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case neg
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω✝ : Ω
ℱ : Filtration ℕ m0
hab : a < b
hab' : 0 < b - a
hf : ∀ (ω : Ω) (i : ℕ), b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω
hf' : ∀ (ω : Ω) (i : ℕ), (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a
k : ℕ
ih :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N k = upperCrossingTime a b f N k ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N k = lowerCrossingTime a b f N k
ω : Ω
h₁ : ¬∃ j ∈ Set.Icc (lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N k ω) N, (f j ω - a)⁺ ∈ Set.Ici (b - a)
h₂ : ¬∃ j ∈ Set.Icc (lowerCrossingTime a b f N k ω) N, f j ω ∈ Set.Ici b
⊢ N = N
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
·
|
rfl
|
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
·
|
Mathlib.Probability.Martingale.Upcrossing.670_0.80Cpy4Qgm9i1y9y
|
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n
|
Mathlib_Probability_Martingale_Upcrossing
|
case succ
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
hab : a < b
hab' : 0 < b - a
hf : ∀ (ω : Ω) (i : ℕ), b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω
hf' : ∀ (ω : Ω) (i : ℕ), (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a
k : ℕ
ih :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N k = upperCrossingTime a b f N k ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N k = lowerCrossingTime a b f N k
this : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) = upperCrossingTime a b f N (k + 1)
⊢ upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (Nat.succ k) = upperCrossingTime a b f N (Nat.succ k) ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (Nat.succ k) = lowerCrossingTime a b f N (Nat.succ k)
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
|
refine' ⟨this, _⟩
|
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
|
Mathlib.Probability.Martingale.Upcrossing.670_0.80Cpy4Qgm9i1y9y
|
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n
|
Mathlib_Probability_Martingale_Upcrossing
|
case succ
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
hab : a < b
hab' : 0 < b - a
hf : ∀ (ω : Ω) (i : ℕ), b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω
hf' : ∀ (ω : Ω) (i : ℕ), (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a
k : ℕ
ih :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N k = upperCrossingTime a b f N k ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N k = lowerCrossingTime a b f N k
this : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) = upperCrossingTime a b f N (k + 1)
⊢ lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (Nat.succ k) = lowerCrossingTime a b f N (Nat.succ k)
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
|
ext ω
|
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
|
Mathlib.Probability.Martingale.Upcrossing.670_0.80Cpy4Qgm9i1y9y
|
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n
|
Mathlib_Probability_Martingale_Upcrossing
|
case succ.h
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω✝ : Ω
ℱ : Filtration ℕ m0
hab : a < b
hab' : 0 < b - a
hf : ∀ (ω : Ω) (i : ℕ), b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω
hf' : ∀ (ω : Ω) (i : ℕ), (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a
k : ℕ
ih :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N k = upperCrossingTime a b f N k ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N k = lowerCrossingTime a b f N k
this : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) = upperCrossingTime a b f N (k + 1)
ω : Ω
⊢ lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (Nat.succ k) ω = lowerCrossingTime a b f N (Nat.succ k) ω
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
|
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
|
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
|
Mathlib.Probability.Martingale.Upcrossing.670_0.80Cpy4Qgm9i1y9y
|
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n
|
Mathlib_Probability_Martingale_Upcrossing
|
case succ.h
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω✝ : Ω
ℱ : Filtration ℕ m0
hab : a < b
hab' : 0 < b - a
hf : ∀ (ω : Ω) (i : ℕ), b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω
hf' : ∀ (ω : Ω) (i : ℕ), (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a
k : ℕ
ih :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N k = upperCrossingTime a b f N k ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N k = lowerCrossingTime a b f N k
this : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) = upperCrossingTime a b f N (k + 1)
ω : Ω
⊢ (if
∃ j ∈ Set.Icc (upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (Nat.succ k) ω) N,
(f j ω - a)⁺ ∈ Set.Iic 0 then
sInf (Set.Icc (upperCrossingTime a b f N (k + 1) ω) N ∩ {i | (f i ω - a)⁺ ≤ 0})
else N) =
if ∃ j ∈ Set.Icc (upperCrossingTime a b f N (Nat.succ k) ω) N, f j ω ∈ Set.Iic a then
sInf (Set.Icc (upperCrossingTime a b f N (Nat.succ k) ω) N ∩ {i | f i ω ≤ a})
else N
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
|
split_ifs with h₁ h₂ h₂
|
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
|
Mathlib.Probability.Martingale.Upcrossing.670_0.80Cpy4Qgm9i1y9y
|
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n
|
Mathlib_Probability_Martingale_Upcrossing
|
case pos
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω✝ : Ω
ℱ : Filtration ℕ m0
hab : a < b
hab' : 0 < b - a
hf : ∀ (ω : Ω) (i : ℕ), b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω
hf' : ∀ (ω : Ω) (i : ℕ), (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a
k : ℕ
ih :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N k = upperCrossingTime a b f N k ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N k = lowerCrossingTime a b f N k
this : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) = upperCrossingTime a b f N (k + 1)
ω : Ω
h₁ : ∃ j ∈ Set.Icc (upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (Nat.succ k) ω) N, (f j ω - a)⁺ ∈ Set.Iic 0
h₂ : ∃ j ∈ Set.Icc (upperCrossingTime a b f N (Nat.succ k) ω) N, f j ω ∈ Set.Iic a
⊢ sInf (Set.Icc (upperCrossingTime a b f N (k + 1) ω) N ∩ {i | (f i ω - a)⁺ ≤ 0}) =
sInf (Set.Icc (upperCrossingTime a b f N (Nat.succ k) ω) N ∩ {i | f i ω ≤ a})
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
·
|
simp_rw [hf' ω]
|
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
·
|
Mathlib.Probability.Martingale.Upcrossing.670_0.80Cpy4Qgm9i1y9y
|
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n
|
Mathlib_Probability_Martingale_Upcrossing
|
case neg
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω✝ : Ω
ℱ : Filtration ℕ m0
hab : a < b
hab' : 0 < b - a
hf : ∀ (ω : Ω) (i : ℕ), b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω
hf' : ∀ (ω : Ω) (i : ℕ), (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a
k : ℕ
ih :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N k = upperCrossingTime a b f N k ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N k = lowerCrossingTime a b f N k
this : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) = upperCrossingTime a b f N (k + 1)
ω : Ω
h₁ : ∃ j ∈ Set.Icc (upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (Nat.succ k) ω) N, (f j ω - a)⁺ ∈ Set.Iic 0
h₂ : ¬∃ j ∈ Set.Icc (upperCrossingTime a b f N (Nat.succ k) ω) N, f j ω ∈ Set.Iic a
⊢ sInf (Set.Icc (upperCrossingTime a b f N (k + 1) ω) N ∩ {i | (f i ω - a)⁺ ≤ 0}) = N
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
·
|
refine' False.elim (h₂ _)
|
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
·
|
Mathlib.Probability.Martingale.Upcrossing.670_0.80Cpy4Qgm9i1y9y
|
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n
|
Mathlib_Probability_Martingale_Upcrossing
|
case neg
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω✝ : Ω
ℱ : Filtration ℕ m0
hab : a < b
hab' : 0 < b - a
hf : ∀ (ω : Ω) (i : ℕ), b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω
hf' : ∀ (ω : Ω) (i : ℕ), (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a
k : ℕ
ih :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N k = upperCrossingTime a b f N k ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N k = lowerCrossingTime a b f N k
this : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) = upperCrossingTime a b f N (k + 1)
ω : Ω
h₁ : ∃ j ∈ Set.Icc (upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (Nat.succ k) ω) N, (f j ω - a)⁺ ∈ Set.Iic 0
h₂ : ¬∃ j ∈ Set.Icc (upperCrossingTime a b f N (Nat.succ k) ω) N, f j ω ∈ Set.Iic a
⊢ ∃ j ∈ Set.Icc (upperCrossingTime a b f N (Nat.succ k) ω) N, f j ω ∈ Set.Iic a
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
|
simp_all only [Set.mem_Iic, not_true_eq_false]
|
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
|
Mathlib.Probability.Martingale.Upcrossing.670_0.80Cpy4Qgm9i1y9y
|
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n
|
Mathlib_Probability_Martingale_Upcrossing
|
case pos
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω✝ : Ω
ℱ : Filtration ℕ m0
hab : a < b
hab' : 0 < b - a
hf : ∀ (ω : Ω) (i : ℕ), b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω
hf' : ∀ (ω : Ω) (i : ℕ), (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a
k : ℕ
ih :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N k = upperCrossingTime a b f N k ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N k = lowerCrossingTime a b f N k
this : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) = upperCrossingTime a b f N (k + 1)
ω : Ω
h₁ : ¬∃ j ∈ Set.Icc (upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (Nat.succ k) ω) N, (f j ω - a)⁺ ∈ Set.Iic 0
h₂ : ∃ j ∈ Set.Icc (upperCrossingTime a b f N (Nat.succ k) ω) N, f j ω ∈ Set.Iic a
⊢ N = sInf (Set.Icc (upperCrossingTime a b f N (Nat.succ k) ω) N ∩ {i | f i ω ≤ a})
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
·
|
refine' False.elim (h₁ _)
|
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
·
|
Mathlib.Probability.Martingale.Upcrossing.670_0.80Cpy4Qgm9i1y9y
|
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n
|
Mathlib_Probability_Martingale_Upcrossing
|
case pos
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω✝ : Ω
ℱ : Filtration ℕ m0
hab : a < b
hab' : 0 < b - a
hf : ∀ (ω : Ω) (i : ℕ), b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω
hf' : ∀ (ω : Ω) (i : ℕ), (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a
k : ℕ
ih :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N k = upperCrossingTime a b f N k ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N k = lowerCrossingTime a b f N k
this : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) = upperCrossingTime a b f N (k + 1)
ω : Ω
h₁ : ¬∃ j ∈ Set.Icc (upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (Nat.succ k) ω) N, (f j ω - a)⁺ ∈ Set.Iic 0
h₂ : ∃ j ∈ Set.Icc (upperCrossingTime a b f N (Nat.succ k) ω) N, f j ω ∈ Set.Iic a
⊢ ∃ j ∈ Set.Icc (upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (Nat.succ k) ω) N, (f j ω - a)⁺ ∈ Set.Iic 0
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
|
simp_all only [Set.mem_Iic]
|
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
|
Mathlib.Probability.Martingale.Upcrossing.670_0.80Cpy4Qgm9i1y9y
|
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n
|
Mathlib_Probability_Martingale_Upcrossing
|
case neg
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω✝ : Ω
ℱ : Filtration ℕ m0
hab : a < b
hab' : 0 < b - a
hf : ∀ (ω : Ω) (i : ℕ), b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω
hf' : ∀ (ω : Ω) (i : ℕ), (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a
k : ℕ
ih :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N k = upperCrossingTime a b f N k ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N k = lowerCrossingTime a b f N k
this : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) = upperCrossingTime a b f N (k + 1)
ω : Ω
h₁ : ¬∃ j ∈ Set.Icc (upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (Nat.succ k) ω) N, (f j ω - a)⁺ ∈ Set.Iic 0
h₂ : ¬∃ j ∈ Set.Icc (upperCrossingTime a b f N (Nat.succ k) ω) N, f j ω ∈ Set.Iic a
⊢ N = N
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
·
|
rfl
|
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
·
|
Mathlib.Probability.Martingale.Upcrossing.670_0.80Cpy4Qgm9i1y9y
|
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n
|
Mathlib_Probability_Martingale_Upcrossing
|
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
hab : a < b
⊢ upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
· rfl
#align measure_theory.crossing_pos_eq MeasureTheory.crossing_pos_eq
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
|
simp_rw [upcrossingsBefore, (crossing_pos_eq hab).1]
|
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
|
Mathlib.Probability.Martingale.Upcrossing.719_0.80Cpy4Qgm9i1y9y
|
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω
|
Mathlib_Probability_Martingale_Upcrossing
|
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
inst✝ : IsFiniteMeasure μ
hf : Submartingale f ℱ μ
hab : a < b
⊢ (b - a) * ∫ (x : Ω), ↑(upcrossingsBefore a b f N x) ∂μ ≤ ∫ (x : Ω), (fun ω => (f N ω - a)⁺) x ∂μ
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
· rfl
#align measure_theory.crossing_pos_eq MeasureTheory.crossing_pos_eq
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
simp_rw [upcrossingsBefore, (crossing_pos_eq hab).1]
#align measure_theory.upcrossings_before_pos_eq MeasureTheory.upcrossingsBefore_pos_eq
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
|
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
|
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
|
Mathlib.Probability.Martingale.Upcrossing.724_0.80Cpy4Qgm9i1y9y
|
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺]
|
Mathlib_Probability_Martingale_Upcrossing
|
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
inst✝ : IsFiniteMeasure μ
hf : Submartingale f ℱ μ
hab : a < b
⊢ (b - a) * ∫ (x : Ω), ↑(upcrossingsBefore a b f N x) ∂μ =
(b - a - 0) * ∫ (x : Ω), ↑(upcrossingsBefore 0 (b - a) (f - fun x x => a)⁺ N x) ∂μ
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
· rfl
#align measure_theory.crossing_pos_eq MeasureTheory.crossing_pos_eq
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
simp_rw [upcrossingsBefore, (crossing_pos_eq hab).1]
#align measure_theory.upcrossings_before_pos_eq MeasureTheory.upcrossingsBefore_pos_eq
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
|
simp_rw [sub_zero, ← upcrossingsBefore_pos_eq hab]
|
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
|
Mathlib.Probability.Martingale.Upcrossing.724_0.80Cpy4Qgm9i1y9y
|
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺]
|
Mathlib_Probability_Martingale_Upcrossing
|
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
inst✝ : IsFiniteMeasure μ
hf : Submartingale f ℱ μ
hab : a < b
⊢ (b - a) * ∫ (x : Ω), ↑(upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N x) ∂μ =
(b - a) * ∫ (x : Ω), ↑(upcrossingsBefore 0 (b - a) (f - fun x x => a)⁺ N x) ∂μ
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
· rfl
#align measure_theory.crossing_pos_eq MeasureTheory.crossing_pos_eq
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
simp_rw [upcrossingsBefore, (crossing_pos_eq hab).1]
#align measure_theory.upcrossings_before_pos_eq MeasureTheory.upcrossingsBefore_pos_eq
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
simp_rw [sub_zero, ← upcrossingsBefore_pos_eq hab]
|
rfl
|
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
simp_rw [sub_zero, ← upcrossingsBefore_pos_eq hab]
|
Mathlib.Probability.Martingale.Upcrossing.724_0.80Cpy4Qgm9i1y9y
|
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺]
|
Mathlib_Probability_Martingale_Upcrossing
|
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a✝ b✝ : ℝ
f : ℕ → Ω → ℝ
N✝ n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
inst✝ : IsFiniteMeasure μ
a b : ℝ
hf : Submartingale f ℱ μ
N : ℕ
⊢ (b - a) * ∫ (x : Ω), ↑(upcrossingsBefore a b f N x) ∂μ ≤ ∫ (x : Ω), (fun ω => (f N ω - a)⁺) x ∂μ
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
· rfl
#align measure_theory.crossing_pos_eq MeasureTheory.crossing_pos_eq
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
simp_rw [upcrossingsBefore, (crossing_pos_eq hab).1]
#align measure_theory.upcrossings_before_pos_eq MeasureTheory.upcrossingsBefore_pos_eq
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
simp_rw [sub_zero, ← upcrossingsBefore_pos_eq hab]
rfl
#align measure_theory.mul_integral_upcrossings_before_le_integral_pos_part_aux MeasureTheory.mul_integral_upcrossingsBefore_le_integral_pos_part_aux
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
|
by_cases hab : a < b
|
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
|
Mathlib.Probability.Martingale.Upcrossing.735_0.80Cpy4Qgm9i1y9y
|
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺]
|
Mathlib_Probability_Martingale_Upcrossing
|
case pos
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a✝ b✝ : ℝ
f : ℕ → Ω → ℝ
N✝ n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
inst✝ : IsFiniteMeasure μ
a b : ℝ
hf : Submartingale f ℱ μ
N : ℕ
hab : a < b
⊢ (b - a) * ∫ (x : Ω), ↑(upcrossingsBefore a b f N x) ∂μ ≤ ∫ (x : Ω), (fun ω => (f N ω - a)⁺) x ∂μ
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
· rfl
#align measure_theory.crossing_pos_eq MeasureTheory.crossing_pos_eq
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
simp_rw [upcrossingsBefore, (crossing_pos_eq hab).1]
#align measure_theory.upcrossings_before_pos_eq MeasureTheory.upcrossingsBefore_pos_eq
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
simp_rw [sub_zero, ← upcrossingsBefore_pos_eq hab]
rfl
#align measure_theory.mul_integral_upcrossings_before_le_integral_pos_part_aux MeasureTheory.mul_integral_upcrossingsBefore_le_integral_pos_part_aux
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
by_cases hab : a < b
·
|
exact mul_integral_upcrossingsBefore_le_integral_pos_part_aux hf hab
|
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
by_cases hab : a < b
·
|
Mathlib.Probability.Martingale.Upcrossing.735_0.80Cpy4Qgm9i1y9y
|
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺]
|
Mathlib_Probability_Martingale_Upcrossing
|
case neg
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a✝ b✝ : ℝ
f : ℕ → Ω → ℝ
N✝ n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
inst✝ : IsFiniteMeasure μ
a b : ℝ
hf : Submartingale f ℱ μ
N : ℕ
hab : ¬a < b
⊢ (b - a) * ∫ (x : Ω), ↑(upcrossingsBefore a b f N x) ∂μ ≤ ∫ (x : Ω), (fun ω => (f N ω - a)⁺) x ∂μ
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
· rfl
#align measure_theory.crossing_pos_eq MeasureTheory.crossing_pos_eq
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
simp_rw [upcrossingsBefore, (crossing_pos_eq hab).1]
#align measure_theory.upcrossings_before_pos_eq MeasureTheory.upcrossingsBefore_pos_eq
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
simp_rw [sub_zero, ← upcrossingsBefore_pos_eq hab]
rfl
#align measure_theory.mul_integral_upcrossings_before_le_integral_pos_part_aux MeasureTheory.mul_integral_upcrossingsBefore_le_integral_pos_part_aux
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
by_cases hab : a < b
· exact mul_integral_upcrossingsBefore_le_integral_pos_part_aux hf hab
·
|
rw [not_lt, ← sub_nonpos] at hab
|
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
by_cases hab : a < b
· exact mul_integral_upcrossingsBefore_le_integral_pos_part_aux hf hab
·
|
Mathlib.Probability.Martingale.Upcrossing.735_0.80Cpy4Qgm9i1y9y
|
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺]
|
Mathlib_Probability_Martingale_Upcrossing
|
case neg
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a✝ b✝ : ℝ
f : ℕ → Ω → ℝ
N✝ n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
inst✝ : IsFiniteMeasure μ
a b : ℝ
hf : Submartingale f ℱ μ
N : ℕ
hab : b - a ≤ 0
⊢ (b - a) * ∫ (x : Ω), ↑(upcrossingsBefore a b f N x) ∂μ ≤ ∫ (x : Ω), (fun ω => (f N ω - a)⁺) x ∂μ
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
· rfl
#align measure_theory.crossing_pos_eq MeasureTheory.crossing_pos_eq
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
simp_rw [upcrossingsBefore, (crossing_pos_eq hab).1]
#align measure_theory.upcrossings_before_pos_eq MeasureTheory.upcrossingsBefore_pos_eq
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
simp_rw [sub_zero, ← upcrossingsBefore_pos_eq hab]
rfl
#align measure_theory.mul_integral_upcrossings_before_le_integral_pos_part_aux MeasureTheory.mul_integral_upcrossingsBefore_le_integral_pos_part_aux
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
by_cases hab : a < b
· exact mul_integral_upcrossingsBefore_le_integral_pos_part_aux hf hab
· rw [not_lt, ← sub_nonpos] at hab
|
exact le_trans (mul_nonpos_of_nonpos_of_nonneg hab (integral_nonneg fun ω => Nat.cast_nonneg _))
(integral_nonneg fun ω => LatticeOrderedGroup.pos_nonneg _)
|
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
by_cases hab : a < b
· exact mul_integral_upcrossingsBefore_le_integral_pos_part_aux hf hab
· rw [not_lt, ← sub_nonpos] at hab
|
Mathlib.Probability.Martingale.Upcrossing.735_0.80Cpy4Qgm9i1y9y
|
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺]
|
Mathlib_Probability_Martingale_Upcrossing
|
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
hab : a < b
⊢ upcrossingsBefore a b f N ω = ∑ i in Finset.Ico 1 (N + 1), Set.indicator {n | upperCrossingTime a b f N n ω < N} 1 i
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
· rfl
#align measure_theory.crossing_pos_eq MeasureTheory.crossing_pos_eq
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
simp_rw [upcrossingsBefore, (crossing_pos_eq hab).1]
#align measure_theory.upcrossings_before_pos_eq MeasureTheory.upcrossingsBefore_pos_eq
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
simp_rw [sub_zero, ← upcrossingsBefore_pos_eq hab]
rfl
#align measure_theory.mul_integral_upcrossings_before_le_integral_pos_part_aux MeasureTheory.mul_integral_upcrossingsBefore_le_integral_pos_part_aux
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
by_cases hab : a < b
· exact mul_integral_upcrossingsBefore_le_integral_pos_part_aux hf hab
· rw [not_lt, ← sub_nonpos] at hab
exact le_trans (mul_nonpos_of_nonpos_of_nonneg hab (integral_nonneg fun ω => Nat.cast_nonneg _))
(integral_nonneg fun ω => LatticeOrderedGroup.pos_nonneg _)
#align measure_theory.submartingale.mul_integral_upcrossings_before_le_integral_pos_part MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part
/-!
### Variant of the upcrossing estimate
Now, we would like to prove a variant of the upcrossing estimate obtained by taking the supremum
over $N$ of the original upcrossing estimate. Namely, we want the inequality
$$
(b - a) \sup_N \mathbb{E}[U_N(a, b)] \le \sup_N \mathbb{E}[f_N].
$$
This inequality is central for the martingale convergence theorem as it provides a uniform bound
for the upcrossings.
We note that on top of taking the supremum on both sides of the inequality, we had also used
the monotone convergence theorem on the left hand side to take the supremum outside of the
integral. To do this, we need to make sure $U_N(a, b)$ is measurable and integrable. Integrability
is easy to check as $U_N(a, b) ≤ N$ and so it suffices to show measurability. Indeed, by
noting that
$$
U_N(a, b) = \sum_{i = 1}^N \mathbf{1}_{\{U_N(a, b) < N\}}
$$
$U_N(a, b)$ is measurable as $\{U_N(a, b) < N\}$ is a measurable set since $U_N(a, b)$ is a
stopping time.
