/-- Any pair of finite measures `μ` and `ν`, `HaveLebesgueDecomposition`. That is to say,
there exist a measure `ξ` and a measurable function `f`, such that `ξ` is mutually singular
with respect to `ν` and `μ = ξ + ν.withDensity f`.

This is not an instance since this is also shown for the more general σ-finite measures with
`MeasureTheory.Measure.haveLebesgueDecomposition_of_sigmaFinite`. -/
theorem haveLebesgueDecomposition_of_finiteMeasure [IsFiniteMeasure μ] [IsFiniteMeasure ν] :
    HaveLebesgueDecomposition μ ν :=
  ⟨by
    have h :=
      @exists_seq_tendsto_sSup _ _ _ _ _ (measurableLEEval ν μ)
        ⟨0, 0, zero_mem_measurableLE, by simp⟩ (OrderTop.bddAbove _)
    choose g _ hg₂ f hf₁ hf₂ using h
    -- we set `ξ` to be the supremum of an increasing sequence of functions obtained from above
    set ξ := ⨆ (n) (k) (_ : k ≤ n), f k with hξ
    -- we see that `ξ` has the largest integral among all functions in `measurableLE`
    have hξ₁ : sSup (measurableLEEval ν μ) = ∫⁻ a, ξ a ∂ν := by
      have :=
        @lintegral_tendsto_of_tendsto_of_monotone _ _ ν (fun n => ⨆ (k) (_ : k ≤ n), f k)
          (⨆ (n) (k) (_ : k ≤ n), f k) ?_ ?_ ?_
      · refine' tendsto_nhds_unique _ this
        refine' tendsto_of_tendsto_of_tendsto_of_le_of_le hg₂ tendsto_const_nhds _ _
        · intro n; rw [← hf₂ n]
          apply lintegral_mono
          simp only [iSup_apply, iSup_le_le f n n le_rfl]
        · intro n
          exact le_sSup ⟨⨆ (k : ℕ) (_ : k ≤ n), f k, iSup_mem_measurableLE' _ hf₁ _, rfl⟩
      · intro n
        refine' Measurable.aemeasurable _
        convert (iSup_mem_measurableLE _ hf₁ n).1
        refine Option.ext fun x => ?_; simp
      · refine' Filter.eventually_of_forall fun a => _
        simp [iSup_monotone' f _]
      · refine' Filter.eventually_of_forall fun a => _
        simp [tendsto_atTop_iSup (iSup_monotone' f a)]
    have hξm : Measurable ξ := by
      convert measurable_iSup fun n => (iSup_mem_measurableLE _ hf₁ n).1
      refine Option.ext fun x => ?_; simp [hξ]
    -- `ξ` is the `f` in the theorem statement and we set `μ₁` to be `μ - ν.withDensity ξ`
    -- since we need `μ₁ + ν.withDensity ξ = μ`
    set μ₁ := μ - ν.withDensity ξ with hμ₁
    have hle : ν.withDensity ξ ≤ μ := by
      intro B hB
      rw [hξ, withDensity_apply _ hB]
      simp_rw [iSup_apply]
      rw [lintegral_iSup (fun i => (iSup_mem_measurableLE _ hf₁ i).1) (iSup_monotone _)]
      exact iSup_le fun i => (iSup_mem_measurableLE _ hf₁ i).2 B hB
    have : IsFiniteMeasure (ν.withDensity ξ) := by
      refine' isFiniteMeasure_withDensity _
      have hle' := hle univ MeasurableSet.univ
      rw [withDensity_apply _ MeasurableSet.univ, Measure.restrict_univ] at hle'
      exact ne_top_of_le_ne_top (measure_ne_top _ _) hle'
    

Proof state:
α : Type u_1
β : Type u_2
m : MeasurableSpace α
μ ν : Measure α
inst✝¹ : IsFiniteMeasure μ
inst✝ : IsFiniteMeasure ν
g : ℕ → ℝ≥0∞
h✝ : Monotone g
hg₂ : Filter.Tendsto g Filter.atTop (nhds (sSup (measurableLEEval ν μ)))
f : ℕ → α → ℝ≥0∞
hf₁ : ∀ (n : ℕ), f n ∈ measurableLE ν μ
hf₂ : ∀ (n : ℕ), (fun f => ∫⁻ (x : α), f x ∂ν) (f n) = g n
ξ : α → ℝ≥0∞ := ⨆ n, ⨆ k, ⨆ (_ : k ≤ n), f k
hξ : ξ = ⨆ n, ⨆ k, ⨆ (_ : k ≤ n), f k
hξ₁ : sSup (measurableLEEval ν μ) = ∫⁻ (a : α), ξ a ∂ν
hξm : Measurable ξ
μ₁ : Measure α := μ - withDensity ν ξ
hμ₁ : μ₁ = μ - withDensity ν ξ
hle : withDensity ν ξ ≤ μ
this : IsFiniteMeasure (withDensity ν ξ)
⊢ ∃ p, Measurable p.2 ∧ p.1 ⟂ₘ ν ∧ μ = p.1 + withDensity ν p.2

Next tactic:
refine' ⟨⟨μ₁, ξ⟩, hξm, _, _⟩