Require Export Coq.Reals.Rdefinitions.
Require Export Coq.Reals.Rfunctions.
Require Export Coq.Logic.ProofIrrelevance.
Local Open Scope R.
Class SigmaAlgebraFamily (Omega: Type): Type := {
is_measurable_subspace: (Ensemble Omega) -> Prop;
is_measurable_subspace_proper: Proper (Same_set ==> iff) is_measurable_subspace;
sub_sigma_algebra: forall (P: Ensemble Omega | is_measurable_subspace P), SigmaAlgebra {o: Omega | proj1_sig P o};
is_measurable_subspace_consi: forall (P: Ensemble Omega | is_measurable_subspace P) (Q: Ensemble Omega | is_measurable_subspace Q), Included (proj1_sig Q) (proj1_sig P) -> @is_measurable_set {x: Omega | proj1_sig P x} (sub_sigma_algebra P) (sig_Set (proj1_sig Q) (proj1_sig P))
}.
Class ProbabilityMeasureFamily (Omega: Type) {SigFamily : SigmaAlgebraFamily Omega}: Type := {
sub_measure: forall (P: Ensemble Omega | is_measurable_subspace P), @ProbabilityMeasure {o: Omega | proj1_sig P o} (sub_sigma_algebra P)
}.
Module PrFamily.
Section ProbabilityMeasureFamily.
Context {U: Type} {SigF: SigmaAlgebraFamily U}.
Definition measurable_subspace: Type := {Omega: Ensemble U | is_measurable_subspace Omega}.
Definition measurable_subspace_Ensemble: measurable_subspace -> Ensemble U := @proj1_sig _ _.
Global Coercion measurable_subspace_Ensemble: measurable_subspace >-> Ensemble.
Definition measurable_subspace_Prop: measurable_subspace -> U -> Prop := @proj1_sig _ _.
Global Coercion measurable_subspace_Prop: measurable_subspace >-> Funclass.
Definition is_measurable_set (P: Ensemble U) (Omega: measurable_subspace) := @is_measurable_set {x: U | Omega x} (sub_sigma_algebra Omega) (sig_Set P Omega).

Lemma is_measurable_subspace_consi: forall (Omega Omega': measurable_subspace), Included Omega' Omega -> is_measurable_set Omega' Omega.
Definition measurable_set (Omega: measurable_subspace): Type := {P: Ensemble U | is_measurable_set P Omega}.