/-- Part c of the **L¹ martingale convergence theorem**: Given an integrable function `g` which
is measurable with respect to `⨆ n, ℱ n` where `ℱ` is a filtration, the martingale defined by
`𝔼[g | ℱ n]` converges almost everywhere to `g`.

This martingale also converges to `g` in L¹ and this result is provided by
`MeasureTheory.Integrable.tendsto_snorm_condexp` -/
theorem Integrable.tendsto_ae_condexp (hg : Integrable g μ)
    (hgmeas : StronglyMeasurable[⨆ n, ℱ n] g) :
    ∀ᵐ x ∂μ, Tendsto (fun n => (μ[g|ℱ n]) x) atTop (𝓝 (g x)) := by
  have hle : ⨆ n, ℱ n ≤ m0 := sSup_le fun m ⟨n, hn⟩ => hn ▸ ℱ.le _
  have hunif : UniformIntegrable (fun n => μ[g|ℱ n]) 1 μ :=
    hg.uniformIntegrable_condexp_filtration
  obtain ⟨R, hR⟩ := hunif.2.2
  have hlimint : Integrable (ℱ.limitProcess (fun n => μ[g|ℱ n]) μ) μ :=
    (memℒp_limitProcess_of_snorm_bdd hunif.1 hR).integrable le_rfl
  suffices g =ᵐ[μ] ℱ.limitProcess (fun n x => (μ[g|ℱ n]) x) μ by
    filter_upwards [this, (martingale_condexp g ℱ μ).submartingale.ae_tendsto_limitProcess hR] with
      x heq ht
    rwa [heq]
  have : ∀ n s, MeasurableSet[ℱ n] s →
      ∫ x in s, g x ∂μ = ∫ x in s, ℱ.limitProcess (fun n x => (μ[g|ℱ n]) x) μ x ∂μ := by
    intro n s hs
    rw [← set_integral_condexp (ℱ.le n) hg hs, ← set_integral_condexp (ℱ.le n) hlimint hs]
    refine' set_integral_congr_ae (ℱ.le _ _ hs) _
    filter_upwards [(martingale_condexp g ℱ μ).ae_eq_condexp_limitProcess hunif n] with x hx _
    rw [hx]
  refine' ae_eq_of_forall_set_integral_eq_of_sigmaFinite' hle (fun s _ _ => hg.integrableOn)
    (fun s _ _ => hlimint.integrableOn) (fun s hs => _) hgmeas.aeStronglyMeasurable'
    stronglyMeasurable_limitProcess.aeStronglyMeasurable'
  apply @MeasurableSpace.induction_on_inter _ _ _ (⨆ n, ℱ n)
    (MeasurableSpace.measurableSpace_iSup_eq ℱ) _ _ _ _ _ _ hs
  · rintro s ⟨n, hs⟩ t ⟨m, ht⟩ -
    by_cases hnm : n ≤ m
    · exact ⟨m, (ℱ.mono hnm _ hs).inter ht⟩
    · exact ⟨n, hs.inter (ℱ.mono (not_le.1 hnm).le _ ht)⟩
  · simp only [measure_empty, ENNReal.zero_lt_top, Measure.restrict_empty, integral_zero_measure,
      forall_true_left]
  · rintro t ⟨n, ht⟩ -
    exact this n _ ht
  · rintro t htmeas ht -
    have hgeq := @integral_add_compl _ _ (⨆ n, ℱ n) _ _ _ _ _ htmeas (hg.trim hle hgmeas)
    have hheq := @integral_add_compl _ _ (⨆ n, ℱ n) _ _ _ _ _ htmeas
      (hlimint.trim hle stronglyMeasurable_limitProcess)
    rw [add_comm, ← eq_sub_iff_add_eq] at hgeq hheq
    rw [set_integral_trim hle hgmeas htmeas.compl,
      set_integral_trim hle stronglyMeasurable_limitProcess htmeas.compl, hgeq, hheq, ←
      set_integral_trim hle hgmeas htmeas, ←
      set_integral_trim hle stronglyMeasurable_limitProcess htmeas, ← integral_trim hle hgmeas, ←
      integral_trim hle stronglyMeasurable_limitProcess, ← integral_univ,
      this 0 _ MeasurableSet.univ, integral_univ, ht (measure_lt_top _ _)]
  · rintro f hf hfmeas heq -
    

Proof state:
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
ℱ : Filtration ℕ m0
a b : ℝ
f✝ : ℕ → Ω → ℝ
ω : Ω
R✝ : ℝ≥0
inst✝ : IsFiniteMeasure μ
g : Ω → ℝ
hg : Integrable g
hgmeas : StronglyMeasurable g
hle : ⨆ n, ↑ℱ n ≤ m0
hunif : UniformIntegrable (fun n => μ[g|↑ℱ n]) 1 μ
R : ℝ≥0
hR : ∀ (i : ℕ), snorm ((fun n => μ[g|↑ℱ n]) i) 1 μ ≤ ↑R
hlimint : Integrable (limitProcess (fun n => μ[g|↑ℱ n]) ℱ μ)
this :
  ∀ (n : ℕ) (s : Set Ω),
    MeasurableSet s → ∫ (x : Ω) in s, g x ∂μ = ∫ (x : Ω) in s, limitProcess (fun n x => (μ[g|↑ℱ n]) x) ℱ μ x ∂μ
s : Set Ω
hs : MeasurableSet s
f : ℕ → Set Ω
hf : Pairwise (Disjoint on f)
hfmeas : ∀ (i : ℕ), MeasurableSet (f i)
heq :
  ∀ (i : ℕ),
    ↑↑μ (f i) < ⊤ → ∫ (x : Ω) in f i, g x ∂μ = ∫ (x : Ω) in f i, limitProcess (fun n x => (μ[g|↑ℱ n]) x) ℱ μ x ∂μ
⊢ ∫ (x : Ω) in ⋃ i, f i, g x ∂μ = ∫ (x : Ω) in ⋃ i, f i, limitProcess (fun n x => (μ[g|↑ℱ n]) x) ℱ μ x ∂μ

Next tactic:
rw [integral_iUnion (fun n => hle _ (hfmeas n)) hf hg.integrableOn,
      integral_iUnion (fun n => hle _ (hfmeas n)) hf hlimint.integrableOn]