Theorem: MeasureTheory.Martingale.condexp_stoppedValue_stopping_time_ae_eq_restrict_le
File: Mathlib/Probability/Martingale/OptionalSampling.lean

Proof steps:
state_before: Ω : Type u_1
E : Type u_2
m : MeasurableSpace Ω
μ : Measure Ω
inst✝¹³ : NormedAddCommGroup E
inst✝¹² : NormedSpace ℝ E
inst✝¹¹ : CompleteSpace E
ι : Type u_3
inst✝¹⁰ : LinearOrder ι
inst✝⁹ : LocallyFiniteOrder ι
inst✝⁸ : OrderBot ι
inst✝⁷ : TopologicalSpace ι
inst✝⁶ : DiscreteTopology ι
inst✝⁵ : MeasurableSpace ι
inst✝⁴ : BorelSpace ι
inst✝³ : MeasurableSpace E
inst✝² : BorelSpace E
inst✝¹ : SecondCountableTopology E
ℱ : Filtration ι m
τ σ : Ω → ι
f : ι → Ω → E
i n : ι
h : Martingale f ℱ μ
hτ : IsStoppingTime ℱ τ
hσ : IsStoppingTime ℱ σ
inst✝ : SigmaFinite (μ.trim ⋯)
hτ_le : ∀ (x : Ω), τ x ≤ n
⊢ μ[stoppedValue f τ|hσ.measurableSpace] =ᶠ[ae (μ.restrict {x | τ x ≤ σ x})] stoppedValue f τ
state_after: Ω : Type u_1
E : Type u_2
m : MeasurableSpace Ω
μ : Measure Ω
inst✝¹³ : NormedAddCommGroup E
inst✝¹² : NormedSpace ℝ E
inst✝¹¹ : CompleteSpace E
ι : Type u_3
inst✝¹⁰ : LinearOrder ι
inst✝⁹ : LocallyFiniteOrder ι
inst✝⁸ : OrderBot ι
inst✝⁷ : TopologicalSpace ι
inst✝⁶ : DiscreteTopology ι
inst✝⁵ : MeasurableSpace ι
inst✝⁴ : BorelSpace ι
inst✝³ : MeasurableSpace E
inst✝² : BorelSpace E
inst✝¹ : SecondCountableTopology E
ℱ : Filtration ι m
τ σ : Ω → ι
f : ι → Ω → E
i n : ι
h : Martingale f ℱ μ
hτ : IsStoppingTime ℱ τ
hσ : IsStoppingTime ℱ σ
inst✝ : SigmaFinite (μ.trim ⋯)
hτ_le : ∀ (x : Ω), τ x ≤ n
⊢ {ω | τ ω ≤ σ ω}.indicator (μ[stoppedValue f τ|hσ.measurableSpace]) =ᶠ[ae μ]
    {ω | τ ω ≤ σ ω}.indicator (stoppedValue f τ)
tactic: rw [ae_eq_restrict_iff_indicator_ae_eq
    (hτ.measurableSpace_le _ (hτ.measurableSet_le_stopping_time hσ))]
state_before: Ω : Type u_1
E : Type u_2
m : MeasurableSpace Ω
μ : Measure Ω
inst✝¹³ : NormedAddCommGroup E
inst✝¹² : NormedSpace ℝ E
inst✝¹¹ : CompleteSpace E
ι : Type u_3
inst✝¹⁰ : LinearOrder ι
inst✝⁹ : LocallyFiniteOrder ι
inst✝⁸ : OrderBot ι
inst✝⁷ : TopologicalSpace ι
inst✝⁶ : DiscreteTopology ι
inst✝⁵ : MeasurableSpace ι
inst✝⁴ : BorelSpace ι
inst✝³ : MeasurableSpace E
inst✝² : BorelSpace E
inst✝¹ : SecondCountableTopology E
ℱ : Filtration ι m
τ σ : Ω → ι
f : ι → Ω → E
i n : ι
h : Martingale f ℱ μ
hτ : IsStoppingTime ℱ τ
hσ : IsStoppingTime ℱ σ
inst✝ : SigmaFinite (μ.trim ⋯)
hτ_le : ∀ (x : Ω), τ x ≤ n
⊢ {ω | τ ω ≤ σ ω}.indicator (μ[stoppedValue f τ|hσ.measurableSpace]) =ᶠ[ae μ]
    {ω | τ ω ≤ σ ω}.indicator (stoppedValue f τ)
state_after: Ω : Type u_1
E : Type u_2
m : MeasurableSpace Ω
μ : Measure Ω
inst✝¹³ : NormedAddCommGroup E
inst✝¹² : NormedSpace ℝ E
inst✝¹¹ : CompleteSpace E
ι : Type u_3
inst✝¹⁰ : LinearOrder ι
inst✝⁹ : LocallyFiniteOrder ι
inst✝⁸ : OrderBot ι
inst✝⁷ : TopologicalSpace ι
inst✝⁶ : DiscreteTopology ι
inst✝⁵ : MeasurableSpace ι
inst✝⁴ : BorelSpace ι
inst✝³ : MeasurableSpace E
inst✝² : BorelSpace E
inst✝¹ : SecondCountableTopology E
ℱ : Filtration ι m
τ σ : Ω → ι
f : ι → Ω → E
i n : ι
h : Martingale f ℱ μ
hτ : IsStoppingTime ℱ τ
hσ : IsStoppingTime ℱ σ
inst✝ : SigmaFinite (μ.trim ⋯)
hτ_le : ∀ (x : Ω), τ x ≤ n
⊢ μ[{ω | τ ω ≤ σ ω}.indicator (stoppedValue f τ)|hσ.measurableSpace] =ᶠ[ae μ]
    {ω | τ ω ≤ σ ω}.indicator (stoppedValue f τ)
tactic: refine (condexp_indicator (integrable_stoppedValue ι hτ h.integrable hτ_le)
    (hτ.measurableSet_stopping_time_le hσ)).symm.trans ?_
state_before: Ω : Type u_1
E : Type u_2
m : MeasurableSpace Ω
μ : Measure Ω
inst✝¹³ : NormedAddCommGroup E
inst✝¹² : NormedSpace ℝ E
inst✝¹¹ : CompleteSpace E
ι : Type u_3
inst✝¹⁰ : LinearOrder ι
inst✝⁹ : LocallyFiniteOrder ι
inst✝⁸ : OrderBot ι
inst✝⁷ : TopologicalSpace ι
inst✝⁶ : DiscreteTopology ι
inst✝⁵ : MeasurableSpace ι
inst✝⁴ : BorelSpace ι
inst✝³ : MeasurableSpace E
inst✝² : BorelSpace E
inst✝¹ : SecondCountableTopology E
ℱ : Filtration ι m
τ σ : Ω → ι
f : ι → Ω → E
i n : ι
h : Martingale f ℱ μ
hτ : IsStoppingTime ℱ τ
hσ : IsStoppingTime ℱ σ
inst✝ : SigmaFinite (μ.trim ⋯)
hτ_le : ∀ (x : Ω), τ x ≤ n
⊢ μ[{ω | τ ω ≤ σ ω}.indicator (stoppedValue f τ)|hσ.measurableSpace] =ᶠ[ae μ]
    {ω | τ ω ≤ σ ω}.indicator (stoppedValue f τ)
state_after: Ω : Type u_1
E : Type u_2
m : MeasurableSpace Ω
μ : Measure Ω
inst✝¹³ : NormedAddCommGroup E
inst✝¹² : NormedSpace ℝ E
inst✝¹¹ : CompleteSpace E
ι : Type u_3
inst✝¹⁰ : LinearOrder ι
inst✝⁹ : LocallyFiniteOrder ι
inst✝⁸ : OrderBot ι
inst✝⁷ : TopologicalSpace ι
inst✝⁶ : DiscreteTopology ι
inst✝⁵ : MeasurableSpace ι
inst✝⁴ : BorelSpace ι
inst✝³ : MeasurableSpace E
inst✝² : BorelSpace E
inst✝¹ : SecondCountableTopology E
ℱ : Filtration ι m
τ σ : Ω → ι
f : ι → Ω → E
i n : ι
h : Martingale f ℱ μ
hτ : IsStoppingTime ℱ τ
hσ : IsStoppingTime ℱ σ
inst✝ : SigmaFinite (μ.trim ⋯)
hτ_le : ∀ (x : Ω), τ x ≤ n
h_int : Integrable ({ω | τ ω ≤ σ ω}.indicator (stoppedValue (fun n => f n) τ)) μ
⊢ μ[{ω | τ ω ≤ σ ω}.indicator (stoppedValue f τ)|hσ.measurableSpace] =ᶠ[ae μ]
    {ω | τ ω ≤ σ ω}.indicator (stoppedValue f τ)
tactic: have h_int :
      Integrable ({ω : Ω | τ ω ≤ σ ω}.indicator (stoppedValue (fun n : ι => f n) τ)) μ := by
    refine (integrable_stoppedValue ι hτ h.integrable hτ_le).indicator ?_
    exact hτ.measurableSpace_le _ (hτ.measurableSet_le_stopping_time hσ)
state_before: Ω : Type u_1
E : Type u_2
m : MeasurableSpace Ω
μ : Measure Ω
inst✝¹³ : NormedAddCommGroup E
inst✝¹² : NormedSpace ℝ E
inst✝¹¹ : CompleteSpace E
ι : Type u_3
inst✝¹⁰ : LinearOrder ι
inst✝⁹ : LocallyFiniteOrder ι
inst✝⁸ : OrderBot ι
inst✝⁷ : TopologicalSpace ι
inst✝⁶ : DiscreteTopology ι
inst✝⁵ : MeasurableSpace ι
inst✝⁴ : BorelSpace ι
inst✝³ : MeasurableSpace E
inst✝² : BorelSpace E
inst✝¹ : SecondCountableTopology E
ℱ : Filtration ι m
τ σ : Ω → ι
f : ι → Ω → E
i n : ι
h : Martingale f ℱ μ
hτ : IsStoppingTime ℱ τ
hσ : IsStoppingTime ℱ σ
inst✝ : SigmaFinite (μ.trim ⋯)
hτ_le : ∀ (x : Ω), τ x ≤ n
h_int : Integrable ({ω | τ ω ≤ σ ω}.indicator (stoppedValue (fun n => f n) τ)) μ
h_meas : AEStronglyMeasurable' hσ.measurableSpace ({ω | τ ω ≤ σ ω}.indicator (stoppedValue (fun n => f n) τ)) μ
⊢ μ[{ω | τ ω ≤ σ ω}.indicator (stoppedValue f τ)|hσ.measurableSpace] =ᶠ[ae μ]
    {ω | τ ω ≤ σ ω}.indicator (stoppedValue f τ)
state_after: no goals
tactic: exact condexp_of_aestronglyMeasurable' hσ.measurableSpace_le h_meas h_int