-- Mathlib/MeasureTheory/Decomposition/Lebesgue.lean
theorem haveLebesgueDecomposition_of_finiteMeasure [IsFiniteMeasure μ] [IsFiniteMeasure ν] :
    HaveLebesgueDecomposition μ ν where
  lebesgue_decomposition

Proof state:
case refine_1.intro.intro.intro.intro.intro
α : Type u_1
m : MeasurableSpace α
μ ν : Measure α
inst✝¹ : IsFiniteMeasure μ
inst✝ : IsFiniteMeasure ν
g : ℕ → ℝ≥0∞
h✝ : Monotone g
hg₂ : Filter.Tendsto g Filter.atTop (nhds (sSup (measurableLEEval ν μ)))
f : ℕ → α → ℝ≥0∞
hf₁ : ∀ (n : ℕ), f n ∈ measurableLE ν μ
hf₂ : ∀ (n : ℕ), (fun f => ∫⁻ (x : α), f x ∂ν) (f n) = g n
ξ : α → ℝ≥0∞ := ⨆ n, ⨆ k, ⨆ (_ : k ≤ n), f k
hξ : ξ = ⨆ n, ⨆ k, ⨆ (_ : k ≤ n), f k
hξ₁ : sSup (measurableLEEval ν μ) = ∫⁻ (a : α), ξ a ∂ν
hξm : Measurable ξ
hξle : ∀ (A : Set α), MeasurableSet A → ∫⁻ (a : α) in A, ξ a ∂ν ≤ μ A
hle : ν.withDensity ξ ≤ μ
this✝¹ : IsFiniteMeasure (ν.withDensity ξ)
μ₁ : Measure α := μ - ν.withDensity ξ
hμ₁ : μ₁ = μ - ν.withDensity ξ
h : ¬(μ₁, ξ).1 ⟂ₘ ν
ε : ℝ≥0
hε₁ : 0 < ε
E : Set α
hE₁ : MeasurableSet E
hE₂ : 0 < ν E
hE₃ : ∀ (A : Set α), MeasurableSet A → ↑ε * ν (A ∩ E) ≤ (μ - ν.withDensity ξ) (A ∩ E)
hε₂ : ∀ (A : Set α), MeasurableSet A → ∫⁻ (a : α) in A ∩ E, ↑ε + ξ a ∂ν ≤ μ (A ∩ E)
hξε : (ξ + E.indicator fun x => ↑ε) ∈ measurableLE ν μ
this✝ : ∫⁻ (a : α), ξ a + E.indicator (fun x => ↑ε) a ∂ν ≤ sSup (measurableLEEval ν μ)
this : (ν.withDensity ξ) univ ≠ ⊤
⊢ ∫⁻ (a : α), ξ a ∂ν ≠ ⊤

Tactic:
rwa [withDensity_apply _ MeasurableSet.univ, Measure.restrict_univ] at this

Result:
no goals

Proof state:
α : Type u_1
m : MeasurableSpace α
μ ν : Measure α
inst✝¹ : IsFiniteMeasure μ
inst✝ : IsFiniteMeasure ν
g : ℕ → ℝ≥0∞
h✝ : Monotone g
hg₂ : Filter.Tendsto g Filter.atTop (nhds (sSup (measurableLEEval ν μ)))
f : ℕ → α → ℝ≥0∞
hf₁ : ∀ (n : ℕ), f n ∈ measurableLE ν μ
hf₂ : ∀ (n : ℕ), (fun f => ∫⁻ (x : α), f x ∂ν) (f n) = g n
ξ : α → ℝ≥0∞ := ⨆ n, ⨆ k, ⨆ (_ : k ≤ n), f k
hξ : ξ = ⨆ n, ⨆ k, ⨆ (_ : k ≤ n), f k
hξ₁ : sSup (measurableLEEval ν μ) = ∫⁻ (a : α), ξ a ∂ν
hξm : Measurable ξ
⊢ ∃ p, Measurable p.2 ∧ p.1 ⟂ₘ ν ∧ μ = p.1 + ν.withDensity p.2

Tactic:
have hξle A (hA : MeasurableSet A) : ∫⁻ a in A, ξ a ∂ν ≤ μ A := by
    rw [hξ]
    simp_rw [iSup_apply]
    rw [lintegral_iSup (fun n ↦ (iSup_mem_measurableLE _ hf₁ n).1) (iSup_monotone _)]
    exact iSup_le fun n ↦ (iSup_mem_measurableLE _ hf₁ n).2 A hA

Result:
α : Type u_1
m : MeasurableSpace α
μ ν : Measure α
inst✝¹ : IsFiniteMeasure μ
inst✝ : IsFiniteMeasure ν
g : ℕ → ℝ≥0∞
h✝ : Monotone g
hg₂ : Filter.Tendsto g Filter.atTop (nhds (sSup (measurableLEEval ν μ)))
f : ℕ → α → ℝ≥0∞
hf₁ : ∀ (n : ℕ), f n ∈ measurableLE ν μ
hf₂ : ∀ (n : ℕ), (fun f => ∫⁻ (x : α), f x ∂ν) (f n) = g n
ξ : α → ℝ≥0∞ := ⨆ n, ⨆ k, ⨆ (_ : k ≤ n), f k
hξ : ξ = ⨆ n, ⨆ k, ⨆ (_ : k ≤ n), f k
hξ₁ : sSup (measurableLEEval ν μ) = ∫⁻ (a : α), ξ a ∂ν
hξm : Measurable ξ
hξle : ∀ (A : Set α), MeasurableSet A → ∫⁻ (a : α) in A, ξ a ∂ν ≤ μ A
⊢ ∃ p, Measurable p.2 ∧ p.1 ⟂ₘ ν ∧ μ = p.1 + ν.withDensity p.2

Proof state:
case refine_4.refine_1
α : Type u_1
m : MeasurableSpace α
μ ν : Measure α
inst✝¹ : IsFiniteMeasure μ
inst✝ : IsFiniteMeasure ν
g : ℕ → ℝ≥0∞
h✝ : Monotone g
hg₂ : Filter.Tendsto g Filter.atTop (nhds (sSup (measurableLEEval ν μ)))
f : ℕ → α → ℝ≥0∞
hf₁ : ∀ (n : ℕ), f n ∈ measurableLE ν μ
hf₂ : ∀ (n : ℕ), (fun f => ∫⁻ (x : α), f x ∂ν) (f n) = g n
ξ : α → ℝ≥0∞ := ⨆ n, ⨆ k, ⨆ (_ : k ≤ n), f k
hξ : ξ = ⨆ n, ⨆ k, ⨆ (_ : k ≤ n), f k
this :
  Filter.Tendsto (fun n => ∫⁻ (x : α), (⨆ k, ⨆ (_ : k ≤ n), f k) x ∂ν) Filter.atTop
    (nhds (∫⁻ (x : α), (⨆ n, ⨆ k, ⨆ (_ : k ≤ n), f k) x ∂ν))
n : ℕ
⊢ g n ≤ ∫⁻ (x : α), (⨆ k, ⨆ (_ : k ≤ n), f k) x ∂ν

Tactic:
rw [← hf₂ n]

Result:
case refine_4.refine_1
α : Type u_1
m : MeasurableSpace α
μ ν : Measure α
inst✝¹ : IsFiniteMeasure μ
inst✝ : IsFiniteMeasure ν
g : ℕ → ℝ≥0∞
h✝ : Monotone g
hg₂ : Filter.Tendsto g Filter.atTop (nhds (sSup (measurableLEEval ν μ)))
f : ℕ → α → ℝ≥0∞
hf₁ : ∀ (n : ℕ), f n ∈ measurableLE ν μ
hf₂ : ∀ (n : ℕ), (fun f => ∫⁻ (x : α), f x ∂ν) (f n) = g n
ξ : α → ℝ≥0∞ := ⨆ n, ⨆ k, ⨆ (_ : k ≤ n), f k
hξ : ξ = ⨆ n, ⨆ k, ⨆ (_ : k ≤ n), f k
this :
  Filter.Tendsto (fun n => ∫⁻ (x : α), (⨆ k, ⨆ (_ : k ≤ n), f k) x ∂ν) Filter.atTop
    (nhds (∫⁻ (x : α), (⨆ n, ⨆ k, ⨆ (_ : k ≤ n), f k) x ∂ν))
n : ℕ
⊢ (fun f => ∫⁻ (x : α), f x ∂ν) (f n) ≤ ∫⁻ (x : α), (⨆ k, ⨆ (_ : k ≤ n), f k) x ∂ν

Proof state:
α : Type u_1
m : MeasurableSpace α
μ ν : Measure α
inst✝¹ : IsFiniteMeasure μ
inst✝ : IsFiniteMeasure ν
g : ℕ → ℝ≥0∞
h✝ : Monotone g
hg₂ : Filter.Tendsto g Filter.atTop (nhds (sSup (measurableLEEval ν μ)))
f : ℕ → α → ℝ≥0∞
hf₁ : ∀ (n : ℕ), f n ∈ measurableLE ν μ
hf₂ : ∀ (n : ℕ), (fun f => ∫⁻ (x : α), f x ∂ν) (f n) = g n
ξ : α → ℝ≥0∞ := ⨆ n, ⨆ k, ⨆ (_ : k ≤ n), f k
hξ : ξ = ⨆ n, ⨆ k, ⨆ (_ : k ≤ n), f k
hξ₁ : sSup (measurableLEEval ν μ) = ∫⁻ (a : α), ξ a ∂ν
hξm : Measurable ξ
hξle : ∀ (A : Set α), MeasurableSet A → ∫⁻ (a : α) in A, ξ a ∂ν ≤ μ A
⊢ ∃ p, Measurable p.2 ∧ p.1 ⟂ₘ ν ∧ μ = p.1 + ν.withDensity p.2

Tactic:
have hle : ν.withDensity ξ ≤ μ := by
  refine le_intro fun B hB _ ↦ ?_
  rw [withDensity_apply _ hB]
  exact hξle B hB

Result:
α : Type u_1
m : MeasurableSpace α
μ ν : Measure α
inst✝¹ : IsFiniteMeasure μ
inst✝ : IsFiniteMeasure ν
g : ℕ → ℝ≥0∞
h✝ : Monotone g
hg₂ : Filter.Tendsto g Filter.atTop (nhds (sSup (measurableLEEval ν μ)))
f : ℕ → α → ℝ≥0∞
hf₁ : ∀ (n : ℕ), f n ∈ measurableLE ν μ
hf₂ : ∀ (n : ℕ), (fun f => ∫⁻ (x : α), f x ∂ν) (f n) = g n
ξ : α → ℝ≥0∞ := ⨆ n, ⨆ k, ⨆ (_ : k ≤ n), f k
hξ : ξ = ⨆ n, ⨆ k, ⨆ (_ : k ≤ n), f k
hξ₁ : sSup (measurableLEEval ν μ) = ∫⁻ (a : α), ξ a ∂ν
hξm : Measurable ξ
hξle : ∀ (A : Set α), MeasurableSet A → ∫⁻ (a : α) in A, ξ a ∂ν ≤ μ A
hle : ν.withDensity ξ ≤ μ
⊢ ∃ p, Measurable p.2 ∧ p.1 ⟂ₘ ν ∧ μ = p.1 + ν.withDensity p.2