-/
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
|
by_cases hN : N = 0
|
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
|
Mathlib.Probability.Martingale.Upcrossing.775_0.80Cpy4Qgm9i1y9y
|
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i
|
Mathlib_Probability_Martingale_Upcrossing
|
case pos
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
hab : a < b
hN : N = 0
⊢ upcrossingsBefore a b f N ω = ∑ i in Finset.Ico 1 (N + 1), Set.indicator {n | upperCrossingTime a b f N n ω < N} 1 i
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
· rfl
#align measure_theory.crossing_pos_eq MeasureTheory.crossing_pos_eq
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
simp_rw [upcrossingsBefore, (crossing_pos_eq hab).1]
#align measure_theory.upcrossings_before_pos_eq MeasureTheory.upcrossingsBefore_pos_eq
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
simp_rw [sub_zero, ← upcrossingsBefore_pos_eq hab]
rfl
#align measure_theory.mul_integral_upcrossings_before_le_integral_pos_part_aux MeasureTheory.mul_integral_upcrossingsBefore_le_integral_pos_part_aux
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
by_cases hab : a < b
· exact mul_integral_upcrossingsBefore_le_integral_pos_part_aux hf hab
· rw [not_lt, ← sub_nonpos] at hab
exact le_trans (mul_nonpos_of_nonpos_of_nonneg hab (integral_nonneg fun ω => Nat.cast_nonneg _))
(integral_nonneg fun ω => LatticeOrderedGroup.pos_nonneg _)
#align measure_theory.submartingale.mul_integral_upcrossings_before_le_integral_pos_part MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part
/-!
### Variant of the upcrossing estimate
Now, we would like to prove a variant of the upcrossing estimate obtained by taking the supremum
over $N$ of the original upcrossing estimate. Namely, we want the inequality
$$
(b - a) \sup_N \mathbb{E}[U_N(a, b)] \le \sup_N \mathbb{E}[f_N].
$$
This inequality is central for the martingale convergence theorem as it provides a uniform bound
for the upcrossings.
We note that on top of taking the supremum on both sides of the inequality, we had also used
the monotone convergence theorem on the left hand side to take the supremum outside of the
integral. To do this, we need to make sure $U_N(a, b)$ is measurable and integrable. Integrability
is easy to check as $U_N(a, b) ≤ N$ and so it suffices to show measurability. Indeed, by
noting that
$$
U_N(a, b) = \sum_{i = 1}^N \mathbf{1}_{\{U_N(a, b) < N\}}
$$
$U_N(a, b)$ is measurable as $\{U_N(a, b) < N\}$ is a measurable set since $U_N(a, b)$ is a
stopping time.
-/
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
·
|
simp [hN]
|
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
·
|
Mathlib.Probability.Martingale.Upcrossing.775_0.80Cpy4Qgm9i1y9y
|
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i
|
Mathlib_Probability_Martingale_Upcrossing
|
case neg
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
hab : a < b
hN : ¬N = 0
⊢ upcrossingsBefore a b f N ω = ∑ i in Finset.Ico 1 (N + 1), Set.indicator {n | upperCrossingTime a b f N n ω < N} 1 i
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
· rfl
#align measure_theory.crossing_pos_eq MeasureTheory.crossing_pos_eq
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
simp_rw [upcrossingsBefore, (crossing_pos_eq hab).1]
#align measure_theory.upcrossings_before_pos_eq MeasureTheory.upcrossingsBefore_pos_eq
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
simp_rw [sub_zero, ← upcrossingsBefore_pos_eq hab]
rfl
#align measure_theory.mul_integral_upcrossings_before_le_integral_pos_part_aux MeasureTheory.mul_integral_upcrossingsBefore_le_integral_pos_part_aux
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
by_cases hab : a < b
· exact mul_integral_upcrossingsBefore_le_integral_pos_part_aux hf hab
· rw [not_lt, ← sub_nonpos] at hab
exact le_trans (mul_nonpos_of_nonpos_of_nonneg hab (integral_nonneg fun ω => Nat.cast_nonneg _))
(integral_nonneg fun ω => LatticeOrderedGroup.pos_nonneg _)
#align measure_theory.submartingale.mul_integral_upcrossings_before_le_integral_pos_part MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part
/-!
### Variant of the upcrossing estimate
Now, we would like to prove a variant of the upcrossing estimate obtained by taking the supremum
over $N$ of the original upcrossing estimate. Namely, we want the inequality
$$
(b - a) \sup_N \mathbb{E}[U_N(a, b)] \le \sup_N \mathbb{E}[f_N].
$$
This inequality is central for the martingale convergence theorem as it provides a uniform bound
for the upcrossings.
We note that on top of taking the supremum on both sides of the inequality, we had also used
the monotone convergence theorem on the left hand side to take the supremum outside of the
integral. To do this, we need to make sure $U_N(a, b)$ is measurable and integrable. Integrability
is easy to check as $U_N(a, b) ≤ N$ and so it suffices to show measurability. Indeed, by
noting that
$$
U_N(a, b) = \sum_{i = 1}^N \mathbf{1}_{\{U_N(a, b) < N\}}
$$
$U_N(a, b)$ is measurable as $\{U_N(a, b) < N\}$ is a measurable set since $U_N(a, b)$ is a
stopping time.
-/
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
|
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
|
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
|
Mathlib.Probability.Martingale.Upcrossing.775_0.80Cpy4Qgm9i1y9y
|
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i
|
Mathlib_Probability_Martingale_Upcrossing
|
case neg
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
hab : a < b
hN : ¬N = 0
⊢ upcrossingsBefore a b f N ω =
∑ i in Finset.Ico (Nat.succ 0) (Nat.succ (upcrossingsBefore a b f N ω)),
Set.indicator {n | upperCrossingTime a b f N n ω < N} 1 i +
∑ i in Finset.Ico (Nat.succ (upcrossingsBefore a b f N ω)) (Nat.succ N),
Set.indicator {n | upperCrossingTime a b f N n ω < N} 1 i
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
· rfl
#align measure_theory.crossing_pos_eq MeasureTheory.crossing_pos_eq
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
simp_rw [upcrossingsBefore, (crossing_pos_eq hab).1]
#align measure_theory.upcrossings_before_pos_eq MeasureTheory.upcrossingsBefore_pos_eq
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
simp_rw [sub_zero, ← upcrossingsBefore_pos_eq hab]
rfl
#align measure_theory.mul_integral_upcrossings_before_le_integral_pos_part_aux MeasureTheory.mul_integral_upcrossingsBefore_le_integral_pos_part_aux
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
by_cases hab : a < b
· exact mul_integral_upcrossingsBefore_le_integral_pos_part_aux hf hab
· rw [not_lt, ← sub_nonpos] at hab
exact le_trans (mul_nonpos_of_nonpos_of_nonneg hab (integral_nonneg fun ω => Nat.cast_nonneg _))
(integral_nonneg fun ω => LatticeOrderedGroup.pos_nonneg _)
#align measure_theory.submartingale.mul_integral_upcrossings_before_le_integral_pos_part MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part
/-!
### Variant of the upcrossing estimate
Now, we would like to prove a variant of the upcrossing estimate obtained by taking the supremum
over $N$ of the original upcrossing estimate. Namely, we want the inequality
$$
(b - a) \sup_N \mathbb{E}[U_N(a, b)] \le \sup_N \mathbb{E}[f_N].
$$
This inequality is central for the martingale convergence theorem as it provides a uniform bound
for the upcrossings.
We note that on top of taking the supremum on both sides of the inequality, we had also used
the monotone convergence theorem on the left hand side to take the supremum outside of the
integral. To do this, we need to make sure $U_N(a, b)$ is measurable and integrable. Integrability
is easy to check as $U_N(a, b) ≤ N$ and so it suffices to show measurability. Indeed, by
noting that
$$
U_N(a, b) = \sum_{i = 1}^N \mathbf{1}_{\{U_N(a, b) < N\}}
$$
$U_N(a, b)$ is measurable as $\{U_N(a, b) < N\}$ is a measurable set since $U_N(a, b)$ is a
stopping time.
-/
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
|
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
rintro k hk
rw [Finset.mem_Ico] at hk
rw [Set.indicator_of_mem]
· rfl
· exact upperCrossingTime_lt_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab
(Nat.lt_succ_iff.1 hk.2)
|
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
|
Mathlib.Probability.Martingale.Upcrossing.775_0.80Cpy4Qgm9i1y9y
|
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i
|
Mathlib_Probability_Martingale_Upcrossing
|
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
hab : a < b
hN : ¬N = 0
⊢ ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1), Set.indicator {n | upperCrossingTime a b f N n ω < N} 1 k = 1
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
· rfl
#align measure_theory.crossing_pos_eq MeasureTheory.crossing_pos_eq
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
simp_rw [upcrossingsBefore, (crossing_pos_eq hab).1]
#align measure_theory.upcrossings_before_pos_eq MeasureTheory.upcrossingsBefore_pos_eq
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
simp_rw [sub_zero, ← upcrossingsBefore_pos_eq hab]
rfl
#align measure_theory.mul_integral_upcrossings_before_le_integral_pos_part_aux MeasureTheory.mul_integral_upcrossingsBefore_le_integral_pos_part_aux
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
by_cases hab : a < b
· exact mul_integral_upcrossingsBefore_le_integral_pos_part_aux hf hab
· rw [not_lt, ← sub_nonpos] at hab
exact le_trans (mul_nonpos_of_nonpos_of_nonneg hab (integral_nonneg fun ω => Nat.cast_nonneg _))
(integral_nonneg fun ω => LatticeOrderedGroup.pos_nonneg _)
#align measure_theory.submartingale.mul_integral_upcrossings_before_le_integral_pos_part MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part
/-!
### Variant of the upcrossing estimate
Now, we would like to prove a variant of the upcrossing estimate obtained by taking the supremum
over $N$ of the original upcrossing estimate. Namely, we want the inequality
$$
(b - a) \sup_N \mathbb{E}[U_N(a, b)] \le \sup_N \mathbb{E}[f_N].
$$
This inequality is central for the martingale convergence theorem as it provides a uniform bound
for the upcrossings.
We note that on top of taking the supremum on both sides of the inequality, we had also used
the monotone convergence theorem on the left hand side to take the supremum outside of the
integral. To do this, we need to make sure $U_N(a, b)$ is measurable and integrable. Integrability
is easy to check as $U_N(a, b) ≤ N$ and so it suffices to show measurability. Indeed, by
noting that
$$
U_N(a, b) = \sum_{i = 1}^N \mathbf{1}_{\{U_N(a, b) < N\}}
$$
$U_N(a, b)$ is measurable as $\{U_N(a, b) < N\}$ is a measurable set since $U_N(a, b)$ is a
stopping time.
-/
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
|
rintro k hk
|
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
|
Mathlib.Probability.Martingale.Upcrossing.775_0.80Cpy4Qgm9i1y9y
|
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i
|
Mathlib_Probability_Martingale_Upcrossing
|
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
hab : a < b
hN : ¬N = 0
k : ℕ
hk : k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1)
⊢ Set.indicator {n | upperCrossingTime a b f N n ω < N} 1 k = 1
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
· rfl
#align measure_theory.crossing_pos_eq MeasureTheory.crossing_pos_eq
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
simp_rw [upcrossingsBefore, (crossing_pos_eq hab).1]
#align measure_theory.upcrossings_before_pos_eq MeasureTheory.upcrossingsBefore_pos_eq
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
simp_rw [sub_zero, ← upcrossingsBefore_pos_eq hab]
rfl
#align measure_theory.mul_integral_upcrossings_before_le_integral_pos_part_aux MeasureTheory.mul_integral_upcrossingsBefore_le_integral_pos_part_aux
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
by_cases hab : a < b
· exact mul_integral_upcrossingsBefore_le_integral_pos_part_aux hf hab
· rw [not_lt, ← sub_nonpos] at hab
exact le_trans (mul_nonpos_of_nonpos_of_nonneg hab (integral_nonneg fun ω => Nat.cast_nonneg _))
(integral_nonneg fun ω => LatticeOrderedGroup.pos_nonneg _)
#align measure_theory.submartingale.mul_integral_upcrossings_before_le_integral_pos_part MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part
/-!
### Variant of the upcrossing estimate
Now, we would like to prove a variant of the upcrossing estimate obtained by taking the supremum
over $N$ of the original upcrossing estimate. Namely, we want the inequality
$$
(b - a) \sup_N \mathbb{E}[U_N(a, b)] \le \sup_N \mathbb{E}[f_N].
$$
This inequality is central for the martingale convergence theorem as it provides a uniform bound
for the upcrossings.
We note that on top of taking the supremum on both sides of the inequality, we had also used
the monotone convergence theorem on the left hand side to take the supremum outside of the
integral. To do this, we need to make sure $U_N(a, b)$ is measurable and integrable. Integrability
is easy to check as $U_N(a, b) ≤ N$ and so it suffices to show measurability. Indeed, by
noting that
$$
U_N(a, b) = \sum_{i = 1}^N \mathbf{1}_{\{U_N(a, b) < N\}}
$$
$U_N(a, b)$ is measurable as $\{U_N(a, b) < N\}$ is a measurable set since $U_N(a, b)$ is a
stopping time.
-/
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
rintro k hk
|
rw [Finset.mem_Ico] at hk
|
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
rintro k hk
|
Mathlib.Probability.Martingale.Upcrossing.775_0.80Cpy4Qgm9i1y9y
|
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i
|
Mathlib_Probability_Martingale_Upcrossing
|
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
hab : a < b
hN : ¬N = 0
k : ℕ
hk : 1 ≤ k ∧ k < upcrossingsBefore a b f N ω + 1
⊢ Set.indicator {n | upperCrossingTime a b f N n ω < N} 1 k = 1
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
· rfl
#align measure_theory.crossing_pos_eq MeasureTheory.crossing_pos_eq
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
simp_rw [upcrossingsBefore, (crossing_pos_eq hab).1]
#align measure_theory.upcrossings_before_pos_eq MeasureTheory.upcrossingsBefore_pos_eq
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
simp_rw [sub_zero, ← upcrossingsBefore_pos_eq hab]
rfl
#align measure_theory.mul_integral_upcrossings_before_le_integral_pos_part_aux MeasureTheory.mul_integral_upcrossingsBefore_le_integral_pos_part_aux
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
by_cases hab : a < b
· exact mul_integral_upcrossingsBefore_le_integral_pos_part_aux hf hab
· rw [not_lt, ← sub_nonpos] at hab
exact le_trans (mul_nonpos_of_nonpos_of_nonneg hab (integral_nonneg fun ω => Nat.cast_nonneg _))
(integral_nonneg fun ω => LatticeOrderedGroup.pos_nonneg _)
#align measure_theory.submartingale.mul_integral_upcrossings_before_le_integral_pos_part MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part
/-!
### Variant of the upcrossing estimate
Now, we would like to prove a variant of the upcrossing estimate obtained by taking the supremum
over $N$ of the original upcrossing estimate. Namely, we want the inequality
$$
(b - a) \sup_N \mathbb{E}[U_N(a, b)] \le \sup_N \mathbb{E}[f_N].
$$
This inequality is central for the martingale convergence theorem as it provides a uniform bound
for the upcrossings.
We note that on top of taking the supremum on both sides of the inequality, we had also used
the monotone convergence theorem on the left hand side to take the supremum outside of the
integral. To do this, we need to make sure $U_N(a, b)$ is measurable and integrable. Integrability
is easy to check as $U_N(a, b) ≤ N$ and so it suffices to show measurability. Indeed, by
noting that
$$
U_N(a, b) = \sum_{i = 1}^N \mathbf{1}_{\{U_N(a, b) < N\}}
$$
$U_N(a, b)$ is measurable as $\{U_N(a, b) < N\}$ is a measurable set since $U_N(a, b)$ is a
stopping time.
-/
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
rintro k hk
rw [Finset.mem_Ico] at hk
|
rw [Set.indicator_of_mem]
|
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
rintro k hk
rw [Finset.mem_Ico] at hk
|
Mathlib.Probability.Martingale.Upcrossing.775_0.80Cpy4Qgm9i1y9y
|
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i
|
Mathlib_Probability_Martingale_Upcrossing
|
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
hab : a < b
hN : ¬N = 0
k : ℕ
hk : 1 ≤ k ∧ k < upcrossingsBefore a b f N ω + 1
⊢ OfNat.ofNat 1 k = 1
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
· rfl
#align measure_theory.crossing_pos_eq MeasureTheory.crossing_pos_eq
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
simp_rw [upcrossingsBefore, (crossing_pos_eq hab).1]
#align measure_theory.upcrossings_before_pos_eq MeasureTheory.upcrossingsBefore_pos_eq
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
simp_rw [sub_zero, ← upcrossingsBefore_pos_eq hab]
rfl
#align measure_theory.mul_integral_upcrossings_before_le_integral_pos_part_aux MeasureTheory.mul_integral_upcrossingsBefore_le_integral_pos_part_aux
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
by_cases hab : a < b
· exact mul_integral_upcrossingsBefore_le_integral_pos_part_aux hf hab
· rw [not_lt, ← sub_nonpos] at hab
exact le_trans (mul_nonpos_of_nonpos_of_nonneg hab (integral_nonneg fun ω => Nat.cast_nonneg _))
(integral_nonneg fun ω => LatticeOrderedGroup.pos_nonneg _)
#align measure_theory.submartingale.mul_integral_upcrossings_before_le_integral_pos_part MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part
/-!
### Variant of the upcrossing estimate
Now, we would like to prove a variant of the upcrossing estimate obtained by taking the supremum
over $N$ of the original upcrossing estimate. Namely, we want the inequality
$$
(b - a) \sup_N \mathbb{E}[U_N(a, b)] \le \sup_N \mathbb{E}[f_N].
$$
This inequality is central for the martingale convergence theorem as it provides a uniform bound
for the upcrossings.
We note that on top of taking the supremum on both sides of the inequality, we had also used
the monotone convergence theorem on the left hand side to take the supremum outside of the
integral. To do this, we need to make sure $U_N(a, b)$ is measurable and integrable. Integrability
is easy to check as $U_N(a, b) ≤ N$ and so it suffices to show measurability. Indeed, by
noting that
$$
U_N(a, b) = \sum_{i = 1}^N \mathbf{1}_{\{U_N(a, b) < N\}}
$$
$U_N(a, b)$ is measurable as $\{U_N(a, b) < N\}$ is a measurable set since $U_N(a, b)$ is a
stopping time.
-/
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
rintro k hk
rw [Finset.mem_Ico] at hk
rw [Set.indicator_of_mem]
·
|
rfl
|
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
rintro k hk
rw [Finset.mem_Ico] at hk
rw [Set.indicator_of_mem]
·
|
Mathlib.Probability.Martingale.Upcrossing.775_0.80Cpy4Qgm9i1y9y
|
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i
|
Mathlib_Probability_Martingale_Upcrossing
|
case h
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
hab : a < b
hN : ¬N = 0
k : ℕ
hk : 1 ≤ k ∧ k < upcrossingsBefore a b f N ω + 1
⊢ k ∈ {n | upperCrossingTime a b f N n ω < N}
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
· rfl
#align measure_theory.crossing_pos_eq MeasureTheory.crossing_pos_eq
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
simp_rw [upcrossingsBefore, (crossing_pos_eq hab).1]
#align measure_theory.upcrossings_before_pos_eq MeasureTheory.upcrossingsBefore_pos_eq
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
simp_rw [sub_zero, ← upcrossingsBefore_pos_eq hab]
rfl
#align measure_theory.mul_integral_upcrossings_before_le_integral_pos_part_aux MeasureTheory.mul_integral_upcrossingsBefore_le_integral_pos_part_aux
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
by_cases hab : a < b
· exact mul_integral_upcrossingsBefore_le_integral_pos_part_aux hf hab
· rw [not_lt, ← sub_nonpos] at hab
exact le_trans (mul_nonpos_of_nonpos_of_nonneg hab (integral_nonneg fun ω => Nat.cast_nonneg _))
(integral_nonneg fun ω => LatticeOrderedGroup.pos_nonneg _)
#align measure_theory.submartingale.mul_integral_upcrossings_before_le_integral_pos_part MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part
/-!
### Variant of the upcrossing estimate
Now, we would like to prove a variant of the upcrossing estimate obtained by taking the supremum
over $N$ of the original upcrossing estimate. Namely, we want the inequality
$$
(b - a) \sup_N \mathbb{E}[U_N(a, b)] \le \sup_N \mathbb{E}[f_N].
$$
This inequality is central for the martingale convergence theorem as it provides a uniform bound
for the upcrossings.
We note that on top of taking the supremum on both sides of the inequality, we had also used
the monotone convergence theorem on the left hand side to take the supremum outside of the
integral. To do this, we need to make sure $U_N(a, b)$ is measurable and integrable. Integrability
is easy to check as $U_N(a, b) ≤ N$ and so it suffices to show measurability. Indeed, by
noting that
$$
U_N(a, b) = \sum_{i = 1}^N \mathbf{1}_{\{U_N(a, b) < N\}}
$$
$U_N(a, b)$ is measurable as $\{U_N(a, b) < N\}$ is a measurable set since $U_N(a, b)$ is a
stopping time.
-/
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
rintro k hk
rw [Finset.mem_Ico] at hk
rw [Set.indicator_of_mem]
· rfl
·
|
exact upperCrossingTime_lt_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab
(Nat.lt_succ_iff.1 hk.2)
|
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
rintro k hk
rw [Finset.mem_Ico] at hk
rw [Set.indicator_of_mem]
· rfl
·
|
Mathlib.Probability.Martingale.Upcrossing.775_0.80Cpy4Qgm9i1y9y
|
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i
|
Mathlib_Probability_Martingale_Upcrossing
|
case neg
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
hab : a < b
hN : ¬N = 0
h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1), Set.indicator {n | upperCrossingTime a b f N n ω < N} 1 k = 1
⊢ upcrossingsBefore a b f N ω =
∑ i in Finset.Ico (Nat.succ 0) (Nat.succ (upcrossingsBefore a b f N ω)),
Set.indicator {n | upperCrossingTime a b f N n ω < N} 1 i +
∑ i in Finset.Ico (Nat.succ (upcrossingsBefore a b f N ω)) (Nat.succ N),
Set.indicator {n | upperCrossingTime a b f N n ω < N} 1 i
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
· rfl
#align measure_theory.crossing_pos_eq MeasureTheory.crossing_pos_eq
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
simp_rw [upcrossingsBefore, (crossing_pos_eq hab).1]
#align measure_theory.upcrossings_before_pos_eq MeasureTheory.upcrossingsBefore_pos_eq
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
simp_rw [sub_zero, ← upcrossingsBefore_pos_eq hab]
rfl
#align measure_theory.mul_integral_upcrossings_before_le_integral_pos_part_aux MeasureTheory.mul_integral_upcrossingsBefore_le_integral_pos_part_aux
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
by_cases hab : a < b
· exact mul_integral_upcrossingsBefore_le_integral_pos_part_aux hf hab
· rw [not_lt, ← sub_nonpos] at hab
exact le_trans (mul_nonpos_of_nonpos_of_nonneg hab (integral_nonneg fun ω => Nat.cast_nonneg _))
(integral_nonneg fun ω => LatticeOrderedGroup.pos_nonneg _)
#align measure_theory.submartingale.mul_integral_upcrossings_before_le_integral_pos_part MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part
/-!
### Variant of the upcrossing estimate
Now, we would like to prove a variant of the upcrossing estimate obtained by taking the supremum
over $N$ of the original upcrossing estimate. Namely, we want the inequality
$$
(b - a) \sup_N \mathbb{E}[U_N(a, b)] \le \sup_N \mathbb{E}[f_N].
$$
This inequality is central for the martingale convergence theorem as it provides a uniform bound
for the upcrossings.
We note that on top of taking the supremum on both sides of the inequality, we had also used
the monotone convergence theorem on the left hand side to take the supremum outside of the
integral. To do this, we need to make sure $U_N(a, b)$ is measurable and integrable. Integrability
is easy to check as $U_N(a, b) ≤ N$ and so it suffices to show measurability. Indeed, by
noting that
$$
U_N(a, b) = \sum_{i = 1}^N \mathbf{1}_{\{U_N(a, b) < N\}}
$$
$U_N(a, b)$ is measurable as $\{U_N(a, b) < N\}$ is a measurable set since $U_N(a, b)$ is a
stopping time.
-/
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
rintro k hk
rw [Finset.mem_Ico] at hk
rw [Set.indicator_of_mem]
· rfl
· exact upperCrossingTime_lt_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab
(Nat.lt_succ_iff.1 hk.2)
|
have h₂ : ∀ k ∈ Finset.Ico (upcrossingsBefore a b f N ω + 1) (N + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 0 := by
rintro k hk
rw [Finset.mem_Ico, Nat.succ_le_iff] at hk
rw [Set.indicator_of_not_mem]
simp only [Set.mem_setOf_eq, not_lt]
exact (upperCrossingTime_eq_of_upcrossingsBefore_lt hab hk.1).symm.le
|
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
rintro k hk
rw [Finset.mem_Ico] at hk
rw [Set.indicator_of_mem]
· rfl
· exact upperCrossingTime_lt_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab
(Nat.lt_succ_iff.1 hk.2)
|
Mathlib.Probability.Martingale.Upcrossing.775_0.80Cpy4Qgm9i1y9y
|
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i
|
Mathlib_Probability_Martingale_Upcrossing
|
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
hab : a < b
hN : ¬N = 0
h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1), Set.indicator {n | upperCrossingTime a b f N n ω < N} 1 k = 1
⊢ ∀ k ∈ Finset.Ico (upcrossingsBefore a b f N ω + 1) (N + 1),
Set.indicator {n | upperCrossingTime a b f N n ω < N} 1 k = 0
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
· rfl
#align measure_theory.crossing_pos_eq MeasureTheory.crossing_pos_eq
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
simp_rw [upcrossingsBefore, (crossing_pos_eq hab).1]
#align measure_theory.upcrossings_before_pos_eq MeasureTheory.upcrossingsBefore_pos_eq
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
simp_rw [sub_zero, ← upcrossingsBefore_pos_eq hab]
rfl
#align measure_theory.mul_integral_upcrossings_before_le_integral_pos_part_aux MeasureTheory.mul_integral_upcrossingsBefore_le_integral_pos_part_aux
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
by_cases hab : a < b
· exact mul_integral_upcrossingsBefore_le_integral_pos_part_aux hf hab
· rw [not_lt, ← sub_nonpos] at hab
exact le_trans (mul_nonpos_of_nonpos_of_nonneg hab (integral_nonneg fun ω => Nat.cast_nonneg _))
(integral_nonneg fun ω => LatticeOrderedGroup.pos_nonneg _)
#align measure_theory.submartingale.mul_integral_upcrossings_before_le_integral_pos_part MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part
/-!
### Variant of the upcrossing estimate
Now, we would like to prove a variant of the upcrossing estimate obtained by taking the supremum
over $N$ of the original upcrossing estimate. Namely, we want the inequality
$$
(b - a) \sup_N \mathbb{E}[U_N(a, b)] \le \sup_N \mathbb{E}[f_N].
$$
This inequality is central for the martingale convergence theorem as it provides a uniform bound
for the upcrossings.
We note that on top of taking the supremum on both sides of the inequality, we had also used
the monotone convergence theorem on the left hand side to take the supremum outside of the
integral. To do this, we need to make sure $U_N(a, b)$ is measurable and integrable. Integrability
is easy to check as $U_N(a, b) ≤ N$ and so it suffices to show measurability. Indeed, by
noting that
$$
U_N(a, b) = \sum_{i = 1}^N \mathbf{1}_{\{U_N(a, b) < N\}}
$$
$U_N(a, b)$ is measurable as $\{U_N(a, b) < N\}$ is a measurable set since $U_N(a, b)$ is a
stopping time.
-/
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
rintro k hk
rw [Finset.mem_Ico] at hk
rw [Set.indicator_of_mem]
· rfl
· exact upperCrossingTime_lt_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab
(Nat.lt_succ_iff.1 hk.2)
have h₂ : ∀ k ∈ Finset.Ico (upcrossingsBefore a b f N ω + 1) (N + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 0 := by
|
rintro k hk
|
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
rintro k hk
rw [Finset.mem_Ico] at hk
rw [Set.indicator_of_mem]
· rfl
· exact upperCrossingTime_lt_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab
(Nat.lt_succ_iff.1 hk.2)
have h₂ : ∀ k ∈ Finset.Ico (upcrossingsBefore a b f N ω + 1) (N + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 0 := by
|
Mathlib.Probability.Martingale.Upcrossing.775_0.80Cpy4Qgm9i1y9y
|
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i
|
Mathlib_Probability_Martingale_Upcrossing
|
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
hab : a < b
hN : ¬N = 0
h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1), Set.indicator {n | upperCrossingTime a b f N n ω < N} 1 k = 1
k : ℕ
hk : k ∈ Finset.Ico (upcrossingsBefore a b f N ω + 1) (N + 1)
⊢ Set.indicator {n | upperCrossingTime a b f N n ω < N} 1 k = 0
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
· rfl
#align measure_theory.crossing_pos_eq MeasureTheory.crossing_pos_eq
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
simp_rw [upcrossingsBefore, (crossing_pos_eq hab).1]
#align measure_theory.upcrossings_before_pos_eq MeasureTheory.upcrossingsBefore_pos_eq
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
simp_rw [sub_zero, ← upcrossingsBefore_pos_eq hab]
rfl
#align measure_theory.mul_integral_upcrossings_before_le_integral_pos_part_aux MeasureTheory.mul_integral_upcrossingsBefore_le_integral_pos_part_aux
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
by_cases hab : a < b
· exact mul_integral_upcrossingsBefore_le_integral_pos_part_aux hf hab
· rw [not_lt, ← sub_nonpos] at hab
exact le_trans (mul_nonpos_of_nonpos_of_nonneg hab (integral_nonneg fun ω => Nat.cast_nonneg _))
(integral_nonneg fun ω => LatticeOrderedGroup.pos_nonneg _)
#align measure_theory.submartingale.mul_integral_upcrossings_before_le_integral_pos_part MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part
/-!
### Variant of the upcrossing estimate
Now, we would like to prove a variant of the upcrossing estimate obtained by taking the supremum
over $N$ of the original upcrossing estimate. Namely, we want the inequality
$$
(b - a) \sup_N \mathbb{E}[U_N(a, b)] \le \sup_N \mathbb{E}[f_N].
$$
This inequality is central for the martingale convergence theorem as it provides a uniform bound
for the upcrossings.
We note that on top of taking the supremum on both sides of the inequality, we had also used
the monotone convergence theorem on the left hand side to take the supremum outside of the
integral. To do this, we need to make sure $U_N(a, b)$ is measurable and integrable. Integrability
is easy to check as $U_N(a, b) ≤ N$ and so it suffices to show measurability. Indeed, by
noting that
$$
U_N(a, b) = \sum_{i = 1}^N \mathbf{1}_{\{U_N(a, b) < N\}}
$$
$U_N(a, b)$ is measurable as $\{U_N(a, b) < N\}$ is a measurable set since $U_N(a, b)$ is a
stopping time.
-/
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
rintro k hk
rw [Finset.mem_Ico] at hk
rw [Set.indicator_of_mem]
· rfl
· exact upperCrossingTime_lt_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab
(Nat.lt_succ_iff.1 hk.2)
have h₂ : ∀ k ∈ Finset.Ico (upcrossingsBefore a b f N ω + 1) (N + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 0 := by
rintro k hk
|
rw [Finset.mem_Ico, Nat.succ_le_iff] at hk
|
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
rintro k hk
rw [Finset.mem_Ico] at hk
rw [Set.indicator_of_mem]
· rfl
· exact upperCrossingTime_lt_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab
(Nat.lt_succ_iff.1 hk.2)
have h₂ : ∀ k ∈ Finset.Ico (upcrossingsBefore a b f N ω + 1) (N + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 0 := by
rintro k hk
|
Mathlib.Probability.Martingale.Upcrossing.775_0.80Cpy4Qgm9i1y9y
|
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i
|
Mathlib_Probability_Martingale_Upcrossing
|
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
hab : a < b
hN : ¬N = 0
h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1), Set.indicator {n | upperCrossingTime a b f N n ω < N} 1 k = 1
k : ℕ
hk : upcrossingsBefore a b f N ω < k ∧ k < N + 1
⊢ Set.indicator {n | upperCrossingTime a b f N n ω < N} 1 k = 0
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
· rfl
#align measure_theory.crossing_pos_eq MeasureTheory.crossing_pos_eq
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
simp_rw [upcrossingsBefore, (crossing_pos_eq hab).1]
#align measure_theory.upcrossings_before_pos_eq MeasureTheory.upcrossingsBefore_pos_eq
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
simp_rw [sub_zero, ← upcrossingsBefore_pos_eq hab]
rfl
#align measure_theory.mul_integral_upcrossings_before_le_integral_pos_part_aux MeasureTheory.mul_integral_upcrossingsBefore_le_integral_pos_part_aux
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
by_cases hab : a < b
· exact mul_integral_upcrossingsBefore_le_integral_pos_part_aux hf hab
· rw [not_lt, ← sub_nonpos] at hab
exact le_trans (mul_nonpos_of_nonpos_of_nonneg hab (integral_nonneg fun ω => Nat.cast_nonneg _))
(integral_nonneg fun ω => LatticeOrderedGroup.pos_nonneg _)
#align measure_theory.submartingale.mul_integral_upcrossings_before_le_integral_pos_part MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part
/-!
### Variant of the upcrossing estimate
Now, we would like to prove a variant of the upcrossing estimate obtained by taking the supremum
over $N$ of the original upcrossing estimate. Namely, we want the inequality
$$
(b - a) \sup_N \mathbb{E}[U_N(a, b)] \le \sup_N \mathbb{E}[f_N].
$$
This inequality is central for the martingale convergence theorem as it provides a uniform bound
for the upcrossings.
We note that on top of taking the supremum on both sides of the inequality, we had also used
the monotone convergence theorem on the left hand side to take the supremum outside of the
integral. To do this, we need to make sure $U_N(a, b)$ is measurable and integrable. Integrability
is easy to check as $U_N(a, b) ≤ N$ and so it suffices to show measurability. Indeed, by
noting that
$$
U_N(a, b) = \sum_{i = 1}^N \mathbf{1}_{\{U_N(a, b) < N\}}
$$
$U_N(a, b)$ is measurable as $\{U_N(a, b) < N\}$ is a measurable set since $U_N(a, b)$ is a
stopping time.
-/
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
rintro k hk
rw [Finset.mem_Ico] at hk
rw [Set.indicator_of_mem]
· rfl
· exact upperCrossingTime_lt_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab
(Nat.lt_succ_iff.1 hk.2)
have h₂ : ∀ k ∈ Finset.Ico (upcrossingsBefore a b f N ω + 1) (N + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 0 := by
rintro k hk
rw [Finset.mem_Ico, Nat.succ_le_iff] at hk
|
rw [Set.indicator_of_not_mem]
|
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
rintro k hk
rw [Finset.mem_Ico] at hk
rw [Set.indicator_of_mem]
· rfl
· exact upperCrossingTime_lt_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab
(Nat.lt_succ_iff.1 hk.2)
have h₂ : ∀ k ∈ Finset.Ico (upcrossingsBefore a b f N ω + 1) (N + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 0 := by
rintro k hk
rw [Finset.mem_Ico, Nat.succ_le_iff] at hk
|
Mathlib.Probability.Martingale.Upcrossing.775_0.80Cpy4Qgm9i1y9y
|
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i
|
Mathlib_Probability_Martingale_Upcrossing
|
case h
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
hab : a < b
hN : ¬N = 0
h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1), Set.indicator {n | upperCrossingTime a b f N n ω < N} 1 k = 1
k : ℕ
hk : upcrossingsBefore a b f N ω < k ∧ k < N + 1
⊢ k ∉ {n | upperCrossingTime a b f N n ω < N}
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
· rfl
#align measure_theory.crossing_pos_eq MeasureTheory.crossing_pos_eq
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
simp_rw [upcrossingsBefore, (crossing_pos_eq hab).1]
#align measure_theory.upcrossings_before_pos_eq MeasureTheory.upcrossingsBefore_pos_eq
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
simp_rw [sub_zero, ← upcrossingsBefore_pos_eq hab]
rfl
#align measure_theory.mul_integral_upcrossings_before_le_integral_pos_part_aux MeasureTheory.mul_integral_upcrossingsBefore_le_integral_pos_part_aux
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
by_cases hab : a < b
· exact mul_integral_upcrossingsBefore_le_integral_pos_part_aux hf hab
· rw [not_lt, ← sub_nonpos] at hab
exact le_trans (mul_nonpos_of_nonpos_of_nonneg hab (integral_nonneg fun ω => Nat.cast_nonneg _))
(integral_nonneg fun ω => LatticeOrderedGroup.pos_nonneg _)
#align measure_theory.submartingale.mul_integral_upcrossings_before_le_integral_pos_part MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part
/-!
### Variant of the upcrossing estimate
Now, we would like to prove a variant of the upcrossing estimate obtained by taking the supremum
over $N$ of the original upcrossing estimate. Namely, we want the inequality
$$
(b - a) \sup_N \mathbb{E}[U_N(a, b)] \le \sup_N \mathbb{E}[f_N].
$$
This inequality is central for the martingale convergence theorem as it provides a uniform bound
for the upcrossings.
We note that on top of taking the supremum on both sides of the inequality, we had also used
the monotone convergence theorem on the left hand side to take the supremum outside of the
integral. To do this, we need to make sure $U_N(a, b)$ is measurable and integrable. Integrability
is easy to check as $U_N(a, b) ≤ N$ and so it suffices to show measurability. Indeed, by
noting that
$$
U_N(a, b) = \sum_{i = 1}^N \mathbf{1}_{\{U_N(a, b) < N\}}
$$
$U_N(a, b)$ is measurable as $\{U_N(a, b) < N\}$ is a measurable set since $U_N(a, b)$ is a
stopping time.
-/
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
rintro k hk
rw [Finset.mem_Ico] at hk
rw [Set.indicator_of_mem]
· rfl
· exact upperCrossingTime_lt_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab
(Nat.lt_succ_iff.1 hk.2)
have h₂ : ∀ k ∈ Finset.Ico (upcrossingsBefore a b f N ω + 1) (N + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 0 := by
rintro k hk
rw [Finset.mem_Ico, Nat.succ_le_iff] at hk
rw [Set.indicator_of_not_mem]
|
simp only [Set.mem_setOf_eq, not_lt]
|
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
rintro k hk
rw [Finset.mem_Ico] at hk
rw [Set.indicator_of_mem]
· rfl
· exact upperCrossingTime_lt_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab
(Nat.lt_succ_iff.1 hk.2)
have h₂ : ∀ k ∈ Finset.Ico (upcrossingsBefore a b f N ω + 1) (N + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 0 := by
rintro k hk
rw [Finset.mem_Ico, Nat.succ_le_iff] at hk
rw [Set.indicator_of_not_mem]
|
Mathlib.Probability.Martingale.Upcrossing.775_0.80Cpy4Qgm9i1y9y
|
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i
|
Mathlib_Probability_Martingale_Upcrossing
|
case h
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
hab : a < b
hN : ¬N = 0
h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1), Set.indicator {n | upperCrossingTime a b f N n ω < N} 1 k = 1
k : ℕ
hk : upcrossingsBefore a b f N ω < k ∧ k < N + 1
⊢ N ≤ upperCrossingTime a b f N k ω
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
· rfl
#align measure_theory.crossing_pos_eq MeasureTheory.crossing_pos_eq
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
simp_rw [upcrossingsBefore, (crossing_pos_eq hab).1]
#align measure_theory.upcrossings_before_pos_eq MeasureTheory.upcrossingsBefore_pos_eq
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
simp_rw [sub_zero, ← upcrossingsBefore_pos_eq hab]
rfl
#align measure_theory.mul_integral_upcrossings_before_le_integral_pos_part_aux MeasureTheory.mul_integral_upcrossingsBefore_le_integral_pos_part_aux
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
by_cases hab : a < b
· exact mul_integral_upcrossingsBefore_le_integral_pos_part_aux hf hab
· rw [not_lt, ← sub_nonpos] at hab
exact le_trans (mul_nonpos_of_nonpos_of_nonneg hab (integral_nonneg fun ω => Nat.cast_nonneg _))
(integral_nonneg fun ω => LatticeOrderedGroup.pos_nonneg _)
#align measure_theory.submartingale.mul_integral_upcrossings_before_le_integral_pos_part MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part
/-!
### Variant of the upcrossing estimate
Now, we would like to prove a variant of the upcrossing estimate obtained by taking the supremum
over $N$ of the original upcrossing estimate. Namely, we want the inequality
$$
(b - a) \sup_N \mathbb{E}[U_N(a, b)] \le \sup_N \mathbb{E}[f_N].
$$
This inequality is central for the martingale convergence theorem as it provides a uniform bound
for the upcrossings.
We note that on top of taking the supremum on both sides of the inequality, we had also used
the monotone convergence theorem on the left hand side to take the supremum outside of the
integral. To do this, we need to make sure $U_N(a, b)$ is measurable and integrable. Integrability
is easy to check as $U_N(a, b) ≤ N$ and so it suffices to show measurability. Indeed, by
noting that
$$
U_N(a, b) = \sum_{i = 1}^N \mathbf{1}_{\{U_N(a, b) < N\}}
$$
$U_N(a, b)$ is measurable as $\{U_N(a, b) < N\}$ is a measurable set since $U_N(a, b)$ is a
stopping time.
-/
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
rintro k hk
rw [Finset.mem_Ico] at hk
rw [Set.indicator_of_mem]
· rfl
· exact upperCrossingTime_lt_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab
(Nat.lt_succ_iff.1 hk.2)
have h₂ : ∀ k ∈ Finset.Ico (upcrossingsBefore a b f N ω + 1) (N + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 0 := by
rintro k hk
rw [Finset.mem_Ico, Nat.succ_le_iff] at hk
rw [Set.indicator_of_not_mem]
simp only [Set.mem_setOf_eq, not_lt]
|
exact (upperCrossingTime_eq_of_upcrossingsBefore_lt hab hk.1).symm.le
|
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
rintro k hk
rw [Finset.mem_Ico] at hk
rw [Set.indicator_of_mem]
· rfl
· exact upperCrossingTime_lt_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab
(Nat.lt_succ_iff.1 hk.2)
have h₂ : ∀ k ∈ Finset.Ico (upcrossingsBefore a b f N ω + 1) (N + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 0 := by
rintro k hk
rw [Finset.mem_Ico, Nat.succ_le_iff] at hk
rw [Set.indicator_of_not_mem]
simp only [Set.mem_setOf_eq, not_lt]
|
Mathlib.Probability.Martingale.Upcrossing.775_0.80Cpy4Qgm9i1y9y
|
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i
|
Mathlib_Probability_Martingale_Upcrossing
|
case neg
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
hab : a < b
hN : ¬N = 0
h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1), Set.indicator {n | upperCrossingTime a b f N n ω < N} 1 k = 1
h₂ :
∀ k ∈ Finset.Ico (upcrossingsBefore a b f N ω + 1) (N + 1),
Set.indicator {n | upperCrossingTime a b f N n ω < N} 1 k = 0
⊢ upcrossingsBefore a b f N ω =
∑ i in Finset.Ico (Nat.succ 0) (Nat.succ (upcrossingsBefore a b f N ω)),
Set.indicator {n | upperCrossingTime a b f N n ω < N} 1 i +
∑ i in Finset.Ico (Nat.succ (upcrossingsBefore a b f N ω)) (Nat.succ N),
Set.indicator {n | upperCrossingTime a b f N n ω < N} 1 i
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
· rfl
#align measure_theory.crossing_pos_eq MeasureTheory.crossing_pos_eq
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
simp_rw [upcrossingsBefore, (crossing_pos_eq hab).1]
#align measure_theory.upcrossings_before_pos_eq MeasureTheory.upcrossingsBefore_pos_eq
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
simp_rw [sub_zero, ← upcrossingsBefore_pos_eq hab]
rfl
#align measure_theory.mul_integral_upcrossings_before_le_integral_pos_part_aux MeasureTheory.mul_integral_upcrossingsBefore_le_integral_pos_part_aux
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
by_cases hab : a < b
· exact mul_integral_upcrossingsBefore_le_integral_pos_part_aux hf hab
· rw [not_lt, ← sub_nonpos] at hab
exact le_trans (mul_nonpos_of_nonpos_of_nonneg hab (integral_nonneg fun ω => Nat.cast_nonneg _))
(integral_nonneg fun ω => LatticeOrderedGroup.pos_nonneg _)
#align measure_theory.submartingale.mul_integral_upcrossings_before_le_integral_pos_part MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part
/-!
### Variant of the upcrossing estimate
Now, we would like to prove a variant of the upcrossing estimate obtained by taking the supremum
over $N$ of the original upcrossing estimate. Namely, we want the inequality
$$
(b - a) \sup_N \mathbb{E}[U_N(a, b)] \le \sup_N \mathbb{E}[f_N].
$$
This inequality is central for the martingale convergence theorem as it provides a uniform bound
for the upcrossings.
We note that on top of taking the supremum on both sides of the inequality, we had also used
the monotone convergence theorem on the left hand side to take the supremum outside of the
integral. To do this, we need to make sure $U_N(a, b)$ is measurable and integrable. Integrability
is easy to check as $U_N(a, b) ≤ N$ and so it suffices to show measurability. Indeed, by
noting that
$$
U_N(a, b) = \sum_{i = 1}^N \mathbf{1}_{\{U_N(a, b) < N\}}
$$
$U_N(a, b)$ is measurable as $\{U_N(a, b) < N\}$ is a measurable set since $U_N(a, b)$ is a
stopping time.
-/
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
rintro k hk
rw [Finset.mem_Ico] at hk
rw [Set.indicator_of_mem]
· rfl
· exact upperCrossingTime_lt_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab
(Nat.lt_succ_iff.1 hk.2)
have h₂ : ∀ k ∈ Finset.Ico (upcrossingsBefore a b f N ω + 1) (N + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 0 := by
rintro k hk
rw [Finset.mem_Ico, Nat.succ_le_iff] at hk
rw [Set.indicator_of_not_mem]
simp only [Set.mem_setOf_eq, not_lt]
exact (upperCrossingTime_eq_of_upcrossingsBefore_lt hab hk.1).symm.le
|
rw [Finset.sum_congr rfl h₁, Finset.sum_congr rfl h₂, Finset.sum_const, Finset.sum_const,
smul_eq_mul, mul_one, smul_eq_mul, mul_zero, Nat.card_Ico, Nat.add_succ_sub_one,
add_zero, add_zero]
|
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
rintro k hk
rw [Finset.mem_Ico] at hk
rw [Set.indicator_of_mem]
· rfl
· exact upperCrossingTime_lt_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab
(Nat.lt_succ_iff.1 hk.2)
have h₂ : ∀ k ∈ Finset.Ico (upcrossingsBefore a b f N ω + 1) (N + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 0 := by
rintro k hk
rw [Finset.mem_Ico, Nat.succ_le_iff] at hk
rw [Set.indicator_of_not_mem]
simp only [Set.mem_setOf_eq, not_lt]
exact (upperCrossingTime_eq_of_upcrossingsBefore_lt hab hk.1).symm.le
|
Mathlib.Probability.Martingale.Upcrossing.775_0.80Cpy4Qgm9i1y9y
|
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i
|
Mathlib_Probability_Martingale_Upcrossing
|
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
hf : Adapted ℱ f
hab : a < b
⊢ Measurable (upcrossingsBefore a b f N)
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
· rfl
#align measure_theory.crossing_pos_eq MeasureTheory.crossing_pos_eq
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
simp_rw [upcrossingsBefore, (crossing_pos_eq hab).1]
#align measure_theory.upcrossings_before_pos_eq MeasureTheory.upcrossingsBefore_pos_eq
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
simp_rw [sub_zero, ← upcrossingsBefore_pos_eq hab]
rfl
#align measure_theory.mul_integral_upcrossings_before_le_integral_pos_part_aux MeasureTheory.mul_integral_upcrossingsBefore_le_integral_pos_part_aux
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
by_cases hab : a < b
· exact mul_integral_upcrossingsBefore_le_integral_pos_part_aux hf hab
· rw [not_lt, ← sub_nonpos] at hab
exact le_trans (mul_nonpos_of_nonpos_of_nonneg hab (integral_nonneg fun ω => Nat.cast_nonneg _))
(integral_nonneg fun ω => LatticeOrderedGroup.pos_nonneg _)
#align measure_theory.submartingale.mul_integral_upcrossings_before_le_integral_pos_part MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part
/-!
### Variant of the upcrossing estimate
Now, we would like to prove a variant of the upcrossing estimate obtained by taking the supremum
over $N$ of the original upcrossing estimate. Namely, we want the inequality
$$
(b - a) \sup_N \mathbb{E}[U_N(a, b)] \le \sup_N \mathbb{E}[f_N].
$$
This inequality is central for the martingale convergence theorem as it provides a uniform bound
for the upcrossings.
We note that on top of taking the supremum on both sides of the inequality, we had also used
the monotone convergence theorem on the left hand side to take the supremum outside of the
integral. To do this, we need to make sure $U_N(a, b)$ is measurable and integrable. Integrability
is easy to check as $U_N(a, b) ≤ N$ and so it suffices to show measurability. Indeed, by
noting that
$$
U_N(a, b) = \sum_{i = 1}^N \mathbf{1}_{\{U_N(a, b) < N\}}
$$
$U_N(a, b)$ is measurable as $\{U_N(a, b) < N\}$ is a measurable set since $U_N(a, b)$ is a
stopping time.
-/
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
rintro k hk
rw [Finset.mem_Ico] at hk
rw [Set.indicator_of_mem]
· rfl
· exact upperCrossingTime_lt_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab
(Nat.lt_succ_iff.1 hk.2)
have h₂ : ∀ k ∈ Finset.Ico (upcrossingsBefore a b f N ω + 1) (N + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 0 := by
rintro k hk
rw [Finset.mem_Ico, Nat.succ_le_iff] at hk
rw [Set.indicator_of_not_mem]
simp only [Set.mem_setOf_eq, not_lt]
exact (upperCrossingTime_eq_of_upcrossingsBefore_lt hab hk.1).symm.le
rw [Finset.sum_congr rfl h₁, Finset.sum_congr rfl h₂, Finset.sum_const, Finset.sum_const,
smul_eq_mul, mul_one, smul_eq_mul, mul_zero, Nat.card_Ico, Nat.add_succ_sub_one,
add_zero, add_zero]
#align measure_theory.upcrossings_before_eq_sum MeasureTheory.upcrossingsBefore_eq_sum
theorem Adapted.measurable_upcrossingsBefore (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossingsBefore a b f N) := by
|
have : upcrossingsBefore a b f N = fun ω =>
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
ext ω
exact upcrossingsBefore_eq_sum hab
|
theorem Adapted.measurable_upcrossingsBefore (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossingsBefore a b f N) := by
|
Mathlib.Probability.Martingale.Upcrossing.801_0.80Cpy4Qgm9i1y9y
|
theorem Adapted.measurable_upcrossingsBefore (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossingsBefore a b f N)
|
Mathlib_Probability_Martingale_Upcrossing
|
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
hf : Adapted ℱ f
hab : a < b
⊢ upcrossingsBefore a b f N = fun ω =>
∑ i in Finset.Ico 1 (N + 1), Set.indicator {n | upperCrossingTime a b f N n ω < N} 1 i
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
· rfl
#align measure_theory.crossing_pos_eq MeasureTheory.crossing_pos_eq
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
simp_rw [upcrossingsBefore, (crossing_pos_eq hab).1]
#align measure_theory.upcrossings_before_pos_eq MeasureTheory.upcrossingsBefore_pos_eq
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
simp_rw [sub_zero, ← upcrossingsBefore_pos_eq hab]
rfl
#align measure_theory.mul_integral_upcrossings_before_le_integral_pos_part_aux MeasureTheory.mul_integral_upcrossingsBefore_le_integral_pos_part_aux
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
by_cases hab : a < b
· exact mul_integral_upcrossingsBefore_le_integral_pos_part_aux hf hab
· rw [not_lt, ← sub_nonpos] at hab
exact le_trans (mul_nonpos_of_nonpos_of_nonneg hab (integral_nonneg fun ω => Nat.cast_nonneg _))
(integral_nonneg fun ω => LatticeOrderedGroup.pos_nonneg _)
#align measure_theory.submartingale.mul_integral_upcrossings_before_le_integral_pos_part MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part
/-!
### Variant of the upcrossing estimate
Now, we would like to prove a variant of the upcrossing estimate obtained by taking the supremum
over $N$ of the original upcrossing estimate. Namely, we want the inequality
$$
(b - a) \sup_N \mathbb{E}[U_N(a, b)] \le \sup_N \mathbb{E}[f_N].
$$
This inequality is central for the martingale convergence theorem as it provides a uniform bound
for the upcrossings.
We note that on top of taking the supremum on both sides of the inequality, we had also used
the monotone convergence theorem on the left hand side to take the supremum outside of the
integral. To do this, we need to make sure $U_N(a, b)$ is measurable and integrable. Integrability
is easy to check as $U_N(a, b) ≤ N$ and so it suffices to show measurability. Indeed, by
noting that
$$
U_N(a, b) = \sum_{i = 1}^N \mathbf{1}_{\{U_N(a, b) < N\}}
$$
$U_N(a, b)$ is measurable as $\{U_N(a, b) < N\}$ is a measurable set since $U_N(a, b)$ is a
stopping time.
-/
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
rintro k hk
rw [Finset.mem_Ico] at hk
rw [Set.indicator_of_mem]
· rfl
· exact upperCrossingTime_lt_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab
(Nat.lt_succ_iff.1 hk.2)
have h₂ : ∀ k ∈ Finset.Ico (upcrossingsBefore a b f N ω + 1) (N + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 0 := by
rintro k hk
rw [Finset.mem_Ico, Nat.succ_le_iff] at hk
rw [Set.indicator_of_not_mem]
simp only [Set.mem_setOf_eq, not_lt]
exact (upperCrossingTime_eq_of_upcrossingsBefore_lt hab hk.1).symm.le
rw [Finset.sum_congr rfl h₁, Finset.sum_congr rfl h₂, Finset.sum_const, Finset.sum_const,
smul_eq_mul, mul_one, smul_eq_mul, mul_zero, Nat.card_Ico, Nat.add_succ_sub_one,
add_zero, add_zero]
#align measure_theory.upcrossings_before_eq_sum MeasureTheory.upcrossingsBefore_eq_sum
theorem Adapted.measurable_upcrossingsBefore (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossingsBefore a b f N) := by
have : upcrossingsBefore a b f N = fun ω =>
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
|
ext ω
|
theorem Adapted.measurable_upcrossingsBefore (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossingsBefore a b f N) := by
have : upcrossingsBefore a b f N = fun ω =>
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
|
Mathlib.Probability.Martingale.Upcrossing.801_0.80Cpy4Qgm9i1y9y
|
theorem Adapted.measurable_upcrossingsBefore (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossingsBefore a b f N)
|
Mathlib_Probability_Martingale_Upcrossing
|
case h
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω✝ : Ω
ℱ : Filtration ℕ m0
hf : Adapted ℱ f
hab : a < b
ω : Ω
⊢ upcrossingsBefore a b f N ω = ∑ i in Finset.Ico 1 (N + 1), Set.indicator {n | upperCrossingTime a b f N n ω < N} 1 i
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
· rfl
#align measure_theory.crossing_pos_eq MeasureTheory.crossing_pos_eq
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
simp_rw [upcrossingsBefore, (crossing_pos_eq hab).1]
#align measure_theory.upcrossings_before_pos_eq MeasureTheory.upcrossingsBefore_pos_eq
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
simp_rw [sub_zero, ← upcrossingsBefore_pos_eq hab]
rfl
#align measure_theory.mul_integral_upcrossings_before_le_integral_pos_part_aux MeasureTheory.mul_integral_upcrossingsBefore_le_integral_pos_part_aux
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
by_cases hab : a < b
· exact mul_integral_upcrossingsBefore_le_integral_pos_part_aux hf hab
· rw [not_lt, ← sub_nonpos] at hab
exact le_trans (mul_nonpos_of_nonpos_of_nonneg hab (integral_nonneg fun ω => Nat.cast_nonneg _))
(integral_nonneg fun ω => LatticeOrderedGroup.pos_nonneg _)
#align measure_theory.submartingale.mul_integral_upcrossings_before_le_integral_pos_part MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part
/-!
### Variant of the upcrossing estimate
Now, we would like to prove a variant of the upcrossing estimate obtained by taking the supremum
over $N$ of the original upcrossing estimate. Namely, we want the inequality
$$
(b - a) \sup_N \mathbb{E}[U_N(a, b)] \le \sup_N \mathbb{E}[f_N].
$$
This inequality is central for the martingale convergence theorem as it provides a uniform bound
for the upcrossings.
We note that on top of taking the supremum on both sides of the inequality, we had also used
the monotone convergence theorem on the left hand side to take the supremum outside of the
integral. To do this, we need to make sure $U_N(a, b)$ is measurable and integrable. Integrability
is easy to check as $U_N(a, b) ≤ N$ and so it suffices to show measurability. Indeed, by
noting that
$$
U_N(a, b) = \sum_{i = 1}^N \mathbf{1}_{\{U_N(a, b) < N\}}
$$
$U_N(a, b)$ is measurable as $\{U_N(a, b) < N\}$ is a measurable set since $U_N(a, b)$ is a
stopping time.
-/
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
rintro k hk
rw [Finset.mem_Ico] at hk
rw [Set.indicator_of_mem]
· rfl
· exact upperCrossingTime_lt_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab
(Nat.lt_succ_iff.1 hk.2)
have h₂ : ∀ k ∈ Finset.Ico (upcrossingsBefore a b f N ω + 1) (N + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 0 := by
rintro k hk
rw [Finset.mem_Ico, Nat.succ_le_iff] at hk
rw [Set.indicator_of_not_mem]
simp only [Set.mem_setOf_eq, not_lt]
exact (upperCrossingTime_eq_of_upcrossingsBefore_lt hab hk.1).symm.le
rw [Finset.sum_congr rfl h₁, Finset.sum_congr rfl h₂, Finset.sum_const, Finset.sum_const,
smul_eq_mul, mul_one, smul_eq_mul, mul_zero, Nat.card_Ico, Nat.add_succ_sub_one,
add_zero, add_zero]
#align measure_theory.upcrossings_before_eq_sum MeasureTheory.upcrossingsBefore_eq_sum
theorem Adapted.measurable_upcrossingsBefore (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossingsBefore a b f N) := by
have : upcrossingsBefore a b f N = fun ω =>
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
ext ω
|
exact upcrossingsBefore_eq_sum hab
|
theorem Adapted.measurable_upcrossingsBefore (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossingsBefore a b f N) := by
have : upcrossingsBefore a b f N = fun ω =>
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
ext ω
|
Mathlib.Probability.Martingale.Upcrossing.801_0.80Cpy4Qgm9i1y9y
|
theorem Adapted.measurable_upcrossingsBefore (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossingsBefore a b f N)
|
Mathlib_Probability_Martingale_Upcrossing
|
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
hf : Adapted ℱ f
hab : a < b
this :
upcrossingsBefore a b f N = fun ω =>
∑ i in Finset.Ico 1 (N + 1), Set.indicator {n | upperCrossingTime a b f N n ω < N} 1 i
⊢ Measurable (upcrossingsBefore a b f N)
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
· rfl
#align measure_theory.crossing_pos_eq MeasureTheory.crossing_pos_eq
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
simp_rw [upcrossingsBefore, (crossing_pos_eq hab).1]
#align measure_theory.upcrossings_before_pos_eq MeasureTheory.upcrossingsBefore_pos_eq
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
simp_rw [sub_zero, ← upcrossingsBefore_pos_eq hab]
rfl
#align measure_theory.mul_integral_upcrossings_before_le_integral_pos_part_aux MeasureTheory.mul_integral_upcrossingsBefore_le_integral_pos_part_aux
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
by_cases hab : a < b
· exact mul_integral_upcrossingsBefore_le_integral_pos_part_aux hf hab
· rw [not_lt, ← sub_nonpos] at hab
exact le_trans (mul_nonpos_of_nonpos_of_nonneg hab (integral_nonneg fun ω => Nat.cast_nonneg _))
(integral_nonneg fun ω => LatticeOrderedGroup.pos_nonneg _)
#align measure_theory.submartingale.mul_integral_upcrossings_before_le_integral_pos_part MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part
/-!
### Variant of the upcrossing estimate
Now, we would like to prove a variant of the upcrossing estimate obtained by taking the supremum
over $N$ of the original upcrossing estimate. Namely, we want the inequality
$$
(b - a) \sup_N \mathbb{E}[U_N(a, b)] \le \sup_N \mathbb{E}[f_N].
$$
This inequality is central for the martingale convergence theorem as it provides a uniform bound
for the upcrossings.
We note that on top of taking the supremum on both sides of the inequality, we had also used
the monotone convergence theorem on the left hand side to take the supremum outside of the
integral. To do this, we need to make sure $U_N(a, b)$ is measurable and integrable. Integrability
is easy to check as $U_N(a, b) ≤ N$ and so it suffices to show measurability. Indeed, by
noting that
$$
U_N(a, b) = \sum_{i = 1}^N \mathbf{1}_{\{U_N(a, b) < N\}}
$$
$U_N(a, b)$ is measurable as $\{U_N(a, b) < N\}$ is a measurable set since $U_N(a, b)$ is a
stopping time.
-/
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
rintro k hk
rw [Finset.mem_Ico] at hk
rw [Set.indicator_of_mem]
· rfl
· exact upperCrossingTime_lt_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab
(Nat.lt_succ_iff.1 hk.2)
have h₂ : ∀ k ∈ Finset.Ico (upcrossingsBefore a b f N ω + 1) (N + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 0 := by
rintro k hk
rw [Finset.mem_Ico, Nat.succ_le_iff] at hk
rw [Set.indicator_of_not_mem]
simp only [Set.mem_setOf_eq, not_lt]
exact (upperCrossingTime_eq_of_upcrossingsBefore_lt hab hk.1).symm.le
rw [Finset.sum_congr rfl h₁, Finset.sum_congr rfl h₂, Finset.sum_const, Finset.sum_const,
smul_eq_mul, mul_one, smul_eq_mul, mul_zero, Nat.card_Ico, Nat.add_succ_sub_one,
add_zero, add_zero]
#align measure_theory.upcrossings_before_eq_sum MeasureTheory.upcrossingsBefore_eq_sum
theorem Adapted.measurable_upcrossingsBefore (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossingsBefore a b f N) := by
have : upcrossingsBefore a b f N = fun ω =>
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
ext ω
exact upcrossingsBefore_eq_sum hab
|
rw [this]
|
theorem Adapted.measurable_upcrossingsBefore (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossingsBefore a b f N) := by
have : upcrossingsBefore a b f N = fun ω =>
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
ext ω
exact upcrossingsBefore_eq_sum hab
|
Mathlib.Probability.Martingale.Upcrossing.801_0.80Cpy4Qgm9i1y9y
|
theorem Adapted.measurable_upcrossingsBefore (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossingsBefore a b f N)
|
Mathlib_Probability_Martingale_Upcrossing
|
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
hf : Adapted ℱ f
hab : a < b
this :
upcrossingsBefore a b f N = fun ω =>
∑ i in Finset.Ico 1 (N + 1), Set.indicator {n | upperCrossingTime a b f N n ω < N} 1 i
⊢ Measurable fun ω => ∑ i in Finset.Ico 1 (N + 1), Set.indicator {n | upperCrossingTime a b f N n ω < N} 1 i
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
· rfl
#align measure_theory.crossing_pos_eq MeasureTheory.crossing_pos_eq
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
simp_rw [upcrossingsBefore, (crossing_pos_eq hab).1]
#align measure_theory.upcrossings_before_pos_eq MeasureTheory.upcrossingsBefore_pos_eq
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
simp_rw [sub_zero, ← upcrossingsBefore_pos_eq hab]
rfl
#align measure_theory.mul_integral_upcrossings_before_le_integral_pos_part_aux MeasureTheory.mul_integral_upcrossingsBefore_le_integral_pos_part_aux
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
by_cases hab : a < b
· exact mul_integral_upcrossingsBefore_le_integral_pos_part_aux hf hab
· rw [not_lt, ← sub_nonpos] at hab
exact le_trans (mul_nonpos_of_nonpos_of_nonneg hab (integral_nonneg fun ω => Nat.cast_nonneg _))
(integral_nonneg fun ω => LatticeOrderedGroup.pos_nonneg _)
#align measure_theory.submartingale.mul_integral_upcrossings_before_le_integral_pos_part MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part
/-!
### Variant of the upcrossing estimate
Now, we would like to prove a variant of the upcrossing estimate obtained by taking the supremum
over $N$ of the original upcrossing estimate. Namely, we want the inequality
$$
(b - a) \sup_N \mathbb{E}[U_N(a, b)] \le \sup_N \mathbb{E}[f_N].
$$
This inequality is central for the martingale convergence theorem as it provides a uniform bound
for the upcrossings.
We note that on top of taking the supremum on both sides of the inequality, we had also used
the monotone convergence theorem on the left hand side to take the supremum outside of the
integral. To do this, we need to make sure $U_N(a, b)$ is measurable and integrable. Integrability
is easy to check as $U_N(a, b) ≤ N$ and so it suffices to show measurability. Indeed, by
noting that
$$
U_N(a, b) = \sum_{i = 1}^N \mathbf{1}_{\{U_N(a, b) < N\}}
$$
$U_N(a, b)$ is measurable as $\{U_N(a, b) < N\}$ is a measurable set since $U_N(a, b)$ is a
stopping time.
-/
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
rintro k hk
rw [Finset.mem_Ico] at hk
rw [Set.indicator_of_mem]
· rfl
· exact upperCrossingTime_lt_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab
(Nat.lt_succ_iff.1 hk.2)
have h₂ : ∀ k ∈ Finset.Ico (upcrossingsBefore a b f N ω + 1) (N + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 0 := by
rintro k hk
rw [Finset.mem_Ico, Nat.succ_le_iff] at hk
rw [Set.indicator_of_not_mem]
simp only [Set.mem_setOf_eq, not_lt]
exact (upperCrossingTime_eq_of_upcrossingsBefore_lt hab hk.1).symm.le
rw [Finset.sum_congr rfl h₁, Finset.sum_congr rfl h₂, Finset.sum_const, Finset.sum_const,
smul_eq_mul, mul_one, smul_eq_mul, mul_zero, Nat.card_Ico, Nat.add_succ_sub_one,
add_zero, add_zero]
#align measure_theory.upcrossings_before_eq_sum MeasureTheory.upcrossingsBefore_eq_sum
theorem Adapted.measurable_upcrossingsBefore (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossingsBefore a b f N) := by
have : upcrossingsBefore a b f N = fun ω =>
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
ext ω
exact upcrossingsBefore_eq_sum hab
rw [this]
|
exact Finset.measurable_sum _ fun i _ => Measurable.indicator measurable_const <|
ℱ.le N _ (hf.isStoppingTime_upperCrossingTime.measurableSet_lt_of_pred N)
|
theorem Adapted.measurable_upcrossingsBefore (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossingsBefore a b f N) := by
have : upcrossingsBefore a b f N = fun ω =>
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
ext ω
exact upcrossingsBefore_eq_sum hab
rw [this]
|
Mathlib.Probability.Martingale.Upcrossing.801_0.80Cpy4Qgm9i1y9y
|
theorem Adapted.measurable_upcrossingsBefore (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossingsBefore a b f N)
|
Mathlib_Probability_Martingale_Upcrossing
|
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
inst✝ : IsFiniteMeasure μ
hf : Adapted ℱ f
hab : a < b
⊢ ∀ᵐ (ω : Ω) ∂μ, ‖↑(upcrossingsBefore a b f N ω)‖ ≤ ↑N
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
· rfl
#align measure_theory.crossing_pos_eq MeasureTheory.crossing_pos_eq
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
simp_rw [upcrossingsBefore, (crossing_pos_eq hab).1]
#align measure_theory.upcrossings_before_pos_eq MeasureTheory.upcrossingsBefore_pos_eq
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
simp_rw [sub_zero, ← upcrossingsBefore_pos_eq hab]
rfl
#align measure_theory.mul_integral_upcrossings_before_le_integral_pos_part_aux MeasureTheory.mul_integral_upcrossingsBefore_le_integral_pos_part_aux
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
by_cases hab : a < b
· exact mul_integral_upcrossingsBefore_le_integral_pos_part_aux hf hab
· rw [not_lt, ← sub_nonpos] at hab
exact le_trans (mul_nonpos_of_nonpos_of_nonneg hab (integral_nonneg fun ω => Nat.cast_nonneg _))
(integral_nonneg fun ω => LatticeOrderedGroup.pos_nonneg _)
#align measure_theory.submartingale.mul_integral_upcrossings_before_le_integral_pos_part MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part
/-!
### Variant of the upcrossing estimate
Now, we would like to prove a variant of the upcrossing estimate obtained by taking the supremum
over $N$ of the original upcrossing estimate. Namely, we want the inequality
$$
(b - a) \sup_N \mathbb{E}[U_N(a, b)] \le \sup_N \mathbb{E}[f_N].
$$
This inequality is central for the martingale convergence theorem as it provides a uniform bound
for the upcrossings.
We note that on top of taking the supremum on both sides of the inequality, we had also used
the monotone convergence theorem on the left hand side to take the supremum outside of the
integral. To do this, we need to make sure $U_N(a, b)$ is measurable and integrable. Integrability
is easy to check as $U_N(a, b) ≤ N$ and so it suffices to show measurability. Indeed, by
noting that
$$
U_N(a, b) = \sum_{i = 1}^N \mathbf{1}_{\{U_N(a, b) < N\}}
$$
$U_N(a, b)$ is measurable as $\{U_N(a, b) < N\}$ is a measurable set since $U_N(a, b)$ is a
stopping time.
-/
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
rintro k hk
rw [Finset.mem_Ico] at hk
rw [Set.indicator_of_mem]
· rfl
· exact upperCrossingTime_lt_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab
(Nat.lt_succ_iff.1 hk.2)
have h₂ : ∀ k ∈ Finset.Ico (upcrossingsBefore a b f N ω + 1) (N + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 0 := by
rintro k hk
rw [Finset.mem_Ico, Nat.succ_le_iff] at hk
rw [Set.indicator_of_not_mem]
simp only [Set.mem_setOf_eq, not_lt]
exact (upperCrossingTime_eq_of_upcrossingsBefore_lt hab hk.1).symm.le
rw [Finset.sum_congr rfl h₁, Finset.sum_congr rfl h₂, Finset.sum_const, Finset.sum_const,
smul_eq_mul, mul_one, smul_eq_mul, mul_zero, Nat.card_Ico, Nat.add_succ_sub_one,
add_zero, add_zero]
#align measure_theory.upcrossings_before_eq_sum MeasureTheory.upcrossingsBefore_eq_sum
theorem Adapted.measurable_upcrossingsBefore (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossingsBefore a b f N) := by
have : upcrossingsBefore a b f N = fun ω =>
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
ext ω
exact upcrossingsBefore_eq_sum hab
rw [this]
exact Finset.measurable_sum _ fun i _ => Measurable.indicator measurable_const <|
ℱ.le N _ (hf.isStoppingTime_upperCrossingTime.measurableSet_lt_of_pred N)
#align measure_theory.adapted.measurable_upcrossings_before MeasureTheory.Adapted.measurable_upcrossingsBefore
theorem Adapted.integrable_upcrossingsBefore [IsFiniteMeasure μ] (hf : Adapted ℱ f) (hab : a < b) :
Integrable (fun ω => (upcrossingsBefore a b f N ω : ℝ)) μ :=
haveI : ∀ᵐ ω ∂μ, ‖(upcrossingsBefore a b f N ω : ℝ)‖ ≤ N := by
|
refine' eventually_of_forall fun ω => _
|
theorem Adapted.integrable_upcrossingsBefore [IsFiniteMeasure μ] (hf : Adapted ℱ f) (hab : a < b) :
Integrable (fun ω => (upcrossingsBefore a b f N ω : ℝ)) μ :=
haveI : ∀ᵐ ω ∂μ, ‖(upcrossingsBefore a b f N ω : ℝ)‖ ≤ N := by
|
Mathlib.Probability.Martingale.Upcrossing.812_0.80Cpy4Qgm9i1y9y
|
theorem Adapted.integrable_upcrossingsBefore [IsFiniteMeasure μ] (hf : Adapted ℱ f) (hab : a < b) :
Integrable (fun ω => (upcrossingsBefore a b f N ω : ℝ)) μ
|
Mathlib_Probability_Martingale_Upcrossing
|
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω✝ : Ω
ℱ : Filtration ℕ m0
inst✝ : IsFiniteMeasure μ
hf : Adapted ℱ f
hab : a < b
ω : Ω
⊢ ‖↑(upcrossingsBefore a b f N ω)‖ ≤ ↑N
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
· rfl
#align measure_theory.crossing_pos_eq MeasureTheory.crossing_pos_eq
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
simp_rw [upcrossingsBefore, (crossing_pos_eq hab).1]
#align measure_theory.upcrossings_before_pos_eq MeasureTheory.upcrossingsBefore_pos_eq
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
simp_rw [sub_zero, ← upcrossingsBefore_pos_eq hab]
rfl
#align measure_theory.mul_integral_upcrossings_before_le_integral_pos_part_aux MeasureTheory.mul_integral_upcrossingsBefore_le_integral_pos_part_aux
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
by_cases hab : a < b
· exact mul_integral_upcrossingsBefore_le_integral_pos_part_aux hf hab
· rw [not_lt, ← sub_nonpos] at hab
exact le_trans (mul_nonpos_of_nonpos_of_nonneg hab (integral_nonneg fun ω => Nat.cast_nonneg _))
(integral_nonneg fun ω => LatticeOrderedGroup.pos_nonneg _)
#align measure_theory.submartingale.mul_integral_upcrossings_before_le_integral_pos_part MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part
/-!
### Variant of the upcrossing estimate
Now, we would like to prove a variant of the upcrossing estimate obtained by taking the supremum
over $N$ of the original upcrossing estimate. Namely, we want the inequality
$$
(b - a) \sup_N \mathbb{E}[U_N(a, b)] \le \sup_N \mathbb{E}[f_N].
$$
This inequality is central for the martingale convergence theorem as it provides a uniform bound
for the upcrossings.
We note that on top of taking the supremum on both sides of the inequality, we had also used
the monotone convergence theorem on the left hand side to take the supremum outside of the
integral. To do this, we need to make sure $U_N(a, b)$ is measurable and integrable. Integrability
is easy to check as $U_N(a, b) ≤ N$ and so it suffices to show measurability. Indeed, by
noting that
$$
U_N(a, b) = \sum_{i = 1}^N \mathbf{1}_{\{U_N(a, b) < N\}}
$$
$U_N(a, b)$ is measurable as $\{U_N(a, b) < N\}$ is a measurable set since $U_N(a, b)$ is a
stopping time.
-/
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
rintro k hk
rw [Finset.mem_Ico] at hk
rw [Set.indicator_of_mem]
· rfl
· exact upperCrossingTime_lt_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab
(Nat.lt_succ_iff.1 hk.2)
have h₂ : ∀ k ∈ Finset.Ico (upcrossingsBefore a b f N ω + 1) (N + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 0 := by
rintro k hk
rw [Finset.mem_Ico, Nat.succ_le_iff] at hk
rw [Set.indicator_of_not_mem]
simp only [Set.mem_setOf_eq, not_lt]
exact (upperCrossingTime_eq_of_upcrossingsBefore_lt hab hk.1).symm.le
rw [Finset.sum_congr rfl h₁, Finset.sum_congr rfl h₂, Finset.sum_const, Finset.sum_const,
smul_eq_mul, mul_one, smul_eq_mul, mul_zero, Nat.card_Ico, Nat.add_succ_sub_one,
add_zero, add_zero]
#align measure_theory.upcrossings_before_eq_sum MeasureTheory.upcrossingsBefore_eq_sum
theorem Adapted.measurable_upcrossingsBefore (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossingsBefore a b f N) := by
have : upcrossingsBefore a b f N = fun ω =>
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
ext ω
exact upcrossingsBefore_eq_sum hab
rw [this]
exact Finset.measurable_sum _ fun i _ => Measurable.indicator measurable_const <|
ℱ.le N _ (hf.isStoppingTime_upperCrossingTime.measurableSet_lt_of_pred N)
#align measure_theory.adapted.measurable_upcrossings_before MeasureTheory.Adapted.measurable_upcrossingsBefore
theorem Adapted.integrable_upcrossingsBefore [IsFiniteMeasure μ] (hf : Adapted ℱ f) (hab : a < b) :
Integrable (fun ω => (upcrossingsBefore a b f N ω : ℝ)) μ :=
haveI : ∀ᵐ ω ∂μ, ‖(upcrossingsBefore a b f N ω : ℝ)‖ ≤ N := by
refine' eventually_of_forall fun ω => _
|
rw [Real.norm_eq_abs, Nat.abs_cast, Nat.cast_le]
|
theorem Adapted.integrable_upcrossingsBefore [IsFiniteMeasure μ] (hf : Adapted ℱ f) (hab : a < b) :
Integrable (fun ω => (upcrossingsBefore a b f N ω : ℝ)) μ :=
haveI : ∀ᵐ ω ∂μ, ‖(upcrossingsBefore a b f N ω : ℝ)‖ ≤ N := by
refine' eventually_of_forall fun ω => _
|
Mathlib.Probability.Martingale.Upcrossing.812_0.80Cpy4Qgm9i1y9y
|
theorem Adapted.integrable_upcrossingsBefore [IsFiniteMeasure μ] (hf : Adapted ℱ f) (hab : a < b) :
Integrable (fun ω => (upcrossingsBefore a b f N ω : ℝ)) μ
|
Mathlib_Probability_Martingale_Upcrossing
|
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω✝ : Ω
ℱ : Filtration ℕ m0
inst✝ : IsFiniteMeasure μ
hf : Adapted ℱ f
hab : a < b
ω : Ω
⊢ upcrossingsBefore a b f N ω ≤ N
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
· rfl
#align measure_theory.crossing_pos_eq MeasureTheory.crossing_pos_eq
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
simp_rw [upcrossingsBefore, (crossing_pos_eq hab).1]
#align measure_theory.upcrossings_before_pos_eq MeasureTheory.upcrossingsBefore_pos_eq
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
simp_rw [sub_zero, ← upcrossingsBefore_pos_eq hab]
rfl
#align measure_theory.mul_integral_upcrossings_before_le_integral_pos_part_aux MeasureTheory.mul_integral_upcrossingsBefore_le_integral_pos_part_aux
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
by_cases hab : a < b
· exact mul_integral_upcrossingsBefore_le_integral_pos_part_aux hf hab
· rw [not_lt, ← sub_nonpos] at hab
exact le_trans (mul_nonpos_of_nonpos_of_nonneg hab (integral_nonneg fun ω => Nat.cast_nonneg _))
(integral_nonneg fun ω => LatticeOrderedGroup.pos_nonneg _)
#align measure_theory.submartingale.mul_integral_upcrossings_before_le_integral_pos_part MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part
/-!
### Variant of the upcrossing estimate
Now, we would like to prove a variant of the upcrossing estimate obtained by taking the supremum
over $N$ of the original upcrossing estimate. Namely, we want the inequality
$$
(b - a) \sup_N \mathbb{E}[U_N(a, b)] \le \sup_N \mathbb{E}[f_N].
$$
This inequality is central for the martingale convergence theorem as it provides a uniform bound
for the upcrossings.
We note that on top of taking the supremum on both sides of the inequality, we had also used
the monotone convergence theorem on the left hand side to take the supremum outside of the
integral. To do this, we need to make sure $U_N(a, b)$ is measurable and integrable. Integrability
is easy to check as $U_N(a, b) ≤ N$ and so it suffices to show measurability. Indeed, by
noting that
$$
U_N(a, b) = \sum_{i = 1}^N \mathbf{1}_{\{U_N(a, b) < N\}}
$$
$U_N(a, b)$ is measurable as $\{U_N(a, b) < N\}$ is a measurable set since $U_N(a, b)$ is a
stopping time.
-/
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
rintro k hk
rw [Finset.mem_Ico] at hk
rw [Set.indicator_of_mem]
· rfl
· exact upperCrossingTime_lt_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab
(Nat.lt_succ_iff.1 hk.2)
have h₂ : ∀ k ∈ Finset.Ico (upcrossingsBefore a b f N ω + 1) (N + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 0 := by
rintro k hk
rw [Finset.mem_Ico, Nat.succ_le_iff] at hk
rw [Set.indicator_of_not_mem]
simp only [Set.mem_setOf_eq, not_lt]
exact (upperCrossingTime_eq_of_upcrossingsBefore_lt hab hk.1).symm.le
rw [Finset.sum_congr rfl h₁, Finset.sum_congr rfl h₂, Finset.sum_const, Finset.sum_const,
smul_eq_mul, mul_one, smul_eq_mul, mul_zero, Nat.card_Ico, Nat.add_succ_sub_one,
add_zero, add_zero]
#align measure_theory.upcrossings_before_eq_sum MeasureTheory.upcrossingsBefore_eq_sum
theorem Adapted.measurable_upcrossingsBefore (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossingsBefore a b f N) := by
have : upcrossingsBefore a b f N = fun ω =>
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
ext ω
exact upcrossingsBefore_eq_sum hab
rw [this]
exact Finset.measurable_sum _ fun i _ => Measurable.indicator measurable_const <|
ℱ.le N _ (hf.isStoppingTime_upperCrossingTime.measurableSet_lt_of_pred N)
#align measure_theory.adapted.measurable_upcrossings_before MeasureTheory.Adapted.measurable_upcrossingsBefore
theorem Adapted.integrable_upcrossingsBefore [IsFiniteMeasure μ] (hf : Adapted ℱ f) (hab : a < b) :
Integrable (fun ω => (upcrossingsBefore a b f N ω : ℝ)) μ :=
haveI : ∀ᵐ ω ∂μ, ‖(upcrossingsBefore a b f N ω : ℝ)‖ ≤ N := by
refine' eventually_of_forall fun ω => _
rw [Real.norm_eq_abs, Nat.abs_cast, Nat.cast_le]
|
refine' upcrossingsBefore_le _ _ hab
|
theorem Adapted.integrable_upcrossingsBefore [IsFiniteMeasure μ] (hf : Adapted ℱ f) (hab : a < b) :
Integrable (fun ω => (upcrossingsBefore a b f N ω : ℝ)) μ :=
haveI : ∀ᵐ ω ∂μ, ‖(upcrossingsBefore a b f N ω : ℝ)‖ ≤ N := by
refine' eventually_of_forall fun ω => _
rw [Real.norm_eq_abs, Nat.abs_cast, Nat.cast_le]
|
Mathlib.Probability.Martingale.Upcrossing.812_0.80Cpy4Qgm9i1y9y
|
theorem Adapted.integrable_upcrossingsBefore [IsFiniteMeasure μ] (hf : Adapted ℱ f) (hab : a < b) :
Integrable (fun ω => (upcrossingsBefore a b f N ω : ℝ)) μ
|
Mathlib_Probability_Martingale_Upcrossing
|
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
⊢ upcrossings a b f ω < ⊤ ↔ ∃ k, ∀ (N : ℕ), upcrossingsBefore a b f N ω ≤ k
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
· rfl
#align measure_theory.crossing_pos_eq MeasureTheory.crossing_pos_eq
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
simp_rw [upcrossingsBefore, (crossing_pos_eq hab).1]
#align measure_theory.upcrossings_before_pos_eq MeasureTheory.upcrossingsBefore_pos_eq
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
simp_rw [sub_zero, ← upcrossingsBefore_pos_eq hab]
rfl
#align measure_theory.mul_integral_upcrossings_before_le_integral_pos_part_aux MeasureTheory.mul_integral_upcrossingsBefore_le_integral_pos_part_aux
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
by_cases hab : a < b
· exact mul_integral_upcrossingsBefore_le_integral_pos_part_aux hf hab
· rw [not_lt, ← sub_nonpos] at hab
exact le_trans (mul_nonpos_of_nonpos_of_nonneg hab (integral_nonneg fun ω => Nat.cast_nonneg _))
(integral_nonneg fun ω => LatticeOrderedGroup.pos_nonneg _)
#align measure_theory.submartingale.mul_integral_upcrossings_before_le_integral_pos_part MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part
/-!
### Variant of the upcrossing estimate
Now, we would like to prove a variant of the upcrossing estimate obtained by taking the supremum
over $N$ of the original upcrossing estimate. Namely, we want the inequality
$$
(b - a) \sup_N \mathbb{E}[U_N(a, b)] \le \sup_N \mathbb{E}[f_N].
$$
This inequality is central for the martingale convergence theorem as it provides a uniform bound
for the upcrossings.
We note that on top of taking the supremum on both sides of the inequality, we had also used
the monotone convergence theorem on the left hand side to take the supremum outside of the
integral. To do this, we need to make sure $U_N(a, b)$ is measurable and integrable. Integrability
is easy to check as $U_N(a, b) ≤ N$ and so it suffices to show measurability. Indeed, by
noting that
$$
U_N(a, b) = \sum_{i = 1}^N \mathbf{1}_{\{U_N(a, b) < N\}}
$$
$U_N(a, b)$ is measurable as $\{U_N(a, b) < N\}$ is a measurable set since $U_N(a, b)$ is a
stopping time.
-/
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
rintro k hk
rw [Finset.mem_Ico] at hk
rw [Set.indicator_of_mem]
· rfl
· exact upperCrossingTime_lt_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab
(Nat.lt_succ_iff.1 hk.2)
have h₂ : ∀ k ∈ Finset.Ico (upcrossingsBefore a b f N ω + 1) (N + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 0 := by
rintro k hk
rw [Finset.mem_Ico, Nat.succ_le_iff] at hk
rw [Set.indicator_of_not_mem]
simp only [Set.mem_setOf_eq, not_lt]
exact (upperCrossingTime_eq_of_upcrossingsBefore_lt hab hk.1).symm.le
rw [Finset.sum_congr rfl h₁, Finset.sum_congr rfl h₂, Finset.sum_const, Finset.sum_const,
smul_eq_mul, mul_one, smul_eq_mul, mul_zero, Nat.card_Ico, Nat.add_succ_sub_one,
add_zero, add_zero]
#align measure_theory.upcrossings_before_eq_sum MeasureTheory.upcrossingsBefore_eq_sum
theorem Adapted.measurable_upcrossingsBefore (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossingsBefore a b f N) := by
have : upcrossingsBefore a b f N = fun ω =>
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
ext ω
exact upcrossingsBefore_eq_sum hab
rw [this]
exact Finset.measurable_sum _ fun i _ => Measurable.indicator measurable_const <|
ℱ.le N _ (hf.isStoppingTime_upperCrossingTime.measurableSet_lt_of_pred N)
#align measure_theory.adapted.measurable_upcrossings_before MeasureTheory.Adapted.measurable_upcrossingsBefore
theorem Adapted.integrable_upcrossingsBefore [IsFiniteMeasure μ] (hf : Adapted ℱ f) (hab : a < b) :
Integrable (fun ω => (upcrossingsBefore a b f N ω : ℝ)) μ :=
haveI : ∀ᵐ ω ∂μ, ‖(upcrossingsBefore a b f N ω : ℝ)‖ ≤ N := by
refine' eventually_of_forall fun ω => _
rw [Real.norm_eq_abs, Nat.abs_cast, Nat.cast_le]
refine' upcrossingsBefore_le _ _ hab
⟨Measurable.aestronglyMeasurable (measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)),
hasFiniteIntegral_of_bounded this⟩
#align measure_theory.adapted.integrable_upcrossings_before MeasureTheory.Adapted.integrable_upcrossingsBefore
/-- The number of upcrossings of a realization of a stochastic process (`upcrossings` takes value
in `ℝ≥0∞` and so is allowed to be `∞`). -/
noncomputable def upcrossings [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(ω : Ω) : ℝ≥0∞ :=
⨆ N, (upcrossingsBefore a b f N ω : ℝ≥0∞)
#align measure_theory.upcrossings MeasureTheory.upcrossings
theorem Adapted.measurable_upcrossings (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossings a b f) :=
measurable_iSup fun _ => measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)
#align measure_theory.adapted.measurable_upcrossings MeasureTheory.Adapted.measurable_upcrossings
theorem upcrossings_lt_top_iff :
upcrossings a b f ω < ∞ ↔ ∃ k, ∀ N, upcrossingsBefore a b f N ω ≤ k := by
|
have : upcrossings a b f ω < ∞ ↔ ∃ k : ℝ≥0, upcrossings a b f ω ≤ k := by
constructor
· intro h
lift upcrossings a b f ω to ℝ≥0 using h.ne with r hr
exact ⟨r, le_rfl⟩
· rintro ⟨k, hk⟩
exact lt_of_le_of_lt hk ENNReal.coe_lt_top
|
theorem upcrossings_lt_top_iff :
upcrossings a b f ω < ∞ ↔ ∃ k, ∀ N, upcrossingsBefore a b f N ω ≤ k := by
|
Mathlib.Probability.Martingale.Upcrossing.834_0.80Cpy4Qgm9i1y9y
|
theorem upcrossings_lt_top_iff :
upcrossings a b f ω < ∞ ↔ ∃ k, ∀ N, upcrossingsBefore a b f N ω ≤ k
|
Mathlib_Probability_Martingale_Upcrossing
|
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
⊢ upcrossings a b f ω < ⊤ ↔ ∃ k, upcrossings a b f ω ≤ ↑k
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
· rfl
#align measure_theory.crossing_pos_eq MeasureTheory.crossing_pos_eq
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
simp_rw [upcrossingsBefore, (crossing_pos_eq hab).1]
#align measure_theory.upcrossings_before_pos_eq MeasureTheory.upcrossingsBefore_pos_eq
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
simp_rw [sub_zero, ← upcrossingsBefore_pos_eq hab]
rfl
#align measure_theory.mul_integral_upcrossings_before_le_integral_pos_part_aux MeasureTheory.mul_integral_upcrossingsBefore_le_integral_pos_part_aux
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
by_cases hab : a < b
· exact mul_integral_upcrossingsBefore_le_integral_pos_part_aux hf hab
· rw [not_lt, ← sub_nonpos] at hab
exact le_trans (mul_nonpos_of_nonpos_of_nonneg hab (integral_nonneg fun ω => Nat.cast_nonneg _))
(integral_nonneg fun ω => LatticeOrderedGroup.pos_nonneg _)
#align measure_theory.submartingale.mul_integral_upcrossings_before_le_integral_pos_part MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part
/-!
### Variant of the upcrossing estimate
Now, we would like to prove a variant of the upcrossing estimate obtained by taking the supremum
over $N$ of the original upcrossing estimate. Namely, we want the inequality
$$
(b - a) \sup_N \mathbb{E}[U_N(a, b)] \le \sup_N \mathbb{E}[f_N].
$$
This inequality is central for the martingale convergence theorem as it provides a uniform bound
for the upcrossings.
We note that on top of taking the supremum on both sides of the inequality, we had also used
the monotone convergence theorem on the left hand side to take the supremum outside of the
integral. To do this, we need to make sure $U_N(a, b)$ is measurable and integrable. Integrability
is easy to check as $U_N(a, b) ≤ N$ and so it suffices to show measurability. Indeed, by
noting that
$$
U_N(a, b) = \sum_{i = 1}^N \mathbf{1}_{\{U_N(a, b) < N\}}
$$
$U_N(a, b)$ is measurable as $\{U_N(a, b) < N\}$ is a measurable set since $U_N(a, b)$ is a
stopping time.
-/
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
rintro k hk
rw [Finset.mem_Ico] at hk
rw [Set.indicator_of_mem]
· rfl
· exact upperCrossingTime_lt_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab
(Nat.lt_succ_iff.1 hk.2)
have h₂ : ∀ k ∈ Finset.Ico (upcrossingsBefore a b f N ω + 1) (N + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 0 := by
rintro k hk
rw [Finset.mem_Ico, Nat.succ_le_iff] at hk
rw [Set.indicator_of_not_mem]
simp only [Set.mem_setOf_eq, not_lt]
exact (upperCrossingTime_eq_of_upcrossingsBefore_lt hab hk.1).symm.le
rw [Finset.sum_congr rfl h₁, Finset.sum_congr rfl h₂, Finset.sum_const, Finset.sum_const,
smul_eq_mul, mul_one, smul_eq_mul, mul_zero, Nat.card_Ico, Nat.add_succ_sub_one,
add_zero, add_zero]
#align measure_theory.upcrossings_before_eq_sum MeasureTheory.upcrossingsBefore_eq_sum
theorem Adapted.measurable_upcrossingsBefore (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossingsBefore a b f N) := by
have : upcrossingsBefore a b f N = fun ω =>
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
ext ω
exact upcrossingsBefore_eq_sum hab
rw [this]
exact Finset.measurable_sum _ fun i _ => Measurable.indicator measurable_const <|
ℱ.le N _ (hf.isStoppingTime_upperCrossingTime.measurableSet_lt_of_pred N)
#align measure_theory.adapted.measurable_upcrossings_before MeasureTheory.Adapted.measurable_upcrossingsBefore
theorem Adapted.integrable_upcrossingsBefore [IsFiniteMeasure μ] (hf : Adapted ℱ f) (hab : a < b) :
Integrable (fun ω => (upcrossingsBefore a b f N ω : ℝ)) μ :=
haveI : ∀ᵐ ω ∂μ, ‖(upcrossingsBefore a b f N ω : ℝ)‖ ≤ N := by
refine' eventually_of_forall fun ω => _
rw [Real.norm_eq_abs, Nat.abs_cast, Nat.cast_le]
refine' upcrossingsBefore_le _ _ hab
⟨Measurable.aestronglyMeasurable (measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)),
hasFiniteIntegral_of_bounded this⟩
#align measure_theory.adapted.integrable_upcrossings_before MeasureTheory.Adapted.integrable_upcrossingsBefore
/-- The number of upcrossings of a realization of a stochastic process (`upcrossings` takes value
in `ℝ≥0∞` and so is allowed to be `∞`). -/
noncomputable def upcrossings [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(ω : Ω) : ℝ≥0∞ :=
⨆ N, (upcrossingsBefore a b f N ω : ℝ≥0∞)
#align measure_theory.upcrossings MeasureTheory.upcrossings
theorem Adapted.measurable_upcrossings (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossings a b f) :=
measurable_iSup fun _ => measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)
#align measure_theory.adapted.measurable_upcrossings MeasureTheory.Adapted.measurable_upcrossings
theorem upcrossings_lt_top_iff :
upcrossings a b f ω < ∞ ↔ ∃ k, ∀ N, upcrossingsBefore a b f N ω ≤ k := by
have : upcrossings a b f ω < ∞ ↔ ∃ k : ℝ≥0, upcrossings a b f ω ≤ k := by
|
constructor
|
theorem upcrossings_lt_top_iff :
upcrossings a b f ω < ∞ ↔ ∃ k, ∀ N, upcrossingsBefore a b f N ω ≤ k := by
have : upcrossings a b f ω < ∞ ↔ ∃ k : ℝ≥0, upcrossings a b f ω ≤ k := by
|
Mathlib.Probability.Martingale.Upcrossing.834_0.80Cpy4Qgm9i1y9y
|
theorem upcrossings_lt_top_iff :
upcrossings a b f ω < ∞ ↔ ∃ k, ∀ N, upcrossingsBefore a b f N ω ≤ k
|
Mathlib_Probability_Martingale_Upcrossing
|
case mp
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
⊢ upcrossings a b f ω < ⊤ → ∃ k, upcrossings a b f ω ≤ ↑k
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
· rfl
#align measure_theory.crossing_pos_eq MeasureTheory.crossing_pos_eq
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
simp_rw [upcrossingsBefore, (crossing_pos_eq hab).1]
#align measure_theory.upcrossings_before_pos_eq MeasureTheory.upcrossingsBefore_pos_eq
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
simp_rw [sub_zero, ← upcrossingsBefore_pos_eq hab]
rfl
#align measure_theory.mul_integral_upcrossings_before_le_integral_pos_part_aux MeasureTheory.mul_integral_upcrossingsBefore_le_integral_pos_part_aux
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
by_cases hab : a < b
· exact mul_integral_upcrossingsBefore_le_integral_pos_part_aux hf hab
· rw [not_lt, ← sub_nonpos] at hab
exact le_trans (mul_nonpos_of_nonpos_of_nonneg hab (integral_nonneg fun ω => Nat.cast_nonneg _))
(integral_nonneg fun ω => LatticeOrderedGroup.pos_nonneg _)
#align measure_theory.submartingale.mul_integral_upcrossings_before_le_integral_pos_part MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part
/-!
### Variant of the upcrossing estimate
Now, we would like to prove a variant of the upcrossing estimate obtained by taking the supremum
over $N$ of the original upcrossing estimate. Namely, we want the inequality
$$
(b - a) \sup_N \mathbb{E}[U_N(a, b)] \le \sup_N \mathbb{E}[f_N].
$$
This inequality is central for the martingale convergence theorem as it provides a uniform bound
for the upcrossings.
We note that on top of taking the supremum on both sides of the inequality, we had also used
the monotone convergence theorem on the left hand side to take the supremum outside of the
integral. To do this, we need to make sure $U_N(a, b)$ is measurable and integrable. Integrability
is easy to check as $U_N(a, b) ≤ N$ and so it suffices to show measurability. Indeed, by
noting that
$$
U_N(a, b) = \sum_{i = 1}^N \mathbf{1}_{\{U_N(a, b) < N\}}
$$
$U_N(a, b)$ is measurable as $\{U_N(a, b) < N\}$ is a measurable set since $U_N(a, b)$ is a
stopping time.
-/
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
rintro k hk
rw [Finset.mem_Ico] at hk
rw [Set.indicator_of_mem]
· rfl
· exact upperCrossingTime_lt_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab
(Nat.lt_succ_iff.1 hk.2)
have h₂ : ∀ k ∈ Finset.Ico (upcrossingsBefore a b f N ω + 1) (N + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 0 := by
rintro k hk
rw [Finset.mem_Ico, Nat.succ_le_iff] at hk
rw [Set.indicator_of_not_mem]
simp only [Set.mem_setOf_eq, not_lt]
exact (upperCrossingTime_eq_of_upcrossingsBefore_lt hab hk.1).symm.le
rw [Finset.sum_congr rfl h₁, Finset.sum_congr rfl h₂, Finset.sum_const, Finset.sum_const,
smul_eq_mul, mul_one, smul_eq_mul, mul_zero, Nat.card_Ico, Nat.add_succ_sub_one,
add_zero, add_zero]
#align measure_theory.upcrossings_before_eq_sum MeasureTheory.upcrossingsBefore_eq_sum
theorem Adapted.measurable_upcrossingsBefore (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossingsBefore a b f N) := by
have : upcrossingsBefore a b f N = fun ω =>
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
ext ω
exact upcrossingsBefore_eq_sum hab
rw [this]
exact Finset.measurable_sum _ fun i _ => Measurable.indicator measurable_const <|
ℱ.le N _ (hf.isStoppingTime_upperCrossingTime.measurableSet_lt_of_pred N)
#align measure_theory.adapted.measurable_upcrossings_before MeasureTheory.Adapted.measurable_upcrossingsBefore
theorem Adapted.integrable_upcrossingsBefore [IsFiniteMeasure μ] (hf : Adapted ℱ f) (hab : a < b) :
Integrable (fun ω => (upcrossingsBefore a b f N ω : ℝ)) μ :=
haveI : ∀ᵐ ω ∂μ, ‖(upcrossingsBefore a b f N ω : ℝ)‖ ≤ N := by
refine' eventually_of_forall fun ω => _
rw [Real.norm_eq_abs, Nat.abs_cast, Nat.cast_le]
refine' upcrossingsBefore_le _ _ hab
⟨Measurable.aestronglyMeasurable (measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)),
hasFiniteIntegral_of_bounded this⟩
#align measure_theory.adapted.integrable_upcrossings_before MeasureTheory.Adapted.integrable_upcrossingsBefore
/-- The number of upcrossings of a realization of a stochastic process (`upcrossings` takes value
in `ℝ≥0∞` and so is allowed to be `∞`). -/
noncomputable def upcrossings [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(ω : Ω) : ℝ≥0∞ :=
⨆ N, (upcrossingsBefore a b f N ω : ℝ≥0∞)
#align measure_theory.upcrossings MeasureTheory.upcrossings
theorem Adapted.measurable_upcrossings (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossings a b f) :=
measurable_iSup fun _ => measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)
#align measure_theory.adapted.measurable_upcrossings MeasureTheory.Adapted.measurable_upcrossings
theorem upcrossings_lt_top_iff :
upcrossings a b f ω < ∞ ↔ ∃ k, ∀ N, upcrossingsBefore a b f N ω ≤ k := by
have : upcrossings a b f ω < ∞ ↔ ∃ k : ℝ≥0, upcrossings a b f ω ≤ k := by
constructor
·
|
intro h
|
theorem upcrossings_lt_top_iff :
upcrossings a b f ω < ∞ ↔ ∃ k, ∀ N, upcrossingsBefore a b f N ω ≤ k := by
have : upcrossings a b f ω < ∞ ↔ ∃ k : ℝ≥0, upcrossings a b f ω ≤ k := by
constructor
·
|
Mathlib.Probability.Martingale.Upcrossing.834_0.80Cpy4Qgm9i1y9y
|
theorem upcrossings_lt_top_iff :
upcrossings a b f ω < ∞ ↔ ∃ k, ∀ N, upcrossingsBefore a b f N ω ≤ k
|
Mathlib_Probability_Martingale_Upcrossing
|
case mp
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
h : upcrossings a b f ω < ⊤
⊢ ∃ k, upcrossings a b f ω ≤ ↑k
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
· rfl
#align measure_theory.crossing_pos_eq MeasureTheory.crossing_pos_eq
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
simp_rw [upcrossingsBefore, (crossing_pos_eq hab).1]
#align measure_theory.upcrossings_before_pos_eq MeasureTheory.upcrossingsBefore_pos_eq
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
simp_rw [sub_zero, ← upcrossingsBefore_pos_eq hab]
rfl
#align measure_theory.mul_integral_upcrossings_before_le_integral_pos_part_aux MeasureTheory.mul_integral_upcrossingsBefore_le_integral_pos_part_aux
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
by_cases hab : a < b
· exact mul_integral_upcrossingsBefore_le_integral_pos_part_aux hf hab
· rw [not_lt, ← sub_nonpos] at hab
exact le_trans (mul_nonpos_of_nonpos_of_nonneg hab (integral_nonneg fun ω => Nat.cast_nonneg _))
(integral_nonneg fun ω => LatticeOrderedGroup.pos_nonneg _)
#align measure_theory.submartingale.mul_integral_upcrossings_before_le_integral_pos_part MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part
/-!
### Variant of the upcrossing estimate
Now, we would like to prove a variant of the upcrossing estimate obtained by taking the supremum
over $N$ of the original upcrossing estimate. Namely, we want the inequality
$$
(b - a) \sup_N \mathbb{E}[U_N(a, b)] \le \sup_N \mathbb{E}[f_N].
$$
This inequality is central for the martingale convergence theorem as it provides a uniform bound
for the upcrossings.
We note that on top of taking the supremum on both sides of the inequality, we had also used
the monotone convergence theorem on the left hand side to take the supremum outside of the
integral. To do this, we need to make sure $U_N(a, b)$ is measurable and integrable. Integrability
is easy to check as $U_N(a, b) ≤ N$ and so it suffices to show measurability. Indeed, by
noting that
$$
U_N(a, b) = \sum_{i = 1}^N \mathbf{1}_{\{U_N(a, b) < N\}}
$$
$U_N(a, b)$ is measurable as $\{U_N(a, b) < N\}$ is a measurable set since $U_N(a, b)$ is a
stopping time.
-/
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
rintro k hk
rw [Finset.mem_Ico] at hk
rw [Set.indicator_of_mem]
· rfl
· exact upperCrossingTime_lt_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab
(Nat.lt_succ_iff.1 hk.2)
have h₂ : ∀ k ∈ Finset.Ico (upcrossingsBefore a b f N ω + 1) (N + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 0 := by
rintro k hk
rw [Finset.mem_Ico, Nat.succ_le_iff] at hk
rw [Set.indicator_of_not_mem]
simp only [Set.mem_setOf_eq, not_lt]
exact (upperCrossingTime_eq_of_upcrossingsBefore_lt hab hk.1).symm.le
rw [Finset.sum_congr rfl h₁, Finset.sum_congr rfl h₂, Finset.sum_const, Finset.sum_const,
smul_eq_mul, mul_one, smul_eq_mul, mul_zero, Nat.card_Ico, Nat.add_succ_sub_one,
add_zero, add_zero]
#align measure_theory.upcrossings_before_eq_sum MeasureTheory.upcrossingsBefore_eq_sum
theorem Adapted.measurable_upcrossingsBefore (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossingsBefore a b f N) := by
have : upcrossingsBefore a b f N = fun ω =>
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
ext ω
exact upcrossingsBefore_eq_sum hab
rw [this]
exact Finset.measurable_sum _ fun i _ => Measurable.indicator measurable_const <|
ℱ.le N _ (hf.isStoppingTime_upperCrossingTime.measurableSet_lt_of_pred N)
#align measure_theory.adapted.measurable_upcrossings_before MeasureTheory.Adapted.measurable_upcrossingsBefore
theorem Adapted.integrable_upcrossingsBefore [IsFiniteMeasure μ] (hf : Adapted ℱ f) (hab : a < b) :
Integrable (fun ω => (upcrossingsBefore a b f N ω : ℝ)) μ :=
haveI : ∀ᵐ ω ∂μ, ‖(upcrossingsBefore a b f N ω : ℝ)‖ ≤ N := by
refine' eventually_of_forall fun ω => _
rw [Real.norm_eq_abs, Nat.abs_cast, Nat.cast_le]
refine' upcrossingsBefore_le _ _ hab
⟨Measurable.aestronglyMeasurable (measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)),
hasFiniteIntegral_of_bounded this⟩
#align measure_theory.adapted.integrable_upcrossings_before MeasureTheory.Adapted.integrable_upcrossingsBefore
/-- The number of upcrossings of a realization of a stochastic process (`upcrossings` takes value
in `ℝ≥0∞` and so is allowed to be `∞`). -/
noncomputable def upcrossings [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(ω : Ω) : ℝ≥0∞ :=
⨆ N, (upcrossingsBefore a b f N ω : ℝ≥0∞)
#align measure_theory.upcrossings MeasureTheory.upcrossings
theorem Adapted.measurable_upcrossings (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossings a b f) :=
measurable_iSup fun _ => measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)
#align measure_theory.adapted.measurable_upcrossings MeasureTheory.Adapted.measurable_upcrossings
theorem upcrossings_lt_top_iff :
upcrossings a b f ω < ∞ ↔ ∃ k, ∀ N, upcrossingsBefore a b f N ω ≤ k := by
have : upcrossings a b f ω < ∞ ↔ ∃ k : ℝ≥0, upcrossings a b f ω ≤ k := by
constructor
· intro h
|
lift upcrossings a b f ω to ℝ≥0 using h.ne with r hr
|
theorem upcrossings_lt_top_iff :
upcrossings a b f ω < ∞ ↔ ∃ k, ∀ N, upcrossingsBefore a b f N ω ≤ k := by
have : upcrossings a b f ω < ∞ ↔ ∃ k : ℝ≥0, upcrossings a b f ω ≤ k := by
constructor
· intro h
|
Mathlib.Probability.Martingale.Upcrossing.834_0.80Cpy4Qgm9i1y9y
|
theorem upcrossings_lt_top_iff :
upcrossings a b f ω < ∞ ↔ ∃ k, ∀ N, upcrossingsBefore a b f N ω ≤ k
|
Mathlib_Probability_Martingale_Upcrossing
|
case mp.intro
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
r : ℝ≥0
hr : ↑r = upcrossings a b f ω
upcrossings_lt_top_iff✝ upcrossings_lt_top_iff : ↑r < ⊤ ↔ ∃ k, ∀ (N : ℕ), upcrossingsBefore a b f N ω ≤ k
h✝ h : ↑r < ⊤
⊢ ∃ k, ↑r ≤ ↑k
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
· rfl
#align measure_theory.crossing_pos_eq MeasureTheory.crossing_pos_eq
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
simp_rw [upcrossingsBefore, (crossing_pos_eq hab).1]
#align measure_theory.upcrossings_before_pos_eq MeasureTheory.upcrossingsBefore_pos_eq
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
simp_rw [sub_zero, ← upcrossingsBefore_pos_eq hab]
rfl
#align measure_theory.mul_integral_upcrossings_before_le_integral_pos_part_aux MeasureTheory.mul_integral_upcrossingsBefore_le_integral_pos_part_aux
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
by_cases hab : a < b
· exact mul_integral_upcrossingsBefore_le_integral_pos_part_aux hf hab
· rw [not_lt, ← sub_nonpos] at hab
exact le_trans (mul_nonpos_of_nonpos_of_nonneg hab (integral_nonneg fun ω => Nat.cast_nonneg _))
(integral_nonneg fun ω => LatticeOrderedGroup.pos_nonneg _)
#align measure_theory.submartingale.mul_integral_upcrossings_before_le_integral_pos_part MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part
/-!
### Variant of the upcrossing estimate
Now, we would like to prove a variant of the upcrossing estimate obtained by taking the supremum
over $N$ of the original upcrossing estimate. Namely, we want the inequality
$$
(b - a) \sup_N \mathbb{E}[U_N(a, b)] \le \sup_N \mathbb{E}[f_N].
$$
This inequality is central for the martingale convergence theorem as it provides a uniform bound
for the upcrossings.
We note that on top of taking the supremum on both sides of the inequality, we had also used
the monotone convergence theorem on the left hand side to take the supremum outside of the
integral. To do this, we need to make sure $U_N(a, b)$ is measurable and integrable. Integrability
is easy to check as $U_N(a, b) ≤ N$ and so it suffices to show measurability. Indeed, by
noting that
$$
U_N(a, b) = \sum_{i = 1}^N \mathbf{1}_{\{U_N(a, b) < N\}}
$$
$U_N(a, b)$ is measurable as $\{U_N(a, b) < N\}$ is a measurable set since $U_N(a, b)$ is a
stopping time.
-/
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
rintro k hk
rw [Finset.mem_Ico] at hk
rw [Set.indicator_of_mem]
· rfl
· exact upperCrossingTime_lt_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab
(Nat.lt_succ_iff.1 hk.2)
have h₂ : ∀ k ∈ Finset.Ico (upcrossingsBefore a b f N ω + 1) (N + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 0 := by
rintro k hk
rw [Finset.mem_Ico, Nat.succ_le_iff] at hk
rw [Set.indicator_of_not_mem]
simp only [Set.mem_setOf_eq, not_lt]
exact (upperCrossingTime_eq_of_upcrossingsBefore_lt hab hk.1).symm.le
rw [Finset.sum_congr rfl h₁, Finset.sum_congr rfl h₂, Finset.sum_const, Finset.sum_const,
smul_eq_mul, mul_one, smul_eq_mul, mul_zero, Nat.card_Ico, Nat.add_succ_sub_one,
add_zero, add_zero]
#align measure_theory.upcrossings_before_eq_sum MeasureTheory.upcrossingsBefore_eq_sum
theorem Adapted.measurable_upcrossingsBefore (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossingsBefore a b f N) := by
have : upcrossingsBefore a b f N = fun ω =>
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
ext ω
exact upcrossingsBefore_eq_sum hab
rw [this]
exact Finset.measurable_sum _ fun i _ => Measurable.indicator measurable_const <|
ℱ.le N _ (hf.isStoppingTime_upperCrossingTime.measurableSet_lt_of_pred N)
#align measure_theory.adapted.measurable_upcrossings_before MeasureTheory.Adapted.measurable_upcrossingsBefore
theorem Adapted.integrable_upcrossingsBefore [IsFiniteMeasure μ] (hf : Adapted ℱ f) (hab : a < b) :
Integrable (fun ω => (upcrossingsBefore a b f N ω : ℝ)) μ :=
haveI : ∀ᵐ ω ∂μ, ‖(upcrossingsBefore a b f N ω : ℝ)‖ ≤ N := by
refine' eventually_of_forall fun ω => _
rw [Real.norm_eq_abs, Nat.abs_cast, Nat.cast_le]
refine' upcrossingsBefore_le _ _ hab
⟨Measurable.aestronglyMeasurable (measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)),
hasFiniteIntegral_of_bounded this⟩
#align measure_theory.adapted.integrable_upcrossings_before MeasureTheory.Adapted.integrable_upcrossingsBefore
/-- The number of upcrossings of a realization of a stochastic process (`upcrossings` takes value
in `ℝ≥0∞` and so is allowed to be `∞`). -/
noncomputable def upcrossings [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(ω : Ω) : ℝ≥0∞ :=
⨆ N, (upcrossingsBefore a b f N ω : ℝ≥0∞)
#align measure_theory.upcrossings MeasureTheory.upcrossings
theorem Adapted.measurable_upcrossings (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossings a b f) :=
measurable_iSup fun _ => measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)
#align measure_theory.adapted.measurable_upcrossings MeasureTheory.Adapted.measurable_upcrossings
theorem upcrossings_lt_top_iff :
upcrossings a b f ω < ∞ ↔ ∃ k, ∀ N, upcrossingsBefore a b f N ω ≤ k := by
have : upcrossings a b f ω < ∞ ↔ ∃ k : ℝ≥0, upcrossings a b f ω ≤ k := by
constructor
· intro h
lift upcrossings a b f ω to ℝ≥0 using h.ne with r hr
|
exact ⟨r, le_rfl⟩
|
theorem upcrossings_lt_top_iff :
upcrossings a b f ω < ∞ ↔ ∃ k, ∀ N, upcrossingsBefore a b f N ω ≤ k := by
have : upcrossings a b f ω < ∞ ↔ ∃ k : ℝ≥0, upcrossings a b f ω ≤ k := by
constructor
· intro h
lift upcrossings a b f ω to ℝ≥0 using h.ne with r hr
|
Mathlib.Probability.Martingale.Upcrossing.834_0.80Cpy4Qgm9i1y9y
|
theorem upcrossings_lt_top_iff :
upcrossings a b f ω < ∞ ↔ ∃ k, ∀ N, upcrossingsBefore a b f N ω ≤ k
|
Mathlib_Probability_Martingale_Upcrossing
|
case mpr
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
⊢ (∃ k, upcrossings a b f ω ≤ ↑k) → upcrossings a b f ω < ⊤
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
· rfl
#align measure_theory.crossing_pos_eq MeasureTheory.crossing_pos_eq
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
simp_rw [upcrossingsBefore, (crossing_pos_eq hab).1]
#align measure_theory.upcrossings_before_pos_eq MeasureTheory.upcrossingsBefore_pos_eq
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
simp_rw [sub_zero, ← upcrossingsBefore_pos_eq hab]
rfl
#align measure_theory.mul_integral_upcrossings_before_le_integral_pos_part_aux MeasureTheory.mul_integral_upcrossingsBefore_le_integral_pos_part_aux
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
by_cases hab : a < b
· exact mul_integral_upcrossingsBefore_le_integral_pos_part_aux hf hab
· rw [not_lt, ← sub_nonpos] at hab
exact le_trans (mul_nonpos_of_nonpos_of_nonneg hab (integral_nonneg fun ω => Nat.cast_nonneg _))
(integral_nonneg fun ω => LatticeOrderedGroup.pos_nonneg _)
#align measure_theory.submartingale.mul_integral_upcrossings_before_le_integral_pos_part MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part
/-!
### Variant of the upcrossing estimate
Now, we would like to prove a variant of the upcrossing estimate obtained by taking the supremum
over $N$ of the original upcrossing estimate. Namely, we want the inequality
$$
(b - a) \sup_N \mathbb{E}[U_N(a, b)] \le \sup_N \mathbb{E}[f_N].
$$
This inequality is central for the martingale convergence theorem as it provides a uniform bound
for the upcrossings.
We note that on top of taking the supremum on both sides of the inequality, we had also used
the monotone convergence theorem on the left hand side to take the supremum outside of the
integral. To do this, we need to make sure $U_N(a, b)$ is measurable and integrable. Integrability
is easy to check as $U_N(a, b) ≤ N$ and so it suffices to show measurability. Indeed, by
noting that
$$
U_N(a, b) = \sum_{i = 1}^N \mathbf{1}_{\{U_N(a, b) < N\}}
$$
$U_N(a, b)$ is measurable as $\{U_N(a, b) < N\}$ is a measurable set since $U_N(a, b)$ is a
stopping time.
-/
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
rintro k hk
rw [Finset.mem_Ico] at hk
rw [Set.indicator_of_mem]
· rfl
· exact upperCrossingTime_lt_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab
(Nat.lt_succ_iff.1 hk.2)
have h₂ : ∀ k ∈ Finset.Ico (upcrossingsBefore a b f N ω + 1) (N + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 0 := by
rintro k hk
rw [Finset.mem_Ico, Nat.succ_le_iff] at hk
rw [Set.indicator_of_not_mem]
simp only [Set.mem_setOf_eq, not_lt]
exact (upperCrossingTime_eq_of_upcrossingsBefore_lt hab hk.1).symm.le
rw [Finset.sum_congr rfl h₁, Finset.sum_congr rfl h₂, Finset.sum_const, Finset.sum_const,
smul_eq_mul, mul_one, smul_eq_mul, mul_zero, Nat.card_Ico, Nat.add_succ_sub_one,
add_zero, add_zero]
#align measure_theory.upcrossings_before_eq_sum MeasureTheory.upcrossingsBefore_eq_sum
theorem Adapted.measurable_upcrossingsBefore (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossingsBefore a b f N) := by
have : upcrossingsBefore a b f N = fun ω =>
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
ext ω
exact upcrossingsBefore_eq_sum hab
rw [this]
exact Finset.measurable_sum _ fun i _ => Measurable.indicator measurable_const <|
ℱ.le N _ (hf.isStoppingTime_upperCrossingTime.measurableSet_lt_of_pred N)
#align measure_theory.adapted.measurable_upcrossings_before MeasureTheory.Adapted.measurable_upcrossingsBefore
theorem Adapted.integrable_upcrossingsBefore [IsFiniteMeasure μ] (hf : Adapted ℱ f) (hab : a < b) :
Integrable (fun ω => (upcrossingsBefore a b f N ω : ℝ)) μ :=
haveI : ∀ᵐ ω ∂μ, ‖(upcrossingsBefore a b f N ω : ℝ)‖ ≤ N := by
refine' eventually_of_forall fun ω => _
rw [Real.norm_eq_abs, Nat.abs_cast, Nat.cast_le]
refine' upcrossingsBefore_le _ _ hab
⟨Measurable.aestronglyMeasurable (measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)),
hasFiniteIntegral_of_bounded this⟩
#align measure_theory.adapted.integrable_upcrossings_before MeasureTheory.Adapted.integrable_upcrossingsBefore
/-- The number of upcrossings of a realization of a stochastic process (`upcrossings` takes value
in `ℝ≥0∞` and so is allowed to be `∞`). -/
noncomputable def upcrossings [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(ω : Ω) : ℝ≥0∞ :=
⨆ N, (upcrossingsBefore a b f N ω : ℝ≥0∞)
#align measure_theory.upcrossings MeasureTheory.upcrossings
theorem Adapted.measurable_upcrossings (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossings a b f) :=
measurable_iSup fun _ => measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)
#align measure_theory.adapted.measurable_upcrossings MeasureTheory.Adapted.measurable_upcrossings
theorem upcrossings_lt_top_iff :
upcrossings a b f ω < ∞ ↔ ∃ k, ∀ N, upcrossingsBefore a b f N ω ≤ k := by
have : upcrossings a b f ω < ∞ ↔ ∃ k : ℝ≥0, upcrossings a b f ω ≤ k := by
constructor
· intro h
lift upcrossings a b f ω to ℝ≥0 using h.ne with r hr
exact ⟨r, le_rfl⟩
·
|
rintro ⟨k, hk⟩
|
theorem upcrossings_lt_top_iff :
upcrossings a b f ω < ∞ ↔ ∃ k, ∀ N, upcrossingsBefore a b f N ω ≤ k := by
have : upcrossings a b f ω < ∞ ↔ ∃ k : ℝ≥0, upcrossings a b f ω ≤ k := by
constructor
· intro h
lift upcrossings a b f ω to ℝ≥0 using h.ne with r hr
exact ⟨r, le_rfl⟩
·
|
Mathlib.Probability.Martingale.Upcrossing.834_0.80Cpy4Qgm9i1y9y
|
theorem upcrossings_lt_top_iff :
upcrossings a b f ω < ∞ ↔ ∃ k, ∀ N, upcrossingsBefore a b f N ω ≤ k
|
Mathlib_Probability_Martingale_Upcrossing
|
case mpr.intro
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
k : ℝ≥0
hk : upcrossings a b f ω ≤ ↑k
⊢ upcrossings a b f ω < ⊤
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
· rfl
#align measure_theory.crossing_pos_eq MeasureTheory.crossing_pos_eq
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
simp_rw [upcrossingsBefore, (crossing_pos_eq hab).1]
#align measure_theory.upcrossings_before_pos_eq MeasureTheory.upcrossingsBefore_pos_eq
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
simp_rw [sub_zero, ← upcrossingsBefore_pos_eq hab]
rfl
#align measure_theory.mul_integral_upcrossings_before_le_integral_pos_part_aux MeasureTheory.mul_integral_upcrossingsBefore_le_integral_pos_part_aux
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
by_cases hab : a < b
· exact mul_integral_upcrossingsBefore_le_integral_pos_part_aux hf hab
· rw [not_lt, ← sub_nonpos] at hab
exact le_trans (mul_nonpos_of_nonpos_of_nonneg hab (integral_nonneg fun ω => Nat.cast_nonneg _))
(integral_nonneg fun ω => LatticeOrderedGroup.pos_nonneg _)
#align measure_theory.submartingale.mul_integral_upcrossings_before_le_integral_pos_part MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part
/-!
### Variant of the upcrossing estimate
Now, we would like to prove a variant of the upcrossing estimate obtained by taking the supremum
over $N$ of the original upcrossing estimate. Namely, we want the inequality
$$
(b - a) \sup_N \mathbb{E}[U_N(a, b)] \le \sup_N \mathbb{E}[f_N].
$$
This inequality is central for the martingale convergence theorem as it provides a uniform bound
for the upcrossings.
We note that on top of taking the supremum on both sides of the inequality, we had also used
the monotone convergence theorem on the left hand side to take the supremum outside of the
integral. To do this, we need to make sure $U_N(a, b)$ is measurable and integrable. Integrability
is easy to check as $U_N(a, b) ≤ N$ and so it suffices to show measurability. Indeed, by
noting that
$$
U_N(a, b) = \sum_{i = 1}^N \mathbf{1}_{\{U_N(a, b) < N\}}
$$
$U_N(a, b)$ is measurable as $\{U_N(a, b) < N\}$ is a measurable set since $U_N(a, b)$ is a
stopping time.
-/
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
rintro k hk
rw [Finset.mem_Ico] at hk
rw [Set.indicator_of_mem]
· rfl
· exact upperCrossingTime_lt_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab
(Nat.lt_succ_iff.1 hk.2)
have h₂ : ∀ k ∈ Finset.Ico (upcrossingsBefore a b f N ω + 1) (N + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 0 := by
rintro k hk
rw [Finset.mem_Ico, Nat.succ_le_iff] at hk
rw [Set.indicator_of_not_mem]
simp only [Set.mem_setOf_eq, not_lt]
exact (upperCrossingTime_eq_of_upcrossingsBefore_lt hab hk.1).symm.le
rw [Finset.sum_congr rfl h₁, Finset.sum_congr rfl h₂, Finset.sum_const, Finset.sum_const,
smul_eq_mul, mul_one, smul_eq_mul, mul_zero, Nat.card_Ico, Nat.add_succ_sub_one,
add_zero, add_zero]
#align measure_theory.upcrossings_before_eq_sum MeasureTheory.upcrossingsBefore_eq_sum
theorem Adapted.measurable_upcrossingsBefore (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossingsBefore a b f N) := by
have : upcrossingsBefore a b f N = fun ω =>
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
ext ω
exact upcrossingsBefore_eq_sum hab
rw [this]
exact Finset.measurable_sum _ fun i _ => Measurable.indicator measurable_const <|
ℱ.le N _ (hf.isStoppingTime_upperCrossingTime.measurableSet_lt_of_pred N)
#align measure_theory.adapted.measurable_upcrossings_before MeasureTheory.Adapted.measurable_upcrossingsBefore
theorem Adapted.integrable_upcrossingsBefore [IsFiniteMeasure μ] (hf : Adapted ℱ f) (hab : a < b) :
Integrable (fun ω => (upcrossingsBefore a b f N ω : ℝ)) μ :=
haveI : ∀ᵐ ω ∂μ, ‖(upcrossingsBefore a b f N ω : ℝ)‖ ≤ N := by
refine' eventually_of_forall fun ω => _
rw [Real.norm_eq_abs, Nat.abs_cast, Nat.cast_le]
refine' upcrossingsBefore_le _ _ hab
⟨Measurable.aestronglyMeasurable (measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)),
hasFiniteIntegral_of_bounded this⟩
#align measure_theory.adapted.integrable_upcrossings_before MeasureTheory.Adapted.integrable_upcrossingsBefore
/-- The number of upcrossings of a realization of a stochastic process (`upcrossings` takes value
in `ℝ≥0∞` and so is allowed to be `∞`). -/
noncomputable def upcrossings [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(ω : Ω) : ℝ≥0∞ :=
⨆ N, (upcrossingsBefore a b f N ω : ℝ≥0∞)
#align measure_theory.upcrossings MeasureTheory.upcrossings
theorem Adapted.measurable_upcrossings (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossings a b f) :=
measurable_iSup fun _ => measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)
#align measure_theory.adapted.measurable_upcrossings MeasureTheory.Adapted.measurable_upcrossings
theorem upcrossings_lt_top_iff :
upcrossings a b f ω < ∞ ↔ ∃ k, ∀ N, upcrossingsBefore a b f N ω ≤ k := by
have : upcrossings a b f ω < ∞ ↔ ∃ k : ℝ≥0, upcrossings a b f ω ≤ k := by
constructor
· intro h
lift upcrossings a b f ω to ℝ≥0 using h.ne with r hr
exact ⟨r, le_rfl⟩
· rintro ⟨k, hk⟩
|
exact lt_of_le_of_lt hk ENNReal.coe_lt_top
|
theorem upcrossings_lt_top_iff :
upcrossings a b f ω < ∞ ↔ ∃ k, ∀ N, upcrossingsBefore a b f N ω ≤ k := by
have : upcrossings a b f ω < ∞ ↔ ∃ k : ℝ≥0, upcrossings a b f ω ≤ k := by
constructor
· intro h
lift upcrossings a b f ω to ℝ≥0 using h.ne with r hr
exact ⟨r, le_rfl⟩
· rintro ⟨k, hk⟩
|
Mathlib.Probability.Martingale.Upcrossing.834_0.80Cpy4Qgm9i1y9y
|
theorem upcrossings_lt_top_iff :
upcrossings a b f ω < ∞ ↔ ∃ k, ∀ N, upcrossingsBefore a b f N ω ≤ k
|
Mathlib_Probability_Martingale_Upcrossing
|
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
this : upcrossings a b f ω < ⊤ ↔ ∃ k, upcrossings a b f ω ≤ ↑k
⊢ upcrossings a b f ω < ⊤ ↔ ∃ k, ∀ (N : ℕ), upcrossingsBefore a b f N ω ≤ k
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
· rfl
#align measure_theory.crossing_pos_eq MeasureTheory.crossing_pos_eq
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
simp_rw [upcrossingsBefore, (crossing_pos_eq hab).1]
#align measure_theory.upcrossings_before_pos_eq MeasureTheory.upcrossingsBefore_pos_eq
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
simp_rw [sub_zero, ← upcrossingsBefore_pos_eq hab]
rfl
#align measure_theory.mul_integral_upcrossings_before_le_integral_pos_part_aux MeasureTheory.mul_integral_upcrossingsBefore_le_integral_pos_part_aux
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
by_cases hab : a < b
· exact mul_integral_upcrossingsBefore_le_integral_pos_part_aux hf hab
· rw [not_lt, ← sub_nonpos] at hab
exact le_trans (mul_nonpos_of_nonpos_of_nonneg hab (integral_nonneg fun ω => Nat.cast_nonneg _))
(integral_nonneg fun ω => LatticeOrderedGroup.pos_nonneg _)
#align measure_theory.submartingale.mul_integral_upcrossings_before_le_integral_pos_part MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part
/-!
### Variant of the upcrossing estimate
Now, we would like to prove a variant of the upcrossing estimate obtained by taking the supremum
over $N$ of the original upcrossing estimate. Namely, we want the inequality
$$
(b - a) \sup_N \mathbb{E}[U_N(a, b)] \le \sup_N \mathbb{E}[f_N].
$$
This inequality is central for the martingale convergence theorem as it provides a uniform bound
for the upcrossings.
We note that on top of taking the supremum on both sides of the inequality, we had also used
the monotone convergence theorem on the left hand side to take the supremum outside of the
integral. To do this, we need to make sure $U_N(a, b)$ is measurable and integrable. Integrability
is easy to check as $U_N(a, b) ≤ N$ and so it suffices to show measurability. Indeed, by
noting that
$$
U_N(a, b) = \sum_{i = 1}^N \mathbf{1}_{\{U_N(a, b) < N\}}
$$
$U_N(a, b)$ is measurable as $\{U_N(a, b) < N\}$ is a measurable set since $U_N(a, b)$ is a
stopping time.
-/
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
rintro k hk
rw [Finset.mem_Ico] at hk
rw [Set.indicator_of_mem]
· rfl
· exact upperCrossingTime_lt_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab
(Nat.lt_succ_iff.1 hk.2)
have h₂ : ∀ k ∈ Finset.Ico (upcrossingsBefore a b f N ω + 1) (N + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 0 := by
rintro k hk
rw [Finset.mem_Ico, Nat.succ_le_iff] at hk
rw [Set.indicator_of_not_mem]
simp only [Set.mem_setOf_eq, not_lt]
exact (upperCrossingTime_eq_of_upcrossingsBefore_lt hab hk.1).symm.le
rw [Finset.sum_congr rfl h₁, Finset.sum_congr rfl h₂, Finset.sum_const, Finset.sum_const,
smul_eq_mul, mul_one, smul_eq_mul, mul_zero, Nat.card_Ico, Nat.add_succ_sub_one,
add_zero, add_zero]
#align measure_theory.upcrossings_before_eq_sum MeasureTheory.upcrossingsBefore_eq_sum
theorem Adapted.measurable_upcrossingsBefore (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossingsBefore a b f N) := by
have : upcrossingsBefore a b f N = fun ω =>
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
ext ω
exact upcrossingsBefore_eq_sum hab
rw [this]
exact Finset.measurable_sum _ fun i _ => Measurable.indicator measurable_const <|
ℱ.le N _ (hf.isStoppingTime_upperCrossingTime.measurableSet_lt_of_pred N)
#align measure_theory.adapted.measurable_upcrossings_before MeasureTheory.Adapted.measurable_upcrossingsBefore
theorem Adapted.integrable_upcrossingsBefore [IsFiniteMeasure μ] (hf : Adapted ℱ f) (hab : a < b) :
Integrable (fun ω => (upcrossingsBefore a b f N ω : ℝ)) μ :=
haveI : ∀ᵐ ω ∂μ, ‖(upcrossingsBefore a b f N ω : ℝ)‖ ≤ N := by
refine' eventually_of_forall fun ω => _
rw [Real.norm_eq_abs, Nat.abs_cast, Nat.cast_le]
refine' upcrossingsBefore_le _ _ hab
⟨Measurable.aestronglyMeasurable (measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)),
hasFiniteIntegral_of_bounded this⟩
#align measure_theory.adapted.integrable_upcrossings_before MeasureTheory.Adapted.integrable_upcrossingsBefore
/-- The number of upcrossings of a realization of a stochastic process (`upcrossings` takes value
in `ℝ≥0∞` and so is allowed to be `∞`). -/
noncomputable def upcrossings [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(ω : Ω) : ℝ≥0∞ :=
⨆ N, (upcrossingsBefore a b f N ω : ℝ≥0∞)
#align measure_theory.upcrossings MeasureTheory.upcrossings
theorem Adapted.measurable_upcrossings (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossings a b f) :=
measurable_iSup fun _ => measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)
#align measure_theory.adapted.measurable_upcrossings MeasureTheory.Adapted.measurable_upcrossings
theorem upcrossings_lt_top_iff :
upcrossings a b f ω < ∞ ↔ ∃ k, ∀ N, upcrossingsBefore a b f N ω ≤ k := by
have : upcrossings a b f ω < ∞ ↔ ∃ k : ℝ≥0, upcrossings a b f ω ≤ k := by
constructor
· intro h
lift upcrossings a b f ω to ℝ≥0 using h.ne with r hr
exact ⟨r, le_rfl⟩
· rintro ⟨k, hk⟩
exact lt_of_le_of_lt hk ENNReal.coe_lt_top
|
simp_rw [this, upcrossings, iSup_le_iff]
|
theorem upcrossings_lt_top_iff :
upcrossings a b f ω < ∞ ↔ ∃ k, ∀ N, upcrossingsBefore a b f N ω ≤ k := by
have : upcrossings a b f ω < ∞ ↔ ∃ k : ℝ≥0, upcrossings a b f ω ≤ k := by
constructor
· intro h
lift upcrossings a b f ω to ℝ≥0 using h.ne with r hr
exact ⟨r, le_rfl⟩
· rintro ⟨k, hk⟩
exact lt_of_le_of_lt hk ENNReal.coe_lt_top
|
Mathlib.Probability.Martingale.Upcrossing.834_0.80Cpy4Qgm9i1y9y
|
theorem upcrossings_lt_top_iff :
upcrossings a b f ω < ∞ ↔ ∃ k, ∀ N, upcrossingsBefore a b f N ω ≤ k
|
Mathlib_Probability_Martingale_Upcrossing
|
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
this : upcrossings a b f ω < ⊤ ↔ ∃ k, upcrossings a b f ω ≤ ↑k
⊢ (∃ k, ∀ (i : ℕ), ↑(upcrossingsBefore a b f i ω) ≤ ↑k) ↔ ∃ k, ∀ (N : ℕ), upcrossingsBefore a b f N ω ≤ k
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
· rfl
#align measure_theory.crossing_pos_eq MeasureTheory.crossing_pos_eq
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
simp_rw [upcrossingsBefore, (crossing_pos_eq hab).1]
#align measure_theory.upcrossings_before_pos_eq MeasureTheory.upcrossingsBefore_pos_eq
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
simp_rw [sub_zero, ← upcrossingsBefore_pos_eq hab]
rfl
#align measure_theory.mul_integral_upcrossings_before_le_integral_pos_part_aux MeasureTheory.mul_integral_upcrossingsBefore_le_integral_pos_part_aux
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
by_cases hab : a < b
· exact mul_integral_upcrossingsBefore_le_integral_pos_part_aux hf hab
· rw [not_lt, ← sub_nonpos] at hab
exact le_trans (mul_nonpos_of_nonpos_of_nonneg hab (integral_nonneg fun ω => Nat.cast_nonneg _))
(integral_nonneg fun ω => LatticeOrderedGroup.pos_nonneg _)
#align measure_theory.submartingale.mul_integral_upcrossings_before_le_integral_pos_part MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part
/-!
### Variant of the upcrossing estimate
Now, we would like to prove a variant of the upcrossing estimate obtained by taking the supremum
over $N$ of the original upcrossing estimate. Namely, we want the inequality
$$
(b - a) \sup_N \mathbb{E}[U_N(a, b)] \le \sup_N \mathbb{E}[f_N].
$$
This inequality is central for the martingale convergence theorem as it provides a uniform bound
for the upcrossings.
We note that on top of taking the supremum on both sides of the inequality, we had also used
the monotone convergence theorem on the left hand side to take the supremum outside of the
integral. To do this, we need to make sure $U_N(a, b)$ is measurable and integrable. Integrability
is easy to check as $U_N(a, b) ≤ N$ and so it suffices to show measurability. Indeed, by
noting that
$$
U_N(a, b) = \sum_{i = 1}^N \mathbf{1}_{\{U_N(a, b) < N\}}
$$
$U_N(a, b)$ is measurable as $\{U_N(a, b) < N\}$ is a measurable set since $U_N(a, b)$ is a
stopping time.
-/
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
rintro k hk
rw [Finset.mem_Ico] at hk
rw [Set.indicator_of_mem]
· rfl
· exact upperCrossingTime_lt_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab
(Nat.lt_succ_iff.1 hk.2)
have h₂ : ∀ k ∈ Finset.Ico (upcrossingsBefore a b f N ω + 1) (N + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 0 := by
rintro k hk
rw [Finset.mem_Ico, Nat.succ_le_iff] at hk
rw [Set.indicator_of_not_mem]
simp only [Set.mem_setOf_eq, not_lt]
exact (upperCrossingTime_eq_of_upcrossingsBefore_lt hab hk.1).symm.le
rw [Finset.sum_congr rfl h₁, Finset.sum_congr rfl h₂, Finset.sum_const, Finset.sum_const,
smul_eq_mul, mul_one, smul_eq_mul, mul_zero, Nat.card_Ico, Nat.add_succ_sub_one,
add_zero, add_zero]
#align measure_theory.upcrossings_before_eq_sum MeasureTheory.upcrossingsBefore_eq_sum
theorem Adapted.measurable_upcrossingsBefore (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossingsBefore a b f N) := by
have : upcrossingsBefore a b f N = fun ω =>
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
ext ω
exact upcrossingsBefore_eq_sum hab
rw [this]
exact Finset.measurable_sum _ fun i _ => Measurable.indicator measurable_const <|
ℱ.le N _ (hf.isStoppingTime_upperCrossingTime.measurableSet_lt_of_pred N)
#align measure_theory.adapted.measurable_upcrossings_before MeasureTheory.Adapted.measurable_upcrossingsBefore
theorem Adapted.integrable_upcrossingsBefore [IsFiniteMeasure μ] (hf : Adapted ℱ f) (hab : a < b) :
Integrable (fun ω => (upcrossingsBefore a b f N ω : ℝ)) μ :=
haveI : ∀ᵐ ω ∂μ, ‖(upcrossingsBefore a b f N ω : ℝ)‖ ≤ N := by
refine' eventually_of_forall fun ω => _
rw [Real.norm_eq_abs, Nat.abs_cast, Nat.cast_le]
refine' upcrossingsBefore_le _ _ hab
⟨Measurable.aestronglyMeasurable (measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)),
hasFiniteIntegral_of_bounded this⟩
#align measure_theory.adapted.integrable_upcrossings_before MeasureTheory.Adapted.integrable_upcrossingsBefore
/-- The number of upcrossings of a realization of a stochastic process (`upcrossings` takes value
in `ℝ≥0∞` and so is allowed to be `∞`). -/
noncomputable def upcrossings [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(ω : Ω) : ℝ≥0∞ :=
⨆ N, (upcrossingsBefore a b f N ω : ℝ≥0∞)
#align measure_theory.upcrossings MeasureTheory.upcrossings
theorem Adapted.measurable_upcrossings (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossings a b f) :=
measurable_iSup fun _ => measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)
#align measure_theory.adapted.measurable_upcrossings MeasureTheory.Adapted.measurable_upcrossings
theorem upcrossings_lt_top_iff :
upcrossings a b f ω < ∞ ↔ ∃ k, ∀ N, upcrossingsBefore a b f N ω ≤ k := by
have : upcrossings a b f ω < ∞ ↔ ∃ k : ℝ≥0, upcrossings a b f ω ≤ k := by
constructor
· intro h
lift upcrossings a b f ω to ℝ≥0 using h.ne with r hr
exact ⟨r, le_rfl⟩
· rintro ⟨k, hk⟩
exact lt_of_le_of_lt hk ENNReal.coe_lt_top
simp_rw [this, upcrossings, iSup_le_iff]
|
constructor
|
theorem upcrossings_lt_top_iff :
upcrossings a b f ω < ∞ ↔ ∃ k, ∀ N, upcrossingsBefore a b f N ω ≤ k := by
have : upcrossings a b f ω < ∞ ↔ ∃ k : ℝ≥0, upcrossings a b f ω ≤ k := by
constructor
· intro h
lift upcrossings a b f ω to ℝ≥0 using h.ne with r hr
exact ⟨r, le_rfl⟩
· rintro ⟨k, hk⟩
exact lt_of_le_of_lt hk ENNReal.coe_lt_top
simp_rw [this, upcrossings, iSup_le_iff]
|
Mathlib.Probability.Martingale.Upcrossing.834_0.80Cpy4Qgm9i1y9y
|
theorem upcrossings_lt_top_iff :
upcrossings a b f ω < ∞ ↔ ∃ k, ∀ N, upcrossingsBefore a b f N ω ≤ k
|
Mathlib_Probability_Martingale_Upcrossing
|
case mp
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
this : upcrossings a b f ω < ⊤ ↔ ∃ k, upcrossings a b f ω ≤ ↑k
⊢ (∃ k, ∀ (i : ℕ), ↑(upcrossingsBefore a b f i ω) ≤ ↑k) → ∃ k, ∀ (N : ℕ), upcrossingsBefore a b f N ω ≤ k
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
· rfl
#align measure_theory.crossing_pos_eq MeasureTheory.crossing_pos_eq
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
simp_rw [upcrossingsBefore, (crossing_pos_eq hab).1]
#align measure_theory.upcrossings_before_pos_eq MeasureTheory.upcrossingsBefore_pos_eq
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
simp_rw [sub_zero, ← upcrossingsBefore_pos_eq hab]
rfl
#align measure_theory.mul_integral_upcrossings_before_le_integral_pos_part_aux MeasureTheory.mul_integral_upcrossingsBefore_le_integral_pos_part_aux
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
by_cases hab : a < b
· exact mul_integral_upcrossingsBefore_le_integral_pos_part_aux hf hab
· rw [not_lt, ← sub_nonpos] at hab
exact le_trans (mul_nonpos_of_nonpos_of_nonneg hab (integral_nonneg fun ω => Nat.cast_nonneg _))
(integral_nonneg fun ω => LatticeOrderedGroup.pos_nonneg _)
#align measure_theory.submartingale.mul_integral_upcrossings_before_le_integral_pos_part MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part
/-!
### Variant of the upcrossing estimate
Now, we would like to prove a variant of the upcrossing estimate obtained by taking the supremum
over $N$ of the original upcrossing estimate. Namely, we want the inequality
$$
(b - a) \sup_N \mathbb{E}[U_N(a, b)] \le \sup_N \mathbb{E}[f_N].
$$
This inequality is central for the martingale convergence theorem as it provides a uniform bound
for the upcrossings.
We note that on top of taking the supremum on both sides of the inequality, we had also used
the monotone convergence theorem on the left hand side to take the supremum outside of the
integral. To do this, we need to make sure $U_N(a, b)$ is measurable and integrable. Integrability
is easy to check as $U_N(a, b) ≤ N$ and so it suffices to show measurability. Indeed, by
noting that
$$
U_N(a, b) = \sum_{i = 1}^N \mathbf{1}_{\{U_N(a, b) < N\}}
$$
$U_N(a, b)$ is measurable as $\{U_N(a, b) < N\}$ is a measurable set since $U_N(a, b)$ is a
stopping time.
-/
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
rintro k hk
rw [Finset.mem_Ico] at hk
rw [Set.indicator_of_mem]
· rfl
· exact upperCrossingTime_lt_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab
(Nat.lt_succ_iff.1 hk.2)
have h₂ : ∀ k ∈ Finset.Ico (upcrossingsBefore a b f N ω + 1) (N + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 0 := by
rintro k hk
rw [Finset.mem_Ico, Nat.succ_le_iff] at hk
rw [Set.indicator_of_not_mem]
simp only [Set.mem_setOf_eq, not_lt]
exact (upperCrossingTime_eq_of_upcrossingsBefore_lt hab hk.1).symm.le
rw [Finset.sum_congr rfl h₁, Finset.sum_congr rfl h₂, Finset.sum_const, Finset.sum_const,
smul_eq_mul, mul_one, smul_eq_mul, mul_zero, Nat.card_Ico, Nat.add_succ_sub_one,
add_zero, add_zero]
#align measure_theory.upcrossings_before_eq_sum MeasureTheory.upcrossingsBefore_eq_sum
theorem Adapted.measurable_upcrossingsBefore (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossingsBefore a b f N) := by
have : upcrossingsBefore a b f N = fun ω =>
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
ext ω
exact upcrossingsBefore_eq_sum hab
rw [this]
exact Finset.measurable_sum _ fun i _ => Measurable.indicator measurable_const <|
ℱ.le N _ (hf.isStoppingTime_upperCrossingTime.measurableSet_lt_of_pred N)
#align measure_theory.adapted.measurable_upcrossings_before MeasureTheory.Adapted.measurable_upcrossingsBefore
theorem Adapted.integrable_upcrossingsBefore [IsFiniteMeasure μ] (hf : Adapted ℱ f) (hab : a < b) :
Integrable (fun ω => (upcrossingsBefore a b f N ω : ℝ)) μ :=
haveI : ∀ᵐ ω ∂μ, ‖(upcrossingsBefore a b f N ω : ℝ)‖ ≤ N := by
refine' eventually_of_forall fun ω => _
rw [Real.norm_eq_abs, Nat.abs_cast, Nat.cast_le]
refine' upcrossingsBefore_le _ _ hab
⟨Measurable.aestronglyMeasurable (measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)),
hasFiniteIntegral_of_bounded this⟩
#align measure_theory.adapted.integrable_upcrossings_before MeasureTheory.Adapted.integrable_upcrossingsBefore
/-- The number of upcrossings of a realization of a stochastic process (`upcrossings` takes value
in `ℝ≥0∞` and so is allowed to be `∞`). -/
noncomputable def upcrossings [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(ω : Ω) : ℝ≥0∞ :=
⨆ N, (upcrossingsBefore a b f N ω : ℝ≥0∞)
#align measure_theory.upcrossings MeasureTheory.upcrossings
theorem Adapted.measurable_upcrossings (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossings a b f) :=
measurable_iSup fun _ => measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)
#align measure_theory.adapted.measurable_upcrossings MeasureTheory.Adapted.measurable_upcrossings
theorem upcrossings_lt_top_iff :
upcrossings a b f ω < ∞ ↔ ∃ k, ∀ N, upcrossingsBefore a b f N ω ≤ k := by
have : upcrossings a b f ω < ∞ ↔ ∃ k : ℝ≥0, upcrossings a b f ω ≤ k := by
constructor
· intro h
lift upcrossings a b f ω to ℝ≥0 using h.ne with r hr
exact ⟨r, le_rfl⟩
· rintro ⟨k, hk⟩
exact lt_of_le_of_lt hk ENNReal.coe_lt_top
simp_rw [this, upcrossings, iSup_le_iff]
constructor <;>
|
rintro ⟨k, hk⟩
|
theorem upcrossings_lt_top_iff :
upcrossings a b f ω < ∞ ↔ ∃ k, ∀ N, upcrossingsBefore a b f N ω ≤ k := by
have : upcrossings a b f ω < ∞ ↔ ∃ k : ℝ≥0, upcrossings a b f ω ≤ k := by
constructor
· intro h
lift upcrossings a b f ω to ℝ≥0 using h.ne with r hr
exact ⟨r, le_rfl⟩
· rintro ⟨k, hk⟩
exact lt_of_le_of_lt hk ENNReal.coe_lt_top
simp_rw [this, upcrossings, iSup_le_iff]
constructor <;>
|
Mathlib.Probability.Martingale.Upcrossing.834_0.80Cpy4Qgm9i1y9y
|
theorem upcrossings_lt_top_iff :
upcrossings a b f ω < ∞ ↔ ∃ k, ∀ N, upcrossingsBefore a b f N ω ≤ k
|
Mathlib_Probability_Martingale_Upcrossing
|
case mpr
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
this : upcrossings a b f ω < ⊤ ↔ ∃ k, upcrossings a b f ω ≤ ↑k
⊢ (∃ k, ∀ (N : ℕ), upcrossingsBefore a b f N ω ≤ k) → ∃ k, ∀ (i : ℕ), ↑(upcrossingsBefore a b f i ω) ≤ ↑k
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
· rfl
#align measure_theory.crossing_pos_eq MeasureTheory.crossing_pos_eq
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
simp_rw [upcrossingsBefore, (crossing_pos_eq hab).1]
#align measure_theory.upcrossings_before_pos_eq MeasureTheory.upcrossingsBefore_pos_eq
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
simp_rw [sub_zero, ← upcrossingsBefore_pos_eq hab]
rfl
#align measure_theory.mul_integral_upcrossings_before_le_integral_pos_part_aux MeasureTheory.mul_integral_upcrossingsBefore_le_integral_pos_part_aux
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
by_cases hab : a < b
· exact mul_integral_upcrossingsBefore_le_integral_pos_part_aux hf hab
· rw [not_lt, ← sub_nonpos] at hab
exact le_trans (mul_nonpos_of_nonpos_of_nonneg hab (integral_nonneg fun ω => Nat.cast_nonneg _))
(integral_nonneg fun ω => LatticeOrderedGroup.pos_nonneg _)
#align measure_theory.submartingale.mul_integral_upcrossings_before_le_integral_pos_part MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part
/-!
### Variant of the upcrossing estimate
Now, we would like to prove a variant of the upcrossing estimate obtained by taking the supremum
over $N$ of the original upcrossing estimate. Namely, we want the inequality
$$
(b - a) \sup_N \mathbb{E}[U_N(a, b)] \le \sup_N \mathbb{E}[f_N].
$$
This inequality is central for the martingale convergence theorem as it provides a uniform bound
for the upcrossings.
We note that on top of taking the supremum on both sides of the inequality, we had also used
the monotone convergence theorem on the left hand side to take the supremum outside of the
integral. To do this, we need to make sure $U_N(a, b)$ is measurable and integrable. Integrability
is easy to check as $U_N(a, b) ≤ N$ and so it suffices to show measurability. Indeed, by
noting that
$$
U_N(a, b) = \sum_{i = 1}^N \mathbf{1}_{\{U_N(a, b) < N\}}
$$
$U_N(a, b)$ is measurable as $\{U_N(a, b) < N\}$ is a measurable set since $U_N(a, b)$ is a
stopping time.
-/
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
rintro k hk
rw [Finset.mem_Ico] at hk
rw [Set.indicator_of_mem]
· rfl
· exact upperCrossingTime_lt_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab
(Nat.lt_succ_iff.1 hk.2)
have h₂ : ∀ k ∈ Finset.Ico (upcrossingsBefore a b f N ω + 1) (N + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 0 := by
rintro k hk
rw [Finset.mem_Ico, Nat.succ_le_iff] at hk
rw [Set.indicator_of_not_mem]
simp only [Set.mem_setOf_eq, not_lt]
exact (upperCrossingTime_eq_of_upcrossingsBefore_lt hab hk.1).symm.le
rw [Finset.sum_congr rfl h₁, Finset.sum_congr rfl h₂, Finset.sum_const, Finset.sum_const,
smul_eq_mul, mul_one, smul_eq_mul, mul_zero, Nat.card_Ico, Nat.add_succ_sub_one,
add_zero, add_zero]
#align measure_theory.upcrossings_before_eq_sum MeasureTheory.upcrossingsBefore_eq_sum
theorem Adapted.measurable_upcrossingsBefore (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossingsBefore a b f N) := by
have : upcrossingsBefore a b f N = fun ω =>
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
ext ω
exact upcrossingsBefore_eq_sum hab
rw [this]
exact Finset.measurable_sum _ fun i _ => Measurable.indicator measurable_const <|
ℱ.le N _ (hf.isStoppingTime_upperCrossingTime.measurableSet_lt_of_pred N)
#align measure_theory.adapted.measurable_upcrossings_before MeasureTheory.Adapted.measurable_upcrossingsBefore
theorem Adapted.integrable_upcrossingsBefore [IsFiniteMeasure μ] (hf : Adapted ℱ f) (hab : a < b) :
Integrable (fun ω => (upcrossingsBefore a b f N ω : ℝ)) μ :=
haveI : ∀ᵐ ω ∂μ, ‖(upcrossingsBefore a b f N ω : ℝ)‖ ≤ N := by
refine' eventually_of_forall fun ω => _
rw [Real.norm_eq_abs, Nat.abs_cast, Nat.cast_le]
refine' upcrossingsBefore_le _ _ hab
⟨Measurable.aestronglyMeasurable (measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)),
hasFiniteIntegral_of_bounded this⟩
#align measure_theory.adapted.integrable_upcrossings_before MeasureTheory.Adapted.integrable_upcrossingsBefore
/-- The number of upcrossings of a realization of a stochastic process (`upcrossings` takes value
in `ℝ≥0∞` and so is allowed to be `∞`). -/
noncomputable def upcrossings [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(ω : Ω) : ℝ≥0∞ :=
⨆ N, (upcrossingsBefore a b f N ω : ℝ≥0∞)
#align measure_theory.upcrossings MeasureTheory.upcrossings
theorem Adapted.measurable_upcrossings (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossings a b f) :=
measurable_iSup fun _ => measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)
#align measure_theory.adapted.measurable_upcrossings MeasureTheory.Adapted.measurable_upcrossings
theorem upcrossings_lt_top_iff :
upcrossings a b f ω < ∞ ↔ ∃ k, ∀ N, upcrossingsBefore a b f N ω ≤ k := by
have : upcrossings a b f ω < ∞ ↔ ∃ k : ℝ≥0, upcrossings a b f ω ≤ k := by
constructor
· intro h
lift upcrossings a b f ω to ℝ≥0 using h.ne with r hr
exact ⟨r, le_rfl⟩
· rintro ⟨k, hk⟩
exact lt_of_le_of_lt hk ENNReal.coe_lt_top
simp_rw [this, upcrossings, iSup_le_iff]
constructor <;>
|
rintro ⟨k, hk⟩
|
theorem upcrossings_lt_top_iff :
upcrossings a b f ω < ∞ ↔ ∃ k, ∀ N, upcrossingsBefore a b f N ω ≤ k := by
have : upcrossings a b f ω < ∞ ↔ ∃ k : ℝ≥0, upcrossings a b f ω ≤ k := by
constructor
· intro h
lift upcrossings a b f ω to ℝ≥0 using h.ne with r hr
exact ⟨r, le_rfl⟩
· rintro ⟨k, hk⟩
exact lt_of_le_of_lt hk ENNReal.coe_lt_top
simp_rw [this, upcrossings, iSup_le_iff]
constructor <;>
|
Mathlib.Probability.Martingale.Upcrossing.834_0.80Cpy4Qgm9i1y9y
|
theorem upcrossings_lt_top_iff :
upcrossings a b f ω < ∞ ↔ ∃ k, ∀ N, upcrossingsBefore a b f N ω ≤ k
|
Mathlib_Probability_Martingale_Upcrossing
|
case mp.intro
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
this : upcrossings a b f ω < ⊤ ↔ ∃ k, upcrossings a b f ω ≤ ↑k
k : ℝ≥0
hk : ∀ (i : ℕ), ↑(upcrossingsBefore a b f i ω) ≤ ↑k
⊢ ∃ k, ∀ (N : ℕ), upcrossingsBefore a b f N ω ≤ k
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
· rfl
#align measure_theory.crossing_pos_eq MeasureTheory.crossing_pos_eq
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
simp_rw [upcrossingsBefore, (crossing_pos_eq hab).1]
#align measure_theory.upcrossings_before_pos_eq MeasureTheory.upcrossingsBefore_pos_eq
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
simp_rw [sub_zero, ← upcrossingsBefore_pos_eq hab]
rfl
#align measure_theory.mul_integral_upcrossings_before_le_integral_pos_part_aux MeasureTheory.mul_integral_upcrossingsBefore_le_integral_pos_part_aux
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
by_cases hab : a < b
· exact mul_integral_upcrossingsBefore_le_integral_pos_part_aux hf hab
· rw [not_lt, ← sub_nonpos] at hab
exact le_trans (mul_nonpos_of_nonpos_of_nonneg hab (integral_nonneg fun ω => Nat.cast_nonneg _))
(integral_nonneg fun ω => LatticeOrderedGroup.pos_nonneg _)
#align measure_theory.submartingale.mul_integral_upcrossings_before_le_integral_pos_part MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part
/-!
### Variant of the upcrossