import Mathlib
import FoML


open MeasureTheory Filter Finset Real

open scoped MeasureTheory ProbabilityTheory ENNReal NNReal

theorem extracted_formal_statement_3.{u_1} {Ω : Type u_1} {m : MeasurableSpace Ω} {μ : Measure Ω}
  [inst : IsFiniteMeasure μ] (t a b : ℝ) {X : Ω → ℝ} (hX : AEMeasurable X μ) (h : ∀ᵐ (ω : Ω) ∂μ, X ω ∈ Set.Icc a b) :
  let e := fun t ω => rexp (t * X ω);
  let e' := fun t ω => rexp (t * X ω) * X ω;
  Integrable (e' t) μ ∧ HasDerivAt (fun t => ∫ (x : Ω), e t x ∂μ) (∫ (x : Ω), e' t x ∂μ) t →
    ∀ᵐ (a : Ω) ∂μ, ∀ x ∈ Metric.ball t (|t| + 1), HasDerivAt (fun x => e x a) (e' x a) x := sorry

Tactic state before:
Ω : Type u_1
m : MeasurableSpace Ω
μ : Measure Ω
inst✝ : IsFiniteMeasure μ
t a b : ℝ
X : Ω → ℝ
hX : AEMeasurable X μ
h : ∀ᵐ (ω : Ω) ∂μ, X ω ∈ Set.Icc a b
c : ℝ := ‖a‖ ⊔ ‖b‖
e : ℝ → Ω → ℝ := fun t ω => rexp (t * X ω)
e' : ℝ → Ω → ℝ := fun t ω => rexp (t * X ω) * X ω
⊢ Integrable (e' t) μ ∧ HasDerivAt (fun t => ∫ (x : Ω), e t x ∂μ) (∫ (x : Ω), e' t x ∂μ) t

Tactic:
apply hasDerivAt_integral_of_dominated_loc_of_deriv_le
    · exact LE.le.trans_lt (abs_nonneg t) (lt_add_one |t|)
    ·
  exact
    Filter.Eventually.of_forall (by intro t'; apply aemeasurable_expt _ hX : ∀ (x : ℝ), AEStronglyMeasurable (e x) μ)

Tactic state after:
[case hF_int
 Ω : Type u_1
 m : MeasurableSpace Ω
 μ : Measure Ω
 inst✝ : IsFiniteMeasure μ
 t a b : ℝ
 X : Ω → ℝ
 hX : AEMeasurable X μ
 h : ∀ᵐ (ω : Ω) ∂μ, X ω ∈ Set.Icc a b
 c : ℝ := ‖a‖ ⊔ ‖b‖
 e : ℝ → Ω → ℝ := fun t ω => rexp (t * X ω)
 e' : ℝ → Ω → ℝ := fun t ω => rexp (t * X ω) * X ω
 ⊢ Integrable (e t) μ,
 case hF'_meas
 Ω : Type u_1
 m : MeasurableSpace Ω
 μ : Measure Ω
 inst✝ : IsFiniteMeasure μ
 t a b : ℝ
 X : Ω → ℝ
 hX : AEMeasurable X μ
 h : ∀ᵐ (ω : Ω) ∂μ, X ω ∈ Set.Icc a b
 c : ℝ := ‖a‖ ⊔ ‖b‖
 e : ℝ → Ω → ℝ := fun t ω => rexp (t * X ω)
 e' : ℝ → Ω → ℝ := fun t ω => rexp (t * X ω) * X ω
 ⊢ AEStronglyMeasurable (e' t) μ,
 case h_bound
 Ω : Type u_1
 m : MeasurableSpace Ω
 μ : Measure Ω
 inst✝ : IsFiniteMeasure μ
 t a b : ℝ
 X : Ω → ℝ
 hX : AEMeasurable X μ
 h : ∀ᵐ (ω : Ω) ∂μ, X ω ∈ Set.Icc a b
 c : ℝ := ‖a‖ ⊔ ‖b‖
 e : ℝ → Ω → ℝ := fun t ω => rexp (t * X ω)
 e' : ℝ → Ω → ℝ := fun t ω => rexp (t * X ω) * X ω
 ⊢ ∀ᵐ (a : Ω) ∂μ, ∀ x ∈ Metric.ball t (|t| + 1), ‖e' x a‖ ≤ ?bound a,
 case bound_integrable
 Ω : Type u_1
 m : MeasurableSpace Ω
 μ : Measure Ω
 inst✝ : IsFiniteMeasure μ
 t a b : ℝ
 X : Ω → ℝ
 hX : AEMeasurable X μ
 h : ∀ᵐ (ω : Ω) ∂μ, X ω ∈ Set.Icc a b
 c : ℝ := ‖a‖ ⊔ ‖b‖
 e : ℝ → Ω → ℝ := fun t ω => rexp (t * X ω)
 e' : ℝ → Ω → ℝ := fun t ω => rexp (t * X ω) * X ω
 ⊢ Integrable ?bound μ,
 case h_diff
 Ω : Type u_1
 m : MeasurableSpace Ω
 μ : Measure Ω
 inst✝ : IsFiniteMeasure μ
 t a b : ℝ
 X : Ω → ℝ
 hX : AEMeasurable X μ
 h : ∀ᵐ (ω : Ω) ∂μ, X ω ∈ Set.Icc a b
 c : ℝ := ‖a‖ ⊔ ‖b‖
 e : ℝ → Ω → ℝ := fun t ω => rexp (t * X ω)
 e' : ℝ → Ω → ℝ := fun t ω => rexp (t * X ω) * X ω
 ⊢ ∀ᵐ (a : Ω) ∂μ, ∀ x ∈ Metric.ball t (|t| + 1), HasDerivAt (fun x => e x a) (e' x a) x,
 case bound
 Ω : Type u_1
 m : MeasurableSpace Ω
 μ : Measure Ω
 inst✝ : IsFiniteMeasure μ
 t a b : ℝ
 X : Ω → ℝ
 hX : AEMeasurable X μ
 h : ∀ᵐ (ω : Ω) ∂μ, X ω ∈ Set.Icc a b
 c : ℝ := ‖a‖ ⊔ ‖b‖
 e : ℝ → Ω → ℝ := fun t ω => rexp (t * X ω)
 e' : ℝ → Ω → ℝ := fun t ω => rexp (t * X ω) * X ω
 ⊢ Ω → ℝ]