mathlib-initiative/mathlib-tactics huggingface dataset:
Module: Mathlib.Probability.Martingale.Basic

Goal state before:
pp: Ω : Type u_1
E : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
inst✝⁷ : NormedAddCommGroup E
inst✝⁶ : NormedSpace ℝ E
𝒢 : Filtration ℕ m0
inst✝⁵ : CompleteSpace E
inst✝⁴ : PartialOrder E
inst✝³ : IsOrderedAddMonoid E
inst✝² : ClosedIciTopology E
inst✝¹ : IsOrderedModule ℝ E
inst✝ : IsFiniteMeasure μ
f : ℕ → Ω → E
hadp : StronglyAdapted 𝒢 f
hint : ∀ (i : ℕ), Integrable (f i) μ
hf : ∀ (i : ℕ), f i ≤ᵐ[μ] μ[f (i + 1) | ↑𝒢 i]
⊢ Submartingale f 𝒢 μ

Tactic:
by

Goal state after:
Module: Mathlib.Probability.Process.Stopping

Goal state before:
pp: Ω : Type u_1
ι : Type u_3
m : MeasurableSpace Ω
inst✝ : PartialOrder ι
τ : Ω → WithTop ι
f : Filtration ι m
hτ : IsStoppingTime f τ
h_countable : (Set.range τ).Countable
i : ι
⊢ MeasurableSet {ω | τ ω < ↑i}

Tactic:
by

Goal state after:
Module: Mathlib.Probability.Process.HittingTime

Goal state before:
pp: Ω : Type u_1
β : Type u_2
ι : Type u_3
inst✝ : ConditionallyCompleteLinearOrder ι
u : ι → Ω → β
s : Set β
n : ι
ω : Ω
m : ι
hmn : m ≤ n
⊢ hittingBtwn u s n m ω = m

Tactic:
by

Goal state after:
Module: Mathlib.Probability.Process.Stopping

Goal state before:
pp: Ω : Type u_1
m : MeasurableSpace Ω
ι : Type u_4
inst✝ : LinearOrder ι
τ : Ω → WithTop ι
f : Filtration ι m
hτ : IsStoppingTime f τ
h_countable : (Set.range τ).Countable
i : ι
⊢ {ω | ↑i ≤ τ ω} = {ω | τ ω < ↑i}ᶜ

Tactic:
by

Goal state after:
Module: Mathlib.Probability.Process.HittingTime

Goal state before:
pp: case pos.refine_1
Ω : Type u_1
β : Type u_2
ι : Type u_3
inst✝ : ConditionallyCompleteLinearOrder ι
u : ι → Ω → β
s : Set β
n m : ι
hnm : n ≤ m
ω : Ω
h : ∃ j ∈ Set.Icc n m, u j ω ∈ s
⊢ (Set.Icc n m ∩ {i | u i ω ∈ s}).Nonempty

pp: case pos.refine_2
Ω : Type u_1
β : Type u_2
ι : Type u_3
inst✝ : ConditionallyCompleteLinearOrder ι
u : ι → Ω → β
s : Set β
n m : ι
hnm : n ≤ m
ω : Ω
h : ∃ j ∈ Set.Icc n m, u j ω ∈ s
b : ι
hb : b ∈ Set.Icc n m ∩ {i | u i ω ∈ s}
⊢ n ≤ b

Tactic:
· obtain ⟨k, hk_Icc, hk_s⟩ := h
      exact ⟨k, hk_Icc, hk_s⟩

Goal state after:
case pos.refine_2
Ω : Type u_1
β : Type u_2
ι : Type u_3
inst✝ : ConditionallyCompleteLinearOrder ι
u : ι → Ω → β
s : Set β
n m : ι
hnm : n ≤ m
ω : Ω
h : ∃ j ∈ Set.Icc n m, u j ω ∈ s
b : ι
hb : b ∈ Set.Icc n m ∩ {i | u i ω ∈ s}
⊢ n ≤ b
Module: Mathlib.Probability.Process.Stopping

Goal state before:
pp: Ω : Type u_1
m : MeasurableSpace Ω
ι : Type u_4
inst✝ : LinearOrder ι
τ : Ω → WithTop ι
f : Filtration ι m
hτ : IsStoppingTime f τ
h_countable : (Set.range τ).Countable
i : ι
⊢ MeasurableSet {ω | ↑i ≤ τ ω}

Tactic:
by

Goal state after:
Module: Mathlib.Probability.Martingale.Basic

Goal state before:
pp: Ω : Type u_1
E : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
inst✝⁷ : NormedAddCommGroup E
inst✝⁶ : NormedSpace ℝ E
𝒢 : Filtration ℕ m0
inst✝⁵ : CompleteSpace E
inst✝⁴ : PartialOrder E
inst✝³ : IsOrderedAddMonoid E
inst✝² : ClosedIciTopology E
inst✝¹ : IsOrderedModule ℝ E
inst✝ : IsFiniteMeasure μ
f : ℕ → Ω → E
hadp : StronglyAdapted 𝒢 f
hint : ∀ (i : ℕ), Integrable (f i) μ
hf : ∀ (i : ℕ), μ[f (i + 1) | ↑𝒢 i] ≤ᵐ[μ] f i
⊢ Supermartingale f 𝒢 μ

Tactic:
by

Goal state after:
Module: Mathlib.Probability.Martingale.Centering

Goal state before:
pp: Ω : Type u_1
E : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
inst✝³ : NormedAddCommGroup E
inst✝² : NormedSpace ℝ E
ℱ : Filtration ℕ m0
inst✝¹ : CompleteSpace E
inst✝ : SigmaFiniteFiltration μ ℱ
f g : ℕ → Ω → E
hf : Martingale f ℱ μ
hg : StronglyAdapted ℱ fun n ↦ g (n + 1)
hg0 : g 0 = 0
hgint : ∀ (n : ℕ), Integrable (g n) μ
n : ℕ
⊢ predictablePart (f + g) ℱ μ n =ᵐ[μ] g n

Tactic:
by

Goal state after:
Module: Mathlib.Probability.Process.Stopping

Goal state before:
pp: Ω : Type u_1
ι : Type u_3
m : MeasurableSpace Ω
inst✝ : LinearOrder ι
f : Filtration ι m
τ : Ω → WithTop ι
hτ : IsStoppingTime f τ
i : ι
⊢ {ω | ↑i < τ ω} = {ω | τ ω ≤ ↑i}ᶜ

Tactic:
by

Goal state after:
Module: Mathlib.Probability.Process.HittingTime

Goal state before:
pp: Ω : Type u_1
β : Type u_2
ι : Type u_3
inst✝ : ConditionallyCompleteLinearOrder ι
u : ι → Ω → β
s : Set β
n m : ι
hnm : n ≤ m
ω : Ω
⊢ n ≤ hittingBtwn u s n m ω

Tactic:
by

Goal state after:
Module: Mathlib.Probability.Process.HittingTime

Goal state before:
pp: Ω : Type u_1
β : Type u_2
ι : Type u_3
inst✝ : ConditionallyCompleteLinearOrder ι
u : ι → Ω → β
s : Set β
n : ι
ω : Ω
⊢ ↑n ≤ hittingAfter u s n ω

Tactic:
by

Goal state after:
Module: Mathlib.Probability.Martingale.Basic

Goal state before:
pp: Ω : Type u_1
E : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
inst✝⁷ : NormedAddCommGroup E
inst✝⁶ : NormedSpace ℝ E
𝒢 : Filtration ℕ m0
inst✝⁵ : CompleteSpace E
inst✝⁴ : PartialOrder E
inst✝³ : IsOrderedAddMonoid E
inst✝² : ClosedIciTopology E
inst✝¹ : IsOrderedModule ℝ E
inst✝ : IsFiniteMeasure μ
f : ℕ → Ω → E
hadp : StronglyAdapted 𝒢 f
hint : ∀ (i : ℕ), Integrable (f i) μ
hf : ∀ (i : ℕ), 0 ≤ᵐ[μ] μ[f (i + 1) - f i | ↑𝒢 i]
⊢ Submartingale f 𝒢 μ

Tactic:
by

Goal state after:
Module: Mathlib.Probability.Martingale.Centering

Goal state before:
pp: Ω : Type u_1
E : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
inst✝² : NormedAddCommGroup E
inst✝¹ : NormedSpace ℝ E
inst✝ : CompleteSpace E
R : ℝ
f : ℕ → Ω → E
ℱ : Filtration ℕ m0
hbdd : ∀ᵐ (ω : Ω) ∂μ, ∀ (i : ℕ), ‖f (i + 1) ω - f i ω‖ ≤ R
⊢ ∀ᵐ (ω : Ω) ∂μ, ∀ (i : ℕ), ‖predictablePart f ℱ μ (i + 1) ω - predictablePart f ℱ μ i ω‖ ≤ R

Tactic:
by

Goal state after:
Module: Mathlib.Probability.Process.Stopping

Goal state before:
pp: Ω : Type u_1
ι : Type u_3
m : MeasurableSpace Ω
inst✝ : LinearOrder ι
f : Filtration ι m
τ : Ω → WithTop ι
hτ : IsStoppingTime f τ
i : ι
⊢ MeasurableSet {ω | ↑i < τ ω}

Tactic:
by

Goal state after:
Module: Mathlib.Probability.Process.HittingTime

Goal state before:
pp: Ω : Type u_1
β : Type u_2
ι : Type u_3
inst✝ : ConditionallyCompleteLinearOrder ι
u : ι → Ω → β
s : Set β
n : ι
ω : Ω
m : ι
h_exists : ∃ j ∈ Set.Icc n m, u j ω ∈ s
⊢ n ≤ hittingBtwn u s n m ω

Tactic:
by

Goal state after:
Module: Mathlib.Probability.Martingale.Basic

Goal state before:
pp: Ω : Type u_1
E : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
inst✝⁷ : NormedAddCommGroup E
inst✝⁶ : NormedSpace ℝ E
𝒢 : Filtration ℕ m0
inst✝⁵ : CompleteSpace E
inst✝⁴ : PartialOrder E
inst✝³ : IsOrderedAddMonoid E
inst✝² : ClosedIciTopology E
inst✝¹ : IsOrderedModule ℝ E
inst✝ : IsFiniteMeasure μ
f : ℕ → Ω → E
hadp : StronglyAdapted 𝒢 f
hint : ∀ (i : ℕ), Integrable (f i) μ
hf : ∀ (i : ℕ), 0 ≤ᵐ[μ] μ[f i - f (i + 1) | ↑𝒢 i]
⊢ Supermartingale f 𝒢 μ

Tactic:
by

Goal state after:
Module: Mathlib.Probability.Process.HittingTime

Goal state before:
pp: Ω : Type u_1
β : Type u_2
ι : Type u_3
inst✝¹ : ConditionallyCompleteLinearOrder ι
u : ι → Ω → β
s : Set β
n : ι
ω : Ω
inst✝ : WellFoundedLT ι
m : ι
h_exists : ∃ j ∈ Set.Icc n m, u j ω ∈ s
⊢ (Set.Icc n m ∩ {i | u i ω ∈ s}).Nonempty

Tactic:
by

Goal state after:
Module: Mathlib.Probability.Martingale.Basic

Goal state before:
pp: Ω : Type u_1
E : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
inst✝³ : NormedAddCommGroup E
inst✝² : NormedSpace ℝ E
𝒢 : Filtration ℕ m0
inst✝¹ : Preorder E
inst✝ : SigmaFiniteFiltration μ 𝒢
f : ℕ → Ω → E
hfmgle : Submartingale f 𝒢 μ
hfadp : StronglyAdapted 𝒢 fun n ↦ f (n + 1)
n : ℕ
⊢ f 0 ≤ᵐ[μ] f n

Tactic:
by

Goal state after:
Module: Mathlib.Probability.Martingale.Centering

Goal state before:
pp: Ω : Type u_1
E : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
inst✝² : NormedAddCommGroup E
inst✝¹ : NormedSpace ℝ E
inst✝ : CompleteSpace E
R : ℝ
f : ℕ → Ω → E
ℱ : Filtration ℕ m0
hbdd : ∀ᵐ (ω : Ω) ∂μ, ∀ (i : ℕ), ‖f (i + 1) ω - f i ω‖ ≤ R
⊢ ∀ᵐ (ω : Ω) ∂μ, ∀ (i : ℕ), ‖martingalePart f ℱ μ (i + 1) ω - martingalePart f ℱ μ i ω‖ ≤ 2 * R

Tactic:
by

Goal state after:
Module: Mathlib.Probability.Process.HittingTime

Goal state before:
pp: Ω : Type u_1
β : Type u_2
ι : Type u_3
inst✝¹ : ConditionallyCompleteLinearOrder ι
u : ι → Ω → β
s : Set β
n : ι
ω : Ω
inst✝ : WellFoundedLT ι
m : ι
h_exists : ∃ j ∈ Set.Icc n m, u j ω ∈ s
⊢ u (hittingBtwn u s n m ω) ω ∈ s

Tactic:
by

Goal state after:
Module: Mathlib.Probability.Process.Stopping

Goal state before:
pp: Ω : Type u_1
ι : Type u_3
m : MeasurableSpace Ω
inst✝³ : LinearOrder ι
f : Filtration ι m
τ : Ω → WithTop ι
inst✝² : TopologicalSpace ι
inst✝¹ : OrderTopology ι
inst✝ : FirstCountableTopology ι
hτ : IsStoppingTime f τ
i : ι
h_lub : IsLUB (Set.Iio i) i
hi_min : IsMin i
this : {ω | τ ω < ↑i} = ∅
⊢ MeasurableSet {ω | τ ω < ↑i}

Tactic:
by

Goal state after:
Module: Mathlib.Probability.Martingale.Basic

Goal state before:
pp: Ω : Type u_1
E : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
inst✝³ : NormedAddCommGroup E
inst✝² : NormedSpace ℝ E
𝒢 : Filtration ℕ m0
inst✝¹ : Preorder E
inst✝ : SigmaFiniteFiltration μ 𝒢
f : ℕ → Ω → E
hfmgle : Supermartingale f 𝒢 μ
hfadp : StronglyAdapted 𝒢 fun n ↦ f (n + 1)
n : ℕ
⊢ f n ≤ᵐ[μ] f 0

Tactic:
by

Goal state after:
Module: Mathlib.Probability.Process.HittingTime

Goal state before:
pp: Ω : Type u_1
β : Type u_2
ι : Type u_3
inst✝¹ : ConditionallyCompleteLinearOrder ι
u : ι → Ω → β
s : Set β
n : ι
ω : Ω
inst✝ : WellFoundedLT ι
h_exists : ∃ j, n ≤ j ∧ u j ω ∈ s
⊢ {i | n ≤ i ∧ u i ω ∈ s}.Nonempty

Tactic:
by

Goal state after:
Module: Mathlib.Probability.Process.HittingTime

Goal state before:
pp: Ω : Type u_1
β : Type u_2
ι : Type u_3
inst✝¹ : ConditionallyCompleteLinearOrder ι
u : ι → Ω → β
s : Set β
n : ι
ω : Ω
inst✝ : WellFoundedLT ι
h_exists : ∃ j, n ≤ j ∧ u j ω ∈ s
⊢ u (hittingAfter u s n ω).untopA ω ∈ s

Tactic:
by

Goal state after:
Module: Mathlib.Probability.Martingale.Upcrossing

Goal state before:
pp: Ω : Type u_1
ι : Type u_2
inst✝² : Preorder ι
inst✝¹ : OrderBot ι
inst✝ : InfSet ι
a b : ℝ
f : ι → Ω → ℝ
N : ι
n : ℕ
ω : Ω
⊢ upperCrossingTime a b f N (n + 1) ω =
    hittingBtwn f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω

Tactic:
by

Goal state after:
Module: Mathlib.Probability.Martingale.Upcrossing

Goal state before:
pp: Ω : Type u_1
ι : Type u_2
inst✝² : Preorder ι
inst✝¹ : OrderBot ι
inst✝ : InfSet ι
a b : ℝ
f : ι → Ω → ℝ
N : ι
n : ℕ
ω : Ω
⊢ upperCrossingTime a b f N (n + 1) ω = hittingBtwn f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω

Tactic:
by

Goal state after:
Module: Mathlib.Probability.Martingale.Upcrossing

Goal state before:
pp: Ω : Type u_1
ι : Type u_2
inst✝ : ConditionallyCompleteLinearOrderBot ι
a b : ℝ
f : ι → Ω → ℝ
N : ι
n : ℕ
ω : Ω
⊢ upperCrossingTime a b f N n ω ≤ N

Tactic:
by

Goal state after:
Module: Mathlib.Probability.Martingale.Upcrossing

Goal state before:
pp: Ω : Type u_1
ι : Type u_2
inst✝ : ConditionallyCompleteLinearOrderBot ι
a b : ℝ
f : ι → Ω → ℝ
N : ι
n : ℕ
ω : Ω
⊢ lowerCrossingTime a b f N n ω ≤ N

Tactic:
by

Goal state after:
Module: Mathlib.Probability.Martingale.Upcrossing

Goal state before:
pp: Ω : Type u_1
ι : Type u_2
inst✝ : ConditionallyCompleteLinearOrderBot ι
a b : ℝ
f : ι → Ω → ℝ
N : ι
n : ℕ
ω : Ω
⊢ upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω

Tactic:
by

Goal state after:
Module: Mathlib.Probability.Martingale.Upcrossing

Goal state before:
pp: Ω : Type u_1
ι : Type u_2
inst✝ : ConditionallyCompleteLinearOrderBot ι
a b : ℝ
f : ι → Ω → ℝ
N : ι
n : ℕ
ω : Ω
⊢ lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω

Tactic:
by

Goal state after:
Module: Mathlib.Probability.Martingale.Upcrossing

Goal state before:
pp: Ω : Type u_1
ι : Type u_2
inst✝ : ConditionallyCompleteLinearOrderBot ι
a b : ℝ
f : ι → Ω → ℝ
N : ι
n m : ℕ
ω : Ω
hnm : n ≤ m
this : Monotone fun n ↦ lowerCrossingTime a b f N n ω
⊢ lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω

Tactic:
by

Goal state after:
Module: Mathlib.Probability.Process.HittingTime

Goal state before:
pp: Ω : Type u_1
β : Type u_2
ι : Type u_3
inst✝¹ : ConditionallyCompleteLinearOrder ι
u : ι → Ω → β
s : Set β
n : ι
ω : Ω
inst✝ : WellFoundedLT ι
m : ι
hl : hittingBtwn u s n m ω < m
⊢ u (hittingBtwn u s n m ω) ω ∈ s

Tactic:
by

Goal state after:
Module: Mathlib.Probability.Martingale.Upcrossing

Goal state before:
pp: Ω : Type u_1
ι : Type u_2
inst✝ : ConditionallyCompleteLinearOrderBot ι
a b : ℝ
f : ι → Ω → ℝ
N : ι
n m : ℕ
ω : Ω
hnm : n ≤ m
⊢ lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω

Tactic:
by

Goal state after:
Module: Mathlib.Probability.Martingale.Upcrossing

Goal state before:
pp: Ω : Type u_1
ι : Type u_2
inst✝ : ConditionallyCompleteLinearOrderBot ι
a b : ℝ
f : ι → Ω → ℝ
N : ι
n m : ℕ
ω : Ω
hnm : n ≤ m
this : Monotone fun n ↦ upperCrossingTime a b f N n ω
⊢ upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω

Tactic:
by

Goal state after:
Module: Mathlib.Probability.Martingale.Upcrossing

Goal state before:
pp: Ω : Type u_1
ι : Type u_2
inst✝ : ConditionallyCompleteLinearOrderBot ι
a b : ℝ
f : ι → Ω → ℝ
N : ι
n m : ℕ
ω : Ω
hnm : n ≤ m
⊢ upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω

Tactic:
by

Goal state after:
Module: Mathlib.Probability.Process.HittingTime

Goal state before:
pp: Ω : Type u_1
β : Type u_2
ι : Type u_3
inst✝¹ : ConditionallyCompleteLinearOrder ι
u : ι → Ω → β
s : Set β
n : ι
ω : Ω
inst✝ : WellFoundedLT ι
hl : hittingAfter u s n ω ≠ ⊤
⊢ u (hittingAfter u s n ω).untopA ω ∈ s

Tactic:
by

Goal state after:
Module: Mathlib.Probability.Martingale.Upcrossing

Goal state before:
pp: Ω : Type u_1
a b : ℝ
f : ℕ → Ω → ℝ
N n : ℕ
ω : Ω
h : lowerCrossingTime a b f N n ω ≠ N
⊢ stoppedValue f (fun ω ↦ ↑(lowerCrossingTime a b f N n ω)) ω ≤ a

Tactic:
by

Goal state after:
Module: Mathlib.Probability.Martingale.Upcrossing

Goal state before:
pp: Ω : Type u_1
a b : ℝ
f : ℕ → Ω → ℝ
N n : ℕ
ω : Ω
h : upperCrossingTime a b f N (n + 1) ω ≠ N
⊢ b ≤ stoppedValue f (fun ω ↦ ↑(upperCrossingTime a b f N (n + 1) ω)) ω

Tactic:
by

Goal state after:
Module: Mathlib.Probability.Process.HittingTime

Goal state before:
pp: Ω : Type u_1
β : Type u_2
ι : Type u_3
inst✝ : ConditionallyCompleteLinearOrder ι
u : ι → Ω → β
s : Set β
n i : ι
ω : Ω
m : ι
hin : n ≤ i
him : i ≤ m
his : u i ω ∈ s
⊢ hittingBtwn u s n m ω ≤ i

Tactic:
by

Goal state after:
Module: Mathlib.Probability.Martingale.Upcrossing

Goal state before:
pp: Ω : Type u_1
a b : ℝ
f : ℕ → Ω → ℝ
N n : ℕ
ω : Ω
hab : a < b
hn : lowerCrossingTime a b f N (n + 1) ω ≠ N
⊢ upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω

Tactic:
by

Goal state after:
Module: Mathlib.Probability.Martingale.Upcrossing

Goal state before:
pp: Ω : Type u_1
a b : ℝ
f : ℕ → Ω → ℝ
N n : ℕ
ω : Ω
hab : a < b
hn : upperCrossingTime a b f N (n + 1) ω ≠ N
⊢ lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω

Tactic:
by

Goal state after:
Module: Mathlib.Probability.Process.HittingTime

Goal state before:
pp: Ω : Type u_1
β : Type u_2
ι : Type u_3
inst✝ : ConditionallyCompleteLinearOrder ι
u : ι → Ω → β
s : Set β
n i : ι
ω : Ω
hin : n ≤ i
his : u i ω ∈ s
⊢ hittingAfter u s n ω ≤ ↑i

Tactic:
by

Goal state after:
Module: Mathlib.Probability.Martingale.Upcrossing

Goal state before:
pp: Ω : Type u_1
a b : ℝ
f : ℕ → Ω → ℝ
N : ℕ
ω : Ω
hab : a < b
⊢ ∃ n, upperCrossingTime a b f N n ω = N

Tactic:
by

Goal state after:
Module: Mathlib.Probability.Martingale.Upcrossing

Goal state before:
pp: Ω : Type u_1
a b : ℝ
f : ℕ → Ω → ℝ
N : ℕ
ω : Ω
hab : a < b
⊢ BddAbove {n | upperCrossingTime a b f N n ω < N}

Tactic:
by

Goal state after:
Module: Mathlib.Probability.Martingale.Upcrossing

Goal state before:
pp: Ω : Type u_1
a b : ℝ
f : ℕ → Ω → ℝ
N : ℕ
ω : Ω
hab : a < b
hN' : N < Nat.find ⋯
⊢ StrictMonoOn (fun n ↦ upperCrossingTime a b f N n ω) (Set.Iic (Nat.find ⋯).pred)

Tactic:
by

Goal state after:
Module: Mathlib.Probability.Martingale.Upcrossing

Goal state before:
pp: Ω : Type u_1
a b : ℝ
f : ℕ → Ω → ℝ
N : ℕ
ω : Ω
hab : a < b
⊢ upperCrossingTime a b f N N ω = N

Tactic:
by

Goal state after:
Module: Mathlib.Probability.Process.Stopping

Goal state before:
pp: Ω : Type u_1
ι : Type u_3
m : MeasurableSpace Ω
inst✝³ : LinearOrder ι
f : Filtration ι m
τ : Ω → WithTop ι
inst✝² : TopologicalSpace ι
inst✝¹ : OrderTopology ι
inst✝ : FirstCountableTopology ι
hτ : IsStoppingTime f τ
i : ι
h_lub : IsLUB (Set.Iio i) i
hi_min : ¬IsMin i
seq : ℕ → ι
h_tendsto : Tendsto seq atTop (𝓝 i)
h_bound : ∀ (j : ℕ), seq j < i
⊢ Set.Iio ↑i = ⋃ j, {k | k ≤ ↑(seq j)}

Tactic:
by

Goal state after:
Module: Mathlib.Probability.Process.HittingTime

Goal state before:
pp: Ω : Type u_1
β : Type u_2
ι : Type u_3
inst✝¹ : ConditionallyCompleteLinearOrder ι
u : ι → Ω → β
s : Set β
n i : ι
ω : Ω
inst✝ : WellFoundedLT ι
m : ι
h_exists : ∃ j ∈ Set.Icc n m, u j ω ∈ s
h' : ∃ j ∈ Set.Icc n i, u j ω ∈ s
⊢ ∃ k ∈ Set.Icc n (min m i), u k ω ∈ s

Tactic:
by

Goal state after:
Module: Mathlib.Probability.Martingale.Basic

Goal state before:
pp: Ω : Type u_1
E : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
inst✝³ : NormedAddCommGroup E
inst✝² : NormedSpace ℝ E
𝒢 : Filtration ℕ m0
inst✝¹ : CompleteSpace E
inst✝ : IsFiniteMeasure μ
f : ℕ → Ω → E
hadp : StronglyAdapted 𝒢 f
hint : ∀ (i : ℕ), Integrable (f i) μ
hf : ∀ (i : ℕ), f i =ᵐ[μ] μ[f (i + 1) | ↑𝒢 i]
⊢ Martingale f 𝒢 μ

Tactic:
by

Goal state after:
Module: Mathlib.Probability.Process.HittingTime

Goal state before:
pp: Ω : Type u_1
β : Type u_2
ι : Type u_3
inst✝¹ : ConditionallyCompleteLinearOrder ι
u : ι → Ω → β
s : Set β
n i : ι
ω : Ω
inst✝ : WellFoundedLT ι
m : ι
h_exists : ∃ j ∈ Set.Icc n m, u j ω ∈ s
⊢ hittingBtwn u s n m ω ≤ i ↔ ∃ j ∈ Set.Icc n i, u j ω ∈ s

Tactic:
by

Goal state after:
Module: Mathlib.Probability.Martingale.Upcrossing

Goal state before:
pp: Ω : Type u_1
m0 : MeasurableSpace Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n : ℕ
ℱ : Filtration ℕ m0
hf : StronglyAdapted ℱ f
k : ℕ
ih :
  (IsStoppingTime ℱ fun ω ↦ ↑(upperCrossingTime a b f N k ω)) ∧
    IsStoppingTime ℱ fun ω ↦ ↑(lowerCrossingTime a b f N k ω)
⊢ IsStoppingTime ℱ fun ω ↦ ↑(upperCrossingTime a b f N (k + 1) ω)

Tactic:
by

Goal state after:
Module: Mathlib.Probability.Process.Stopping

Goal state before:
pp: Ω : Type u_1
ι : Type u_3
m : MeasurableSpace Ω
inst✝³ : LinearOrder ι
f : Filtration ι m
τ : Ω → WithTop ι
inst✝² : TopologicalSpace ι
inst✝¹ : OrderTopology ι
inst✝ : FirstCountableTopology ι
hτ : IsStoppingTime f τ
i : ι
h_lub : IsLUB (Set.Iio i) i
hi_min : ¬IsMin i
seq : ℕ → ι
h_tendsto : Tendsto seq atTop (𝓝 i)
h_bound : ∀ (j : ℕ), seq j < i
h_Iio_eq_Union : Set.Iio ↑i = ⋃ j, {k | k ≤ ↑(seq j)}
⊢ {ω | τ ω < ↑i} = τ ⁻¹' Set.Iio ↑i

Tactic:
by

Goal state after:
Module: Mathlib.Probability.Martingale.Upcrossing

Goal state before:
pp: Ω : Type u_1
m0 : MeasurableSpace Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n : ℕ
ℱ : Filtration ℕ m0
hf : StronglyAdapted ℱ f
⊢ (IsStoppingTime ℱ fun ω ↦ ↑(upperCrossingTime a b f N n ω)) ∧
    IsStoppingTime ℱ fun ω ↦ ↑(lowerCrossingTime a b f N n ω)

Tactic:
by

Goal state after:
Module: Mathlib.Probability.Process.HittingTime

Goal state before:
pp: Ω : Type u_1
β : Type u_2
ι : Type u_3
inst✝¹ : ConditionallyCompleteLinearOrder ι
u : ι → Ω → β
s : Set β
n i : ι
ω : Ω
inst✝ : WellFoundedLT ι
h' : hittingAfter u s n ω ≤ ↑i
h : hittingAfter u s n ω = ⊤
⊢ False

Tactic:
by

Goal state after:
Module: Mathlib.Probability.Process.HittingTime

Goal state before:
pp: Ω : Type u_1
β : Type u_2
ι : Type u_3
inst✝¹ : ConditionallyCompleteLinearOrder ι
u : ι → Ω → β
s : Set β
n i : ι
ω : Ω
inst✝ : WellFoundedLT ι
⊢ hittingAfter u s n ω ≤ ↑i ↔ ∃ j ∈ Set.Icc n i, u j ω ∈ s

Tactic:
by

Goal state after:
Module: Mathlib.Probability.Martingale.Basic

Goal state before:
pp: Ω : Type u_1
E : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
inst✝³ : NormedAddCommGroup E
inst✝² : NormedSpace ℝ E
𝒢 : Filtration ℕ m0
inst✝¹ : CompleteSpace E
inst✝ : IsFiniteMeasure μ
f : ℕ → Ω → E
hadp : StronglyAdapted 𝒢 f
hint : ∀ (i : ℕ), Integrable (f i) μ
hf : ∀ (i : ℕ) (s : Set Ω), MeasurableSet s → ∫ (ω : Ω) in s, f i ω ∂μ = ∫ (ω : Ω) in s, f (i + 1) ω ∂μ
⊢ Martingale f 𝒢 μ

Tactic:
by

Goal state after:
Module: Mathlib.Probability.Process.Stopping

Goal state before:
pp: Ω : Type u_1
ι : Type u_3
m : MeasurableSpace Ω
inst✝³ : LinearOrder ι
f : Filtration ι m
τ : Ω → WithTop ι
inst✝² : TopologicalSpace ι
inst✝¹ : OrderTopology ι
inst✝ : FirstCountableTopology ι
hτ : IsStoppingTime f τ
i : ι
h_lub : IsLUB (Set.Iio i) i
⊢ MeasurableSet {ω | τ ω < ↑i}

Tactic:
by

Goal state after:
Module: Mathlib.Probability.Process.HittingTime

Goal state before:
pp: Ω : Type u_1
β : Type u_2
ι : Type u_3
inst✝¹ : ConditionallyCompleteLinearOrder ι
u : ι → Ω → β
s : Set β
n : ι
ω : Ω
inst✝ : WellFoundedLT ι
m i : ι
hi : i < m
⊢ hittingBtwn u s n m ω ≤ i ↔ ∃ j ∈ Set.Icc n i, u j ω ∈ s

Tactic:
by

Goal state after:
Module: Mathlib.Probability.Martingale.Basic

Goal state before:
pp: Ω : Type u_1
E : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
inst✝³ : NormedAddCommGroup E
inst✝² : NormedSpace ℝ E
𝒢 : Filtration ℕ m0
inst✝¹ : CompleteSpace E
inst✝ : IsFiniteMeasure μ
f : ℕ → Ω → E
hadp : StronglyAdapted 𝒢 f
hint : ∀ (i : ℕ), Integrable (f i) μ
hf : ∀ (i : ℕ), μ[f (i + 1) - f i | ↑𝒢 i] =ᵐ[μ] 0
⊢ Martingale f 𝒢 μ

Tactic:
by

Goal state after:
Module: Mathlib.Probability.Process.HittingTime

Goal state before:
pp: Ω : Type u_1
β : Type u_2
ι : Type u_3
inst✝ : ConditionallyCompleteLinearOrder ι
u : ι → Ω → β
s : Set β
n : ι
ω : Ω
m i : ι
hi : i ≤ m
h' : hittingBtwn u s n m ω < i
⊢ ∃ j ∈ Set.Icc n m, u j ω ∈ s

Tactic:
by

Goal state after:
Module: Mathlib.Probability.Martingale.Upcrossing

Goal state before:
pp: Ω : Type u_1
a b : ℝ
f : ℕ → Ω → ℝ
N n : ℕ
ω : Ω
⊢ upcrossingStrat a b f N n ω ≤ 1

Tactic:
by

Goal state after:
Module: Mathlib.Probability.Martingale.Basic

Goal state before:
pp: Ω : Type u_1
E : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
inst✝³ : NormedAddCommGroup E
inst✝² : NormedSpace ℝ E
𝒢 : Filtration ℕ m0
inst✝¹ : CompleteSpace E
inst✝ : SigmaFiniteFiltration μ 𝒢
f : ℕ → Ω → E
hfmgle : Martingale f 𝒢 μ
hfadp : StronglyAdapted 𝒢 fun n ↦ f (n + 1)
n : ℕ
⊢ f n =ᵐ[μ] f 0

Tactic:
by

Goal state after:
Module: Mathlib.Probability.Process.Stopping

Goal state before:
pp: Ω : Type u_1
ι : Type u_3
m : MeasurableSpace Ω
inst✝³ : LinearOrder ι
f : Filtration ι m
τ : Ω → WithTop ι
inst✝² : TopologicalSpace ι
inst✝¹ : OrderTopology ι
inst✝ : FirstCountableTopology ι
hτ : IsStoppingTime f τ
i i' : ι
hi'_lub : IsLUB (Set.Iio i) i'
h_Iio_eq_Iic : Set.Iio i = Set.Iic i'
h_lt_eq_preimage : {ω | τ ω < ↑i} = τ ⁻¹' Set.Iio ↑i
⊢ Set.Iio ↑i = Set.Iic ↑i'

Tactic:
by

Goal state after:
Module: Mathlib.Probability.Martingale.Upcrossing

Goal state before:
pp: Ω : Type u_1
m0 : MeasurableSpace Ω
a b : ℝ
f : ℕ → Ω → ℝ
N : ℕ
ℱ : Filtration ℕ m0
hf : StronglyAdapted ℱ f
⊢ StronglyAdapted ℱ (MeasureTheory.upcrossingStrat a b f N)

Tactic:
by

Goal state after:
Module: Mathlib.Probability.Process.HittingTime

Goal state before:
pp: Ω : Type u_1
β : Type u_2
ι : Type u_3
inst✝ : ConditionallyCompleteLinearOrder ι
u : ι → Ω → β
s : Set β
n : ι
ω : Ω
m i : ι
hi : i ≤ m
h' : sInf (Set.Icc n m ∩ {i | u i ω ∈ s}) < i
h : ∃ j ∈ Set.Icc n m, u j ω ∈ s
hni : n < i
h_le : n ≤ hittingBtwn u s n m ω
⊢ n ∈ lowerBounds (Set.Icc n m ∩ {i | u i ω ∈ s})

Tactic:
by

Goal state after:
Module: Mathlib.Probability.Martingale.Upcrossing

Goal state before:
pp: Ω : Type u_1
m0 : MeasurableSpace Ω
μ : Measure Ω
f : ℕ → Ω → ℝ
ℱ : Filtration ℕ m0
inst✝ : IsFiniteMeasure μ
hf : Submartingale f ℱ μ
a b : ℝ
N : ℕ
⊢ Submartingale (fun n ↦ ∑ k ∈ Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ

Tactic:
by

Goal state after:
Module: Mathlib.Probability.Process.Stopping

Goal state before:
pp: Ω : Type u_1
ι : Type u_3
m : MeasurableSpace Ω
inst✝³ : LinearOrder ι
f : Filtration ι m
τ : Ω → WithTop ι
inst✝² : TopologicalSpace ι
inst✝¹ : OrderTopology ι
inst✝ : FirstCountableTopology ι
hτ : IsStoppingTime f τ
i : ι
⊢ MeasurableSet {ω | τ ω < ↑i}

Tactic:
by

Goal state after:
Module: Mathlib.Probability.Martingale.Basic

Goal state before:
pp: Ω : Type u_1
E : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
inst✝⁷ : NormedAddCommGroup E
inst✝⁶ : NormedSpace ℝ E
𝒢 : Filtration ℕ m0
inst✝⁵ : CompleteSpace E
inst✝⁴ : PartialOrder E
inst✝³ : IsOrderedModule ℝ E
inst✝² : ClosedIciTopology E
inst✝¹ : IsOrderedAddMonoid E
inst✝ : IsFiniteMeasure μ
R : ℝ
f : ℕ → Ω → E
ξ : ℕ → Ω → ℝ
hf : Submartingale f 𝒢 μ
hξ : StronglyAdapted 𝒢 ξ
hbdd : ∀ (n : ℕ) (ω : Ω), ξ n ω ≤ R
hnonneg : ∀ (n : ℕ) (ω : Ω), 0 ≤ ξ n ω
C : ℕ → ℝ
hC : ∀ (i : ℕ) (ω : Ω), ‖ξ i ω‖ ≤ C i
hint : ∀ (m : ℕ), Integrable (∑ k ∈ Finset.range m, ξ k • (f (k + 1) - f k)) μ
⊢ StronglyAdapted 𝒢 fun n ↦ ∑ k ∈ Finset.range n, ξ k • (f (k + 1) - f k)

Tactic:
by

Goal state after: