theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
    (b - a) * upcrossingsBefore a b f N ω ≤
    ∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
  classical
  by_cases hN : N = 0
  · simp [hN]
  simp_rw [upcrossingStrat, Finset.sum_mul, ←
    Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
  rw [Finset.sum_comm]
  have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
      (upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
      stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
        stoppedValue f (lowerCrossingTime a b f N k) ω := by
    intro k
    rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
      (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
      Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
      Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
      Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
      sub_add_sub_cancel]
    · rfl
    · ext i
      simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
        and_iff_right_iff_imp, and_imp]
      exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
  simp_rw [h₁]
  have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
      ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
        stoppedValue f (lowerCrossingTime a b f N k) ω) := by
    calc
      ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
          ∑ k in Finset.range (upcrossingsBefore a b f N ω),
            (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
              stoppedValue f (lowerCrossingTime a b f N k) ω) := by
        refine' Finset.sum_le_sum fun i hi =>
          le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
        rwa [Finset.mem_range] at hi
      _ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
          stoppedValue f (lowerCrossingTime a b f N k) ω) := by
        refine' Finset.sum_le_sum_of_subset_of_nonneg
          (Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
        by_cases hi' : i = upcrossingsBefore a b f N ω
        · subst hi'
          simp only [stoppedValue]
          rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
          

Proof state:
case pos
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
hf : a ≤ f N ω
hab : a < b
hN : ¬N = 0
h₁ :
  ∀ (k : ℕ),
    ∑ n in Finset.range N,
        Set.indicator (Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω))
          (fun m => f (m + 1) ω - f m ω) n =
      stoppedValue f (upperCrossingTime a b f N (k + 1)) ω - stoppedValue f (lowerCrossingTime a b f N k) ω
x✝ : upcrossingsBefore a b f N ω ∈ Finset.range N
hi : upcrossingsBefore a b f N ω ∉ Finset.range (upcrossingsBefore a b f N ω)
⊢ 0 ≤ f N ω - f (lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω) ω

Next tactic:
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N