/-- **Doob's maximal inequality**: Given a non-negative submartingale `f`, for all `ε : ℝ≥0`,
we have `ε • μ {ε ≤ f* n} ≤ ∫ ω in {ε ≤ f* n}, f n` where `f* n ω = max_{k ≤ n}, f k ω`.

In some literature, the Doob's maximal inequality refers to what we call Doob's Lp inequality
(which is a corollary of this lemma and will be proved in an upcomming PR). -/
theorem maximal_ineq [IsFiniteMeasure μ] (hsub : Submartingale f 𝒢 μ) (hnonneg : 0 ≤ f) {ε : ℝ≥0}
    (n : ℕ) : ε • μ {ω | (ε : ℝ) ≤ (range (n + 1)).sup' nonempty_range_succ fun k => f k ω} ≤
    ENNReal.ofReal (∫ ω in {ω | (ε : ℝ) ≤ (range (n + 1)).sup' nonempty_range_succ fun k => f k ω},
      f n ω ∂μ) := by
  suffices ε • μ {ω | (ε : ℝ) ≤ (range (n + 1)).sup' nonempty_range_succ fun k => f k ω} +
      ENNReal.ofReal
          (∫ ω in {ω | ((range (n + 1)).sup' nonempty_range_succ fun k => f k ω) < ε}, f n ω ∂μ) ≤
      ENNReal.ofReal (μ[f n]) by
    have hadd : ENNReal.ofReal (∫ ω, f n ω ∂μ) =
      ENNReal.ofReal
        (∫ ω in {ω | ↑ε ≤ (range (n+1)).sup' nonempty_range_succ fun k => f k ω}, f n ω ∂μ) +
      ENNReal.ofReal
        (∫ ω in {ω | ((range (n+1)).sup' nonempty_range_succ fun k => f k ω) < ↑ε}, f n ω ∂μ) := by
      rw [← ENNReal.ofReal_add, ← integral_union]
      · rw [← integral_univ]
        convert rfl
        ext ω
        change (ε : ℝ) ≤ _ ∨ _ < (ε : ℝ) ↔ _
        simp only [le_or_lt, Set.mem_univ]
      · rw [disjoint_iff_inf_le]
        rintro ω ⟨hω₁, hω₂⟩
        change (ε : ℝ) ≤ _ at hω₁
        change _ < (ε : ℝ) at hω₂
        exact (not_le.2 hω₂) hω₁
      · exact measurableSet_lt (Finset.measurable_range_sup'' fun n _ =>
          (hsub.stronglyMeasurable n).measurable.le (𝒢.le n)) measurable_const
      exacts [(hsub.integrable _).integrableOn, (hsub.integrable _).integrableOn,
        integral_nonneg (hnonneg _), integral_nonneg (hnonneg _)]
    rwa [hadd, ENNReal.add_le_add_iff_right ENNReal.ofReal_ne_top] at this
  calc
    ε • μ {ω | (ε : ℝ) ≤ (range (n + 1)).sup' nonempty_range_succ fun k => f k ω} +
        ENNReal.ofReal
          (∫ ω in {ω | ((range (n + 1)).sup' nonempty_range_succ fun k => f k ω) < ε}, f n ω ∂μ) ≤
        ENNReal.ofReal
          (∫ ω in {ω | (ε : ℝ) ≤ (range (n + 1)).sup' nonempty_range_succ fun k => f k ω},
            stoppedValue f (hitting f {y : ℝ | ↑ε ≤ y} 0 n) ω ∂μ) +
        ENNReal.ofReal
          (∫ ω in {ω | ((range (n + 1)).sup' nonempty_range_succ fun k => f k ω) < ε},
            stoppedValue f (hitting f {y : ℝ | ↑ε ≤ y} 0 n) ω ∂μ) := by
      refine' add_le_add (smul_le_stoppedValue_hitting hsub _)
        (ENNReal.ofReal_le_ofReal (set_integral_mono_on (hsub.integrable n).integrableOn
          (Integrable.integrableOn (hsub.integrable_stoppedValue
            (hitting_isStoppingTime hsub.adapted measurableSet_Ici) hitting_le))
              (measurableSet_lt (Finset.measurable_range_sup'' fun n _ =>
                (hsub.stronglyMeasurable n).measurable.le (𝒢.le n)) measurable_const) _))
      intro ω hω
      rw [Set.mem_setOf_eq] at hω
      have : hitting f {y : ℝ | ↑ε ≤ y} 0 n ω = n := by
        classical simp only [hitting, Set.mem_setOf_eq, exists_prop, Pi.coe_nat, Nat.cast_id,
          ite_eq_right_iff, forall_exists_index, and_imp]
        intro m hm hεm
        exact False.elim
          ((not_le.2 hω) ((le_sup'_iff _).2 ⟨m, mem_range.2 (Nat.lt_succ_of_le hm.2), hεm⟩))
      simp_rw [stoppedValue, this, le_rfl]
    _ = ENNReal.ofReal (∫ ω, stoppedValue f (hitting f {y : ℝ | ↑ε ≤ y} 0 n) ω ∂μ) := by
      rw [← ENNReal.ofReal_add, ← integral_union]
      · rw [← integral_univ (μ := μ)]
        convert rfl
        ext ω
        change _ ↔ (ε : ℝ) ≤ _ ∨ _ < (ε : ℝ)
        simp only [le_or_lt, Set.mem_univ]
      · rw [disjoint_iff_inf_le]
        rintro ω ⟨hω₁, hω₂⟩
        change (ε : ℝ) ≤ _ at hω₁
        change _ < (ε : ℝ) at hω₂
        exact (not_le.2 hω₂) hω₁
      · exact measurableSet_lt (Finset.measurable_range_sup'' fun n _ =>
          (hsub.stronglyMeasurable n).measurable.le (𝒢.le n)) measurable_const
      · 

Proof state:
case hfs
Ω : Type u_1
m0 : MeasurableSpace Ω
μ : Measure Ω
𝒢 : Filtration ℕ m0
f : ℕ → Ω → ℝ
τ π : Ω → ℕ
inst✝ : IsFiniteMeasure μ
hsub : Submartingale f 𝒢 μ
hnonneg : 0 ≤ f
ε : ℝ≥0
n : ℕ
⊢ IntegrableOn (fun ω => stoppedValue f (hitting f {y | ↑ε ≤ y} 0 n) ω)
    {ω | ↑ε ≤ sup' (range (n + 1)) (_ : Finset.Nonempty (range (n + 1))) fun k => f k ω}

Next tactic:
exact Integrable.integrableOn (hsub.integrable_stoppedValue
          (hitting_isStoppingTime hsub.adapted measurableSet_Ici) hitting_le)