theorem extracted_formal_statement_21.{u} {Ω : Type u} [inst : MeasurableSpace Ω] (μ : Measure Ω)
  [inst_1 : IsProbabilityMeasure μ] {n : ℕ} {X : Fin n → Ω → ℝ} (hXm : ∀ (i : Fin n), Measurable (X i))
  (hX_bdd : ∀ (i : Fin n), ∀ᵐ (ω : Ω) ∂μ, |X i ω| ≤ 1) (τ : ℝ) (hlam : τ ≥ 0) :
  let S := fun ω => ∑ i, X i ω;
  Measurable S →
    (Measurable fun ω => rexp (τ * S ω)) →
      (∀ (i : Fin n), ∀ᵐ (ω : Ω) ∂μ, ‖rexp (τ * X i ω)‖ ≤ rexp τ) →
        (∀ᵐ (ω : Ω) ∂μ, ‖rexp (τ * S ω)‖ ≤ rexp (↑n * τ)) →
          HasFiniteIntegral (fun ω => rexp (τ * S ω)) μ → HasFiniteIntegral (fun x => rexp (↑n * τ)) μ := sorry

State before:
case right
Ω : Type u
inst : MeasurableSpace Ω
μ : Measure Ω
inst_1 : IsProbabilityMeasure μ
n : ℕ
X : Fin n → Ω → ℝ
hXm : ∀ (i : Fin n), Measurable (X i)
hX_bdd : ∀ (i : Fin n), ∀ᵐ (ω : Ω) ∂μ, |X i ω| ≤ 1
τ : ℝ
hlam : τ ≥ 0
S : Ω → ℝ := fun ω => ∑ i, X i ω
hS_meas : Measurable S
f : ℝ → ℝ := fun x => rexp (τ * x)
f_meas : Measurable f
f_measω : Measurable fun ω => rexp (τ * S ω)
h_bound : ∀ (i : Fin n), ∀ᵐ (ω : Ω) ∂μ, ‖rexp (τ * X i ω)‖ ≤ rexp τ
h_sum_bound : ∀ᵐ (ω : Ω) ∂μ, ‖rexp (τ * S ω)‖ ≤ rexp (↑n * τ)
⊢ HasFiniteIntegral (fun ω => rexp (τ * S ω)) μ

Tactic: apply HasFiniteIntegral.mono' (g := fun _ ↦ Real.exp (↑n * τ))

State after:
[case right.hg
 Ω : Type u
 inst : MeasurableSpace Ω
 μ : Measure Ω
 inst_1 : IsProbabilityMeasure μ
 n : ℕ
 X : Fin n → Ω → ℝ
 hXm : ∀ (i : Fin n), Measurable (X i)
 hX_bdd : ∀ (i : Fin n), ∀ᵐ (ω : Ω) ∂μ, |X i ω| ≤ 1
 τ : ℝ
 hlam : τ ≥ 0
 S : Ω → ℝ := fun ω => ∑ i, X i ω
 hS_meas : Measurable S
 f : ℝ → ℝ := fun x => rexp (τ * x)
 f_meas : Measurable f
 f_measω : Measurable fun ω => rexp (τ * S ω)
 h_bound : ∀ (i : Fin n), ∀ᵐ (ω : Ω) ∂μ, ‖rexp (τ * X i ω)‖ ≤ rexp τ
 h_sum_bound : ∀ᵐ (ω : Ω) ∂μ, ‖rexp (τ * S ω)‖ ≤ rexp (↑n * τ)
 ⊢ HasFiniteIntegral (fun x => rexp (↑n * τ)) μ,
 case right.h
 Ω : Type u
 inst : MeasurableSpace Ω
 μ : Measure Ω
 inst_1 : IsProbabilityMeasure μ
 n : ℕ
 X : Fin n → Ω → ℝ
 hXm : ∀ (i : Fin n), Measurable (X i)
 hX_bdd : ∀ (i : Fin n), ∀ᵐ (ω : Ω) ∂μ, |X i ω| ≤ 1
 τ : ℝ
 hlam : τ ≥ 0
 S : Ω → ℝ := fun ω => ∑ i, X i ω
 hS_meas : Measurable S
 f : ℝ → ℝ := fun x => rexp (τ * x)
 f_meas : Measurable f
 f_measω : Measurable fun ω => rexp (τ * S ω)
 h_bound : ∀ (i : Fin n), ∀ᵐ (ω : Ω) ∂μ, ‖rexp (τ * X i ω)‖ ≤ rexp τ
 h_sum_bound : ∀ᵐ (ω : Ω) ∂μ, ‖rexp (τ * S ω)‖ ≤ rexp (↑n * τ)
 ⊢ ∀ᵐ (a : Ω) ∂μ, ‖rexp (τ * S a)‖ ≤ rexp (↑n * τ)]

Relevant lemmas:
MeasureTheory.HasFiniteIntegral.mono' : ∀ {α : Type u_1} {β : Type u_2} {m : MeasurableSpace α} {μ : Measure α}
  [inst : NormedAddCommGroup β] {f : α → β} {g : α → ℝ},
  HasFiniteIntegral g μ → (∀ᵐ (a : α) ∂μ, ‖f a‖ ≤ g a) → HasFiniteIntegral f μ