-- Mathlib/Probability/Kernel/Disintegration/Density.lean
lemma setIntegral_density (hκν : fst κ ≤ ν) [IsFiniteKernel ν]
    (a : α) {s : Set β} (hs : MeasurableSet s) {A : Set γ} (hA : MeasurableSet A) :
    ∫ x in A, density κ ν a x s ∂(ν a) = (κ a (A ×ˢ s)).toReal

Proof state:
α : Type u_1
β : Type u_2
γ : Type u_3
mα : MeasurableSpace α
mβ : MeasurableSpace β
mγ : MeasurableSpace γ
inst✝¹ : CountablyGenerated γ
κ : Kernel α (γ × β)
ν : Kernel α γ
hκν : κ.fst ≤ ν
inst✝ : IsFiniteKernel ν
a : α
s : Set β
hs : MeasurableSet s
A : Set γ
hA : MeasurableSet A
this : IsFiniteKernel κ
⊢ mγ = generateFrom {s | ∃ n, MeasurableSet s}

Tactic:
rw [setOf_exists, generateFrom_iUnion_measurableSet (countableFiltration γ),
  iSup_countableFiltration]

Result:
no goals

Proof state:
α : Type u_1
β : Type u_2
γ : Type u_3
mα : MeasurableSpace α
mβ : MeasurableSpace β
mγ : MeasurableSpace γ
inst✝¹ : CountablyGenerated γ
κ : Kernel α (γ × β)
ν : Kernel α γ
hκν : κ.fst ≤ ν
inst✝ : IsFiniteKernel ν
a : α
s : Set β
hs : MeasurableSet s
A : Set γ
hA : MeasurableSet A
this : IsFiniteKernel κ
⊢ ∫ (x : γ) in A, κ.density ν a x s ∂ν a = ((κ a) (A ×ˢ s)).toReal

Tactic:
have hgen : ‹MeasurableSpace γ› =
    .generateFrom {s | ∃ n, MeasurableSet[countableFiltration γ n] s} := by
  rw [setOf_exists, generateFrom_iUnion_measurableSet (countableFiltration γ),
    iSup_countableFiltration]

Result:
α : Type u_1
β : Type u_2
γ : Type u_3
mα : MeasurableSpace α
mβ : MeasurableSpace β
mγ : MeasurableSpace γ
inst✝¹ : CountablyGenerated γ
κ : Kernel α (γ × β)
ν : Kernel α γ
hκν : κ.fst ≤ ν
inst✝ : IsFiniteKernel ν
a : α
s : Set β
hs : MeasurableSet s
A : Set γ
hA : MeasurableSet A
this : IsFiniteKernel κ
hgen : mγ = generateFrom {s | ∃ n, MeasurableSet s}
⊢ ∫ (x : γ) in A, κ.density ν a x s ∂ν a = ((κ a) (A ×ˢ s)).toReal

Proof state:
α : Type u_1
β : Type u_2
γ : Type u_3
mα : MeasurableSpace α
mβ : MeasurableSpace β
mγ : MeasurableSpace γ
inst✝¹ : CountablyGenerated γ
κ : Kernel α (γ × β)
ν : Kernel α γ
hκν : κ.fst ≤ ν
inst✝ : IsFiniteKernel ν
a : α
s : Set β
hs : MeasurableSet s
A✝ : Set γ
this✝ : IsFiniteKernel κ
hgen : mγ = generateFrom {s | ∃ n, MeasurableSet s}
hpi : IsPiSystem {s | ∃ n, MeasurableSet s}
A : Set γ
hA : MeasurableSet A
hA_eq : ∫ (x : γ) in A, κ.density ν a x s ∂ν a = ((κ a) (A ×ˢ s)).toReal
h : ((κ a) (A ×ˢ s)).toReal + ∫ (x : γ) in Aᶜ, κ.density ν a x s ∂ν a = ((κ a) (univ ×ˢ s)).toReal
this : Aᶜ ×ˢ s = univ ×ˢ s \ A ×ˢ s
x : γ × β
⊢ x ∈ A ×ˢ s → x ∈ univ ×ˢ s

Tactic:
simp

Result:
no goals

Proof state:
case compl
α : Type u_1
β : Type u_2
γ : Type u_3
mα : MeasurableSpace α
mβ : MeasurableSpace β
mγ : MeasurableSpace γ
inst✝¹ : CountablyGenerated γ
κ : Kernel α (γ × β)
ν : Kernel α γ
hκν : κ.fst ≤ ν
inst✝ : IsFiniteKernel ν
a : α
s : Set β
hs : MeasurableSet s
A✝ : Set γ
this : IsFiniteKernel κ
hgen : mγ = generateFrom {s | ∃ n, MeasurableSet s}
hpi : IsPiSystem {s | ∃ n, MeasurableSet s}
A : Set γ
hA : MeasurableSet A
hA_eq : ∫ (x : γ) in A, κ.density ν a x s ∂ν a = ((κ a) (A ×ˢ s)).toReal
⊢ ∫ (x : γ) in Aᶜ, κ.density ν a x s ∂ν a = ((κ a) (Aᶜ ×ˢ s)).toReal

Tactic:
have h := integral_add_compl hA (integrable_density hκν a hs)

Result:
case compl
α : Type u_1
β : Type u_2
γ : Type u_3
mα : MeasurableSpace α
mβ : MeasurableSpace β
mγ : MeasurableSpace γ
inst✝¹ : CountablyGenerated γ
κ : Kernel α (γ × β)
ν : Kernel α γ
hκν : κ.fst ≤ ν
inst✝ : IsFiniteKernel ν
a : α
s : Set β
hs : MeasurableSet s
A✝ : Set γ
this : IsFiniteKernel κ
hgen : mγ = generateFrom {s | ∃ n, MeasurableSet s}
hpi : IsPiSystem {s | ∃ n, MeasurableSet s}
A : Set γ
hA : MeasurableSet A
hA_eq : ∫ (x : γ) in A, κ.density ν a x s ∂ν a = ((κ a) (A ×ˢ s)).toReal
h : ∫ (x : γ) in A, κ.density ν a x s ∂ν a + ∫ (x : γ) in Aᶜ, κ.density ν a x s ∂ν a = ∫ (x : γ), κ.density ν a x s ∂ν a
⊢ ∫ (x : γ) in Aᶜ, κ.density ν a x s ∂ν a = ((κ a) (Aᶜ ×ˢ s)).toReal

Proof state:
case compl
α : Type u_1
β : Type u_2
γ : Type u_3
mα : MeasurableSpace α
mβ : MeasurableSpace β
mγ : MeasurableSpace γ
inst✝¹ : CountablyGenerated γ
κ : Kernel α (γ × β)
ν : Kernel α γ
hκν : κ.fst ≤ ν
inst✝ : IsFiniteKernel ν
a : α
s : Set β
hs : MeasurableSet s
A✝ : Set γ
this✝ : IsFiniteKernel κ
hgen : mγ = generateFrom {s | ∃ n, MeasurableSet s}
hpi : IsPiSystem {s | ∃ n, MeasurableSet s}
A : Set γ
hA : MeasurableSet A
hA_eq : ∫ (x : γ) in A, κ.density ν a x s ∂ν a = ((κ a) (A ×ˢ s)).toReal
h : ((κ a) (A ×ˢ s)).toReal + ∫ (x : γ) in Aᶜ, κ.density ν a x s ∂ν a = ((κ a) (univ ×ˢ s)).toReal
this : Aᶜ ×ˢ s = univ ×ˢ s \ A ×ˢ s
⊢ ((κ a) (A ×ˢ s)).toReal + ∫ (x : γ) in Aᶜ, κ.density ν a x s ∂ν a = ((κ a) (univ ×ˢ s)).toReal

Tactic:
exact h

Result:
no goals

Proof state:
α : Type u_1
β : Type u_2
γ : Type u_3
mα : MeasurableSpace α
mβ : MeasurableSpace β
mγ : MeasurableSpace γ
inst✝¹ : CountablyGenerated γ
κ : Kernel α (γ × β)
ν : Kernel α γ
hκν : κ.fst ≤ ν
inst✝ : IsFiniteKernel ν
a : α
s : Set β
hs : MeasurableSet s
A : Set γ
hA : MeasurableSet A
this : IsFiniteKernel κ
hgen : mγ = generateFrom {s | ∃ n, MeasurableSet s}
⊢ ∫ (x : γ) in A, κ.density ν a x s ∂ν a = ((κ a) (A ×ˢ s)).toReal

Tactic:
have hpi : IsPiSystem {s | ∃ n, MeasurableSet[countableFiltration γ n] s} := by
  rw [setOf_exists]
  exact isPiSystem_iUnion_of_monotone _
    (fun n ↦ @isPiSystem_measurableSet _ (countableFiltration γ n))
    fun _ _ ↦ (countableFiltration γ).mono

Result:
α : Type u_1
β : Type u_2
γ : Type u_3
mα : MeasurableSpace α
mβ : MeasurableSpace β
mγ : MeasurableSpace γ
inst✝¹ : CountablyGenerated γ
κ : Kernel α (γ × β)
ν : Kernel α γ
hκν : κ.fst ≤ ν
inst✝ : IsFiniteKernel ν
a : α
s : Set β
hs : MeasurableSet s
A : Set γ
hA : MeasurableSet A
this : IsFiniteKernel κ
hgen : mγ = generateFrom {s | ∃ n, MeasurableSet s}
hpi : IsPiSystem {s | ∃ n, MeasurableSet s}
⊢ ∫ (x : γ) in A, κ.density ν a x s ∂ν a = ((κ a) (A ×ˢ s)).toReal

Proof state:
case compl
α : Type u_1
β : Type u_2
γ : Type u_3
mα : MeasurableSpace α
mβ : MeasurableSpace β
mγ : MeasurableSpace γ
inst✝¹ : CountablyGenerated γ
κ : Kernel α (γ × β)
ν : Kernel α γ
hκν : κ.fst ≤ ν
inst✝ : IsFiniteKernel ν
a : α
s : Set β
hs : MeasurableSet s
A✝ : Set γ
this✝ : IsFiniteKernel κ
hgen : mγ = generateFrom {s | ∃ n, MeasurableSet s}
hpi : IsPiSystem {s | ∃ n, MeasurableSet s}
A : Set γ
hA : MeasurableSet A
hA_eq : ∫ (x : γ) in A, κ.density ν a x s ∂ν a = ((κ a) (A ×ˢ s)).toReal
h : ((κ a) (A ×ˢ s)).toReal + ∫ (x : γ) in Aᶜ, κ.density ν a x s ∂ν a = ((κ a) (univ ×ˢ s)).toReal
this : Aᶜ ×ˢ s = univ ×ˢ s \ A ×ˢ s
⊢ ∫ (x : γ) in Aᶜ, κ.density ν a x s ∂ν a = ((κ a) (Aᶜ ×ˢ s)).toReal

Tactic:
rw [this, measure_diff (by intro; simp) (hA.prod hs).nullMeasurableSet (measure_ne_top (κ a) _),
  ENNReal.toReal_sub_of_le (measure_mono (by intro x; simp)) (measure_ne_top _ _)]

Result:
case compl
α : Type u_1
β : Type u_2
γ : Type u_3
mα : MeasurableSpace α
mβ : MeasurableSpace β
mγ : MeasurableSpace γ
inst✝¹ : CountablyGenerated γ
κ : Kernel α (γ × β)
ν : Kernel α γ
hκν : κ.fst ≤ ν
inst✝ : IsFiniteKernel ν
a : α
s : Set β
hs : MeasurableSet s
A✝ : Set γ
this✝ : IsFiniteKernel κ
hgen : mγ = generateFrom {s | ∃ n, MeasurableSet s}
hpi : IsPiSystem {s | ∃ n, MeasurableSet s}
A : Set γ
hA : MeasurableSet A
hA_eq : ∫ (x : γ) in A, κ.density ν a x s ∂ν a = ((κ a) (A ×ˢ s)).toReal
h : ((κ a) (A ×ˢ s)).toReal + ∫ (x : γ) in Aᶜ, κ.density ν a x s ∂ν a = ((κ a) (univ ×ˢ s)).toReal
this : Aᶜ ×ˢ s = univ ×ˢ s \ A ×ˢ s
⊢ ∫ (x : γ) in Aᶜ, κ.density ν a x s ∂ν a = ((κ a) (univ ×ˢ s)).toReal - ((κ a) (A ×ˢ s)).toReal