Module: Mathlib.Probability.StrongLaw

Goal state before:
pp: Ω : Type u_1
inst✝¹ : MeasureSpace Ω
inst✝ : IsProbabilityMeasure ℙ
X : Ω → ℝ
hint : Integrable X ℙ
hnonneg : 0 ≤ X
K N : ℕ
hKN : K ≤ N
⊢ ∑ j ∈ range K, ℙ {ω | X ω ∈ Set.Ioc ↑j ↑N} ≤ ENNReal.ofReal ((∫ (a : Ω), X a) + 1)

Tactic:
let ρ : Measure ℝ := Measure.map X ℙ
  have : IsProbabilityMeasure ρ := Measure.isProbabilityMeasure_map hint.aemeasurable
  have A : ∑ j ∈ range K, ∫ _ in j..N, (1 : ℝ) ∂ρ ≤ 𝔼[X] + 1 :=
    calc
      ∑ j ∈ range K, ∫ _ in j..N, (1 : ℝ) ∂ρ =
          ∑ j ∈ range K, ∑ i ∈ Ico j N, ∫ _ in i..(i + 1 : ℕ), (1 : ℝ) ∂ρ := by
        apply sum_congr rfl fun j hj => ?_
        rw [intervalIntegral.sum_integral_adjacent_intervals_Ico ((mem_range.1 hj).le.trans hKN)]
        intro k _
        exact continuous_const.intervalIntegrable _ _
      _ = ∑ i ∈ range N, ∑ j ∈ range (min (i + 1) K), ∫ _ in i..(i + 1 : ℕ), (1 : ℝ) ∂ρ := by
        simp_rw [sum_sigma']
        refine sum_nbij' (fun p ↦ ⟨p.2, p.1⟩) (fun p ↦ ⟨p.2, p.1⟩) ?_ ?_ ?_ ?_ ?_ <;>
          aesop (add simp Nat.lt_succ_iff)
      _ ≤ ∑ i ∈ range N, (i + 1) * ∫ _ in i..(i + 1 : ℕ), (1 : ℝ) ∂ρ := by
        gcongr with i
        simp only [Nat.cast_add, Nat.cast_one, sum_const, card_range, nsmul_eq_mul, Nat.cast_min]
        refine mul_le_mul_of_nonneg_right (min_le_left _ _) ?_
        apply intervalIntegral.integral_nonneg
        · simp only [le_add_iff_nonneg_right, zero_le_one]
        · simp only [zero_le_one, imp_true_iff]
      _ ≤ ∑ i ∈ range N, ∫ x in i..(i + 1 : ℕ), x + 1 ∂ρ := by
        gcongr with i
        have I : (i : ℝ) ≤ (i + 1 : ℕ) := by
          simp only [Nat.cast_add, Nat.cast_one, le_add_iff_nonneg_right, zero_le_one]
        simp_rw [intervalIntegral.integral_of_le I, ← integral_const_mul]
        apply setIntegral_mono_on
        · exact continuous_const.integrableOn_Ioc
        · exact (continuous_id.add continuous_const).integrableOn_Ioc
        · exact measurableSet_Ioc
        · intro x hx
          simp only [Nat.cast_add, Nat.cast_one, Set.mem_Ioc] at hx
          simp [hx.1.le]
      _ = ∫ x in 0..N, x + 1 ∂ρ := by
        rw [intervalIntegral.sum_integral_adjacent_intervals fun k _ => ?_]
        · norm_cast
        · exact (continuous_id.add continuous_const).intervalIntegrable _ _
      _ = ∫ x in 0..N, x ∂ρ + ∫ x in 0..N, 1 ∂ρ := by
        rw [intervalIntegral.integral_add]
        · exact continuous_id.intervalIntegrable _ _
        · exact continuous_const.intervalIntegrable _ _
      _ = 𝔼[truncation X N] + ∫ x in 0..N, 1 ∂ρ := by
        rw [integral_truncation_eq_intervalIntegral_of_nonneg hint.1 hnonneg]
      _ ≤ 𝔼[X] + ∫ x in 0..N, 1 ∂ρ := by
        grw [integral_truncation_le_integral_of_nonneg hint hnonneg]
      _ ≤ 𝔼[X] + 1 := by
        gcongr
        rw [intervalIntegral.integral_of_le (Nat.cast_nonneg _)]
        simp only [integral_const, measureReal_restrict_apply', measurableSet_Ioc, Set.univ_inter,
          smul_eq_mul, mul_one]
        rw [← ENNReal.toReal_one]
        exact ENNReal.toReal_mono ENNReal.one_ne_top prob_le_one
  have B : ∀ a b, ℙ {ω | X ω ∈ Set.Ioc a b} = ENNReal.ofReal (∫ _ in Set.Ioc a b, (1 : ℝ) ∂ρ) := by
    intro a b
    rw [ofReal_setIntegral_one ρ _,
      Measure.map_apply_of_aemeasurable hint.aemeasurable measurableSet_Ioc]
    rfl
  calc
    ∑ j ∈ range K, ℙ {ω | X ω ∈ Set.Ioc (j : ℝ) N} =
        ∑ j ∈ range K, ENNReal.ofReal (∫ _ in Set.Ioc (j : ℝ) N, (1 : ℝ) ∂ρ) := by simp_rw [B]
    _ = ENNReal.ofReal (∑ j ∈ range K, ∫ _ in Set.Ioc (j : ℝ) N, (1 : ℝ) ∂ρ) := by
      simp [ENNReal.ofReal_sum_of_nonneg]
    _ = ENNReal.ofReal (∑ j ∈ range K, ∫ _ in (j : ℝ)..N, (1 : ℝ) ∂ρ) := by
      congr 1
      refine sum_congr rfl fun j hj => ?_
      rw [intervalIntegral.integral_of_le (Nat.cast_le.2 ((mem_range.1 hj).le.trans hKN))]
    _ ≤ ENNReal.ofReal (𝔼[X] + 1) := ENNReal.ofReal_le_ofReal A

Goal state after: