theorem indepSets_piiUnionInter_of_disjoint [IsMarkovKernel κ] {s : ι → Set (Set Ω)}
    {S T : Set ι} (h_indep : iIndepSets s κ μ) (hST : Disjoint S T) :
    IndepSets (piiUnionInter s S) (piiUnionInter s T) κ μ := by
  rintro t1 t2 ⟨p1, hp1, f1, ht1_m, ht1_eq⟩ ⟨p2, hp2, f2, ht2_m, ht2_eq⟩
  classical
  let g i := ite (i ∈ p1) (f1 i) Set.univ ∩ ite (i ∈ p2) (f2 i) Set.univ
  have h_P_inter : ∀ᵐ a ∂μ, κ a (t1 ∩ t2) = ∏ n in p1 ∪ p2, κ a (g n) := by
    have hgm : ∀ i ∈ p1 ∪ p2, g i ∈ s i := by
      intro i hi_mem_union
      rw [Finset.mem_union] at hi_mem_union
      cases' hi_mem_union with hi1 hi2
      · have hi2 : i ∉ p2 := fun hip2 => Set.disjoint_left.mp hST (hp1 hi1) (hp2 hip2)
        simp_rw [if_pos hi1, if_neg hi2, Set.inter_univ]
        exact ht1_m i hi1
      · have hi1 : i ∉ p1 := fun hip1 => Set.disjoint_right.mp hST (hp2 hi2) (hp1 hip1)
        simp_rw [if_neg hi1, if_pos hi2, Set.univ_inter]
        exact ht2_m i hi2
    have h_p1_inter_p2 :
      ((⋂ x ∈ p1, f1 x) ∩ ⋂ x ∈ p2, f2 x) =
        ⋂ i ∈ p1 ∪ p2, ite (i ∈ p1) (f1 i) Set.univ ∩ ite (i ∈ p2) (f2 i) Set.univ := by
      ext1 x
      simp only [Set.mem_ite_univ_right, Set.mem_inter_iff, Set.mem_iInter, Finset.mem_union]
      exact
        ⟨fun h i _ => ⟨h.1 i, h.2 i⟩, fun h =>
          ⟨fun i hi => (h i (Or.inl hi)).1 hi, fun i hi => (h i (Or.inr hi)).2 hi⟩⟩
    filter_upwards [h_indep _ hgm] with a ha
    rw [ht1_eq, ht2_eq, h_p1_inter_p2, ← ha]
  filter_upwards [h_P_inter, h_indep p1 ht1_m, h_indep p2 ht2_m] with a h_P_inter ha1 ha2
  have h_μg : ∀ n, κ a (g n) = (ite (n ∈ p1) (κ a (f1 n)) 1) * (ite (n ∈ p2) (κ a (f2 n)) 1) := by
    intro n
    dsimp only
    split_ifs with h1 h2
    · exact absurd rfl (Set.disjoint_iff_forall_ne.mp hST (hp1 h1) (hp2 h2))
    

Proof state:
case neg
α : Type u_1
Ω : Type u_2
ι : Type u_3
_mα : MeasurableSpace α
_mΩ : MeasurableSpace Ω
κ : ↥(kernel α Ω)
μ : Measure α
inst✝ : IsMarkovKernel κ
s : ι → Set (Set Ω)
S T : Set ι
h_indep : iIndepSets s κ
hST : Disjoint S T
t1 t2 : Set Ω
p1 : Finset ι
hp1 : ↑p1 ⊆ S
f1 : ι → Set Ω
ht1_m : ∀ x ∈ p1, f1 x ∈ s x
ht1_eq : t1 = ⋂ x ∈ p1, f1 x
p2 : Finset ι
hp2 : ↑p2 ⊆ T
f2 : ι → Set Ω
ht2_m : ∀ x ∈ p2, f2 x ∈ s x
ht2_eq : t2 = ⋂ x ∈ p2, f2 x
g : ι → Set Ω := fun i => (if i ∈ p1 then f1 i else Set.univ) ∩ if i ∈ p2 then f2 i else Set.univ
h_P_inter✝ : ∀ᵐ (a : α) ∂μ, ↑↑(κ a) (t1 ∩ t2) = ∏ n in p1 ∪ p2, ↑↑(κ a) (g n)
a : α
h_P_inter : ↑↑(κ a) (t1 ∩ t2) = ∏ n in p1 ∪ p2, ↑↑(κ a) (g n)
ha1 : ↑↑(κ a) (⋂ i ∈ p1, f1 i) = ∏ i in p1, ↑↑(κ a) (f1 i)
ha2 : ↑↑(κ a) (⋂ i ∈ p2, f2 i) = ∏ i in p2, ↑↑(κ a) (f2 i)
n : ι
h1 : n ∈ p1
h2 : n ∉ p2
⊢ ↑↑(κ a) (f1 n ∩ Set.univ) = ↑↑(κ a) (f1 n) * 1
case pos
α : Type u_1
Ω : Type u_2
ι : Type u_3
_mα : MeasurableSpace α
_mΩ : MeasurableSpace Ω
κ : ↥(kernel α Ω)
μ : Measure α
inst✝ : IsMarkovKernel κ
s : ι → Set (Set Ω)
S T : Set ι
h_indep : iIndepSets s κ
hST : Disjoint S T
t1 t2 : Set Ω
p1 : Finset ι
hp1 : ↑p1 ⊆ S
f1 : ι → Set Ω
ht1_m : ∀ x ∈ p1, f1 x ∈ s x
ht1_eq : t1 = ⋂ x ∈ p1, f1 x
p2 : Finset ι
hp2 : ↑p2 ⊆ T
f2 : ι → Set Ω
ht2_m : ∀ x ∈ p2, f2 x ∈ s x
ht2_eq : t2 = ⋂ x ∈ p2, f2 x
g : ι → Set Ω := fun i => (if i ∈ p1 then f1 i else Set.univ) ∩ if i ∈ p2 then f2 i else Set.univ
h_P_inter✝ : ∀ᵐ (a : α) ∂μ, ↑↑(κ a) (t1 ∩ t2) = ∏ n in p1 ∪ p2, ↑↑(κ a) (g n)
a : α
h_P_inter : ↑↑(κ a) (t1 ∩ t2) = ∏ n in p1 ∪ p2, ↑↑(κ a) (g n)
ha1 : ↑↑(κ a) (⋂ i ∈ p1, f1 i) = ∏ i in p1, ↑↑(κ a) (f1 i)
ha2 : ↑↑(κ a) (⋂ i ∈ p2, f2 i) = ∏ i in p2, ↑↑(κ a) (f2 i)
n : ι
h1 : n ∉ p1
h✝ : n ∈ p2
⊢ ↑↑(κ a) (Set.univ ∩ f2 n) = 1 * ↑↑(κ a) (f2 n)
case neg
α : Type u_1
Ω : Type u_2
ι : Type u_3
_mα : MeasurableSpace α
_mΩ : MeasurableSpace Ω
κ : ↥(kernel α Ω)
μ : Measure α
inst✝ : IsMarkovKernel κ
s : ι → Set (Set Ω)
S T : Set ι
h_indep : iIndepSets s κ
hST : Disjoint S T
t1 t2 : Set Ω
p1 : Finset ι
hp1 : ↑p1 ⊆ S
f1 : ι → Set Ω
ht1_m : ∀ x ∈ p1, f1 x ∈ s x
ht1_eq : t1 = ⋂ x ∈ p1, f1 x
p2 : Finset ι
hp2 : ↑p2 ⊆ T
f2 : ι → Set Ω
ht2_m : ∀ x ∈ p2, f2 x ∈ s x
ht2_eq : t2 = ⋂ x ∈ p2, f2 x
g : ι → Set Ω := fun i => (if i ∈ p1 then f1 i else Set.univ) ∩ if i ∈ p2 then f2 i else Set.univ
h_P_inter✝ : ∀ᵐ (a : α) ∂μ, ↑↑(κ a) (t1 ∩ t2) = ∏ n in p1 ∪ p2, ↑↑(κ a) (g n)
a : α
h_P_inter : ↑↑(κ a) (t1 ∩ t2) = ∏ n in p1 ∪ p2, ↑↑(κ a) (g n)
ha1 : ↑↑(κ a) (⋂ i ∈ p1, f1 i) = ∏ i in p1, ↑↑(κ a) (f1 i)
ha2 : ↑↑(κ a) (⋂ i ∈ p2, f2 i) = ∏ i in p2, ↑↑(κ a) (f2 i)
n : ι
h1 : n ∉ p1
h✝ : n ∉ p2
⊢ ↑↑(κ a) (Set.univ ∩ Set.univ) = 1 * 1

Next tactic:
all_goals simp only [measure_univ, one_mul, mul_one, Set.inter_univ, Set.univ_inter]