/-- Given a sequence of subsets `sᵢ` of a metric space, together with a sequence of radii `rᵢ`
such that `rᵢ → 0`, the set of points which belong to infinitely many of the closed
`rᵢ`-thickenings of `sᵢ` is unchanged almost everywhere for a uniformly locally doubling measure if
the `rᵢ` are all scaled by a positive constant.

This lemma is a generalisation of Lemma 9 appearing on page 217 of
[J.W.S. Cassels, *Some metrical theorems in Diophantine approximation. I*](cassels1950).

See also `blimsup_thickening_mul_ae_eq`.

NB: The `: Set α` type ascription is present because of
https://github.com/leanprover-community/mathlib/issues/16932. -/
theorem blimsup_cthickening_mul_ae_eq (p : ℕ → Prop) (s : ℕ → Set α) {M : ℝ} (hM : 0 < M)
    (r : ℕ → ℝ) (hr : Tendsto r atTop (𝓝 0)) :
    (blimsup (fun i => cthickening (M * r i) (s i)) atTop p : Set α) =ᵐ[μ]
      (blimsup (fun i => cthickening (r i) (s i)) atTop p : Set α) := by
  have : ∀ (p : ℕ → Prop) {r : ℕ → ℝ} (_ : Tendsto r atTop (𝓝[>] 0)),
      (blimsup (fun i => cthickening (M * r i) (s i)) atTop p : Set α) =ᵐ[μ]
        (blimsup (fun i => cthickening (r i) (s i)) atTop p : Set α) := by
    clear p hr r; intro p r hr
    have hr' : Tendsto (fun i => M * r i) atTop (𝓝[>] 0) := by
      convert TendstoNhdsWithinIoi.const_mul hM hr <;> simp only [mul_zero]
    refine' eventuallyLE_antisymm_iff.mpr ⟨_, _⟩
    · exact blimsup_cthickening_ae_le_of_eventually_mul_le μ p (inv_pos.mpr hM) hr'
        (eventually_of_forall fun i => by rw [inv_mul_cancel_left₀ hM.ne' (r i)])
    · exact blimsup_cthickening_ae_le_of_eventually_mul_le μ p hM hr
        (eventually_of_forall fun i => le_refl _)
  let r' : ℕ → ℝ := fun i => if 0 < r i then r i else 1 / ((i : ℝ) + 1)
  have hr' : Tendsto r' atTop (𝓝[>] 0) := by
    refine' tendsto_nhdsWithin_iff.mpr
      ⟨Tendsto.if' hr tendsto_one_div_add_atTop_nhds_0_nat, eventually_of_forall fun i => _⟩
    by_cases hi : 0 < r i
    · simp [hi]
    · simp only [hi, one_div, mem_Ioi, if_false, inv_pos]; positivity
  have h₀ : ∀ i, p i ∧ 0 < r i → cthickening (r i) (s i) = cthickening (r' i) (s i) := by
    rintro i ⟨-, hi⟩; congr! 1; change r i = ite (0 < r i) (r i) _; simp [hi]
  have h₁ : ∀ i, p i ∧ 0 < r i → cthickening (M * r i) (s i) = cthickening (M * r' i) (s i) := by
    rintro i ⟨-, hi⟩; simp only [hi, mul_ite, if_true]
  have h₂ : ∀ i, p i ∧ r i ≤ 0 → cthickening (M * r i) (s i) = cthickening (r i) (s i) := by
    rintro i ⟨-, hi⟩
    have hi' : M * r i ≤ 0 := mul_nonpos_of_nonneg_of_nonpos hM.le hi
    rw [cthickening_of_nonpos hi, cthickening_of_nonpos hi']
  have hp : p = fun i => p i ∧ 0 < r i ∨ p i ∧ r i ≤ 0 := by
    ext i; simp [← and_or_left, lt_or_le 0 (r i)]
  rw [hp, blimsup_or_eq_sup, blimsup_or_eq_sup]
  

Proof state:
α : Type u_1
inst✝⁵ : MetricSpace α
inst✝⁴ : SecondCountableTopology α
inst✝³ : MeasurableSpace α
inst✝² : BorelSpace α
μ : Measure α
inst✝¹ : IsLocallyFiniteMeasure μ
inst✝ : IsUnifLocDoublingMeasure μ
p : ℕ → Prop
s : ℕ → Set α
M : ℝ
hM : 0 < M
r : ℕ → ℝ
hr : Tendsto r atTop (𝓝 0)
this :
  ∀ (p : ℕ → Prop) {r : ℕ → ℝ},
    Tendsto r atTop (𝓝[>] 0) →
      blimsup (fun i => cthickening (M * r i) (s i)) atTop p =ᵐ[μ] blimsup (fun i => cthickening (r i) (s i)) atTop p
r' : ℕ → ℝ := fun i => if 0 < r i then r i else 1 / (↑i + 1)
hr' : Tendsto r' atTop (𝓝[>] 0)
h₀ : ∀ (i : ℕ), p i ∧ 0 < r i → cthickening (r i) (s i) = cthickening (r' i) (s i)
h₁ : ∀ (i : ℕ), p i ∧ 0 < r i → cthickening (M * r i) (s i) = cthickening (M * r' i) (s i)
h₂ : ∀ (i : ℕ), p i ∧ r i ≤ 0 → cthickening (M * r i) (s i) = cthickening (r i) (s i)
hp : p = fun i => p i ∧ 0 < r i ∨ p i ∧ r i ≤ 0
⊢ ((blimsup (fun i => cthickening (M * r i) (s i)) atTop fun i => p i ∧ 0 < r i) ⊔
      blimsup (fun i => cthickening (M * r i) (s i)) atTop fun i => p i ∧ r i ≤ 0) =ᵐ[μ]
    (blimsup (fun i => cthickening (r i) (s i)) atTop fun i => p i ∧ 0 < r i) ⊔
      blimsup (fun i => cthickening (r i) (s i)) atTop fun i => p i ∧ r i ≤ 0

Next tactic:
simp only [sup_eq_union]