/-- This is really an auxiliary result en route to `blimsup_cthickening_ae_le_of_eventually_mul_le`
(which is itself an auxiliary result en route to `blimsup_cthickening_mul_ae_eq`).

NB: The `: Set α` type ascription is present because of
https://github.com/leanprover-community/mathlib/issues/16932. -/
theorem blimsup_cthickening_ae_le_of_eventually_mul_le_aux (p : ℕ → Prop) {s : ℕ → Set α}
    (hs : ∀ i, IsClosed (s i)) {r₁ r₂ : ℕ → ℝ} (hr : Tendsto r₁ atTop (𝓝[>] 0)) (hrp : 0 ≤ r₁)
    {M : ℝ} (hM : 0 < M) (hM' : M < 1) (hMr : ∀ᶠ i in atTop, M * r₁ i ≤ r₂ i) :
    (blimsup (fun i => cthickening (r₁ i) (s i)) atTop p : Set α) ≤ᵐ[μ]
      (blimsup (fun i => cthickening (r₂ i) (s i)) atTop p : Set α) := by
  /- Sketch of proof:

  Assume that `p` is identically true for simplicity. Let `Y₁ i = cthickening (r₁ i) (s i)`, define
  `Y₂` similarly except using `r₂`, and let `(Z i) = ⋃_{j ≥ i} (Y₂ j)`. Our goal is equivalent to
  showing that `μ ((limsup Y₁) \ (Z i)) = 0` for all `i`.

  Assume for contradiction that `μ ((limsup Y₁) \ (Z i)) ≠ 0` for some `i` and let
  `W = (limsup Y₁) \ (Z i)`. Apply Lebesgue's density theorem to obtain a point `d` in `W` of
  density `1`. Since `d ∈ limsup Y₁`, there is a subsequence of `j ↦ Y₁ j`, indexed by
  `f 0 < f 1 < ...`, such that `d ∈ Y₁ (f j)` for all `j`. For each `j`, we may thus choose
  `w j ∈ s (f j)` such that `d ∈ B j`, where `B j = closedBall (w j) (r₁ (f j))`. Note that
  since `d` has density one, `μ (W ∩ (B j)) / μ (B j) → 1`.

  We obtain our contradiction by showing that there exists `η < 1` such that
  `μ (W ∩ (B j)) / μ (B j) ≤ η` for sufficiently large `j`. In fact we claim that `η = 1 - C⁻¹`
  is such a value where `C` is the scaling constant of `M⁻¹` for the uniformly locally doubling
  measure `μ`.

  To prove the claim, let `b j = closedBall (w j) (M * r₁ (f j))` and for given `j` consider the
  sets `b j` and `W ∩ (B j)`. These are both subsets of `B j` and are disjoint for large enough `j`
  since `M * r₁ j ≤ r₂ j` and thus `b j ⊆ Z i ⊆ Wᶜ`. We thus have:
  `μ (b j) + μ (W ∩ (B j)) ≤ μ (B j)`. Combining this with `μ (B j) ≤ C * μ (b j)` we obtain
  the required inequality. -/
  set Y₁ : ℕ → Set α := fun i => cthickening (r₁ i) (s i)
  set Y₂ : ℕ → Set α := fun i => cthickening (r₂ i) (s i)
  let Z : ℕ → Set α := fun i => ⋃ (j) (_ : p j ∧ i ≤ j), Y₂ j
  suffices ∀ i, μ (atTop.blimsup Y₁ p \ Z i) = 0 by
    

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
hs : ∀ (i : ℕ), IsClosed (s i)
r₁ r₂ : ℕ → ℝ
hr : Tendsto r₁ atTop (𝓝[>] 0)
hrp : 0 ≤ r₁
M : ℝ
hM : 0 < M
hM' : M < 1
hMr : ∀ᶠ (i : ℕ) in atTop, M * r₁ i ≤ r₂ i
Y₁ : ℕ → Set α := fun i => cthickening (r₁ i) (s i)
Y₂ : ℕ → Set α := fun i => cthickening (r₂ i) (s i)
Z : ℕ → Set α := fun i => ⋃ j, ⋃ (_ : p j ∧ i ≤ j), Y₂ j
this : ∀ (i : ℕ), ↑↑μ (blimsup Y₁ atTop p \ Z i) = 0
⊢ blimsup Y₁ atTop p ≤ᵐ[μ] blimsup Y₂ atTop p

Next tactic:
rwa [ae_le_set, @blimsup_eq_iInf_biSup_of_nat _ _ _ Y₂, iInf_eq_iInter, diff_iInter,
      measure_iUnion_null_iff]