Require Export Coq.Reals.Rdefinitions.
Require Export Coq.Reals.Rfunctions.
Local Open Scope R.
Record Measure (Omega: Type) {sigma: SigmaAlgebra Omega}: Type := {
measure_function: measurable_set Omega -> R;
measure_function_proper: Proper (Same_MSet ==> eq) measure_function;
coutable_addictive:
forall P: nat -> measurable_set Omega,
(forall i j, i <> j -> Disjoint _ (P i) (P j)) ->
infinite_sum (fun i => measure_function (P i)) (measure_function (Countable_Union_MSet P))
}.
Global Existing Instance measure_function_proper.
Definition Measure_measure_function {Omega: Type} {sigma: SigmaAlgebra Omega} (m: Measure Omega): measurable_set Omega -> R := measure_function _ m.
Coercion Measure_measure_function: Measure >-> Funclass.
Definition GeneratedMeasure {A B} {sA: SigmaAlgebra A} {sB: SigmaAlgebra B} (f: MeasurableFunction A B) (mA: Measure A): Measure B.
apply (Build_Measure _ _ (fun PB => mA (PreImage_MSet f PB))).
+ hnf; simpl; intros.
apply measure_function_proper.
apply PreImage_MSet_Proper; auto.
+ intros.
destruct mA as [mA ?H ?H]; simpl in *.
specialize (H1 (fun n => PreImage_MSet f (P n))).
rewrite PreImage_Countable_Union_comm.
apply H1.
clear - H.
intros.
specialize (H i j H0).
apply PreImage_Disjoint; auto.
Defined.

Lemma GeneratedMeasure_spec: forall {A B} {sA: SigmaAlgebra A} {sB: SigmaAlgebra B} (f: MeasurableFunction A B) (mA: Measure A) (PB: measurable_set B),
mA (PreImage_MSet f PB) = (GeneratedMeasure f mA) PB.