep ex => isoE'.symm (g (isoP ep) (isoG ex))
eL : E →L[𝕜] eE' →L[𝕜] eF := (↑(isoE'.arrowCongr isoF).symm).comp L
R : eP × eG → eF := fun q => (ef ⋆[eL, eμ] eg q.1) q.2
R_contdiff : ContDiffOn 𝕜 (↑n) R ((⇑isoP ⁻¹' s) ×ˢ univ)
A : ContDiffOn 𝕜 (↑n) (⇑isoF ∘ R ∘ ⇑(isoP.prod isoG).symm) (s ×ˢ univ)
⊢ ContDiffOn 𝕜 (↑n) (fun q => (f ⋆[L, μ] g q.1) q.2) (s ×ˢ univ)

Proof state:
𝕜 : Type u𝕜
G : Type uG
E : Type uE
E' : Type uE'
F : Type uF
P : Type uP
inst✝¹³ : NormedAddCommGroup E
inst✝¹² : NormedAddCommGroup E'
inst✝¹¹ : NormedAddCommGroup F
inst✝¹⁰ : RCLike 𝕜
inst✝⁹ : NormedSpace 𝕜 E
inst✝⁸ : NormedSpace 𝕜 E'
inst✝⁷ : NormedSpace ℝ F
inst✝⁶ : NormedSpace 𝕜 F
inst✝⁵ : MeasurableSpace G
inst✝⁴ : NormedAddCommGroup G
inst✝³ : BorelSpace G
inst✝² : NormedSpace 𝕜 G
inst✝¹ : NormedAddCommGroup P
inst✝ : NormedSpace 𝕜 P
μ : Measure G
f : G → E
n : ℕ∞
L : E →L[𝕜] E' →L[𝕜] F
g : P → G → E'
s : Set P
k : Set G
hs : IsOpen s
hk : IsCompact k
hgs : ∀ (p : P) (x : G), p ∈ s → x ∉ k → g p x = 0
hf : LocallyIntegrable f μ
hg : ContDiffOn 𝕜 (↑n) (↿g) (s ×ˢ univ)
eG : Type (max uG uE' uF uP) := ULift.{max uE' uF uP, uG} G
this✝¹ : MeasurableSpace eG := borel eG
this✝ : BorelSpace eG
eE' : Type (max uE' uG uF uP) := ULift.{max uG uF uP, uE'} E'
eF : Type (max uF uG uE' uP) := ULift.{max uG uE' uP, uF} F
eP : Type (max uP uG uE' uF) := ULift.{max uG uE' uF, uP} P
isoG : eG ≃L[𝕜] G := ContinuousLinearEquiv.ulift
isoE' : eE' ≃L[𝕜] E' := ContinuousLinearEquiv.ulift
isoF : eF ≃L[𝕜] F := ContinuousLinearEquiv.ulift
isoP : eP ≃L[𝕜] P := ContinuousLinearEquiv.ulift
ef : eG → E := f ∘ ⇑isoG
eμ : Measure eG := Measure.map (⇑isoG.symm) μ
eg : eP → eG → eE' := fun ep ex => isoE'.symm (g (isoP ep) (isoG ex))
eL : E →L[𝕜] eE' →L[𝕜] eF := (↑(isoE'.arrowCongr isoF).symm).comp L
R : eP × eG → eF := fun q => (ef ⋆[eL, eμ] eg q.1) q.2
R_contdiff : ContDiffOn 𝕜 (↑n) R ((⇑isoP ⁻¹' s) ×ˢ univ)
⊢ ContDiffOn 𝕜 (↑n) (⇑isoF ∘ R ∘ ⇑(isoP.prod isoG).symm) (s ×ˢ univ)

Tactic:
apply isoF.contDiff.comp_contDiffOn

Result:
𝕜 : Type u𝕜
G : Type uG
E : Type uE
E' : Type uE'
F : Type uF
P : Type uP
inst✝¹³ : NormedAddCommGroup E
inst✝¹² : NormedAddCommGroup E'
inst✝¹¹ : NormedAddCommGroup F
inst✝¹⁰ : RCLike 𝕜
inst✝⁹ : NormedSpace 𝕜 E
inst✝⁸ : NormedSpace 𝕜 E'
inst✝⁷ : NormedSpace ℝ F
inst✝⁶ : NormedSpace 𝕜 F
inst✝⁵ : MeasurableSpace G
inst✝⁴ : NormedAddCommGroup G
inst✝³ : BorelSpace G
inst✝² : NormedSpace 𝕜 G
inst✝¹ : NormedAddCommGroup P
inst✝ : NormedSpace 𝕜 P
μ : Measure G
f : G → E
n : ℕ∞
L : E →L[𝕜] E' →L[𝕜] F
g : P → G → E'
s : Set P
k : Set G
hs : IsOpen s
hk : IsCompact k
hgs : ∀ (p : P) (x : G), p ∈ s → x ∉ k → g p x = 0
hf : LocallyIntegrable f μ
hg : ContDiffOn 𝕜 (↑n) (↿g) (s ×ˢ univ)
eG : Type (max uG uE' uF uP) := ULift.{max uE' uF uP, uG} G
this✝¹ : MeasurableSpace eG := borel eG
this✝ : BorelSpace eG
eE' : Type (max uE' uG uF uP) := ULift.{max uG uF uP, uE'} E'
eF : Type (max uF uG uE' uP) := ULift.{max uG uE' uP, uF} F
eP : Type (max uP uG uE' uF) := ULift.{max uG uE' uF, uP} P
isoG : eG ≃L[𝕜] G := ContinuousLinearEquiv.ulift
isoE' : eE' ≃L[𝕜] E' := ContinuousLinearEquiv.ulift
isoF : eF ≃L[𝕜] F := ContinuousLinearEquiv.ulift
isoP : eP ≃L[𝕜] P := ContinuousLinearEquiv.ulift
ef : eG → E := f ∘ ⇑isoG
eμ : Measure eG := Measure.map (⇑isoG.symm) μ
eg : eP → eG → eE' := fun ep ex => isoE'.symm (g (isoP ep) (isoG ex))
eL : E →L[𝕜] eE' →L[𝕜] eF := (↑(isoE'.arrowCongr isoF).symm).comp L
R : eP × eG → eF := fun q => (ef ⋆[eL, eμ] eg q.1) q.2
R_contdiff : ContDiffOn 𝕜 (↑n) R ((⇑isoP ⁻¹' s) ×ˢ univ)
⊢ ContDiffOn 𝕜 (↑n) (R ∘ ⇑(isoP.prod isoG).symm) (s ×ˢ univ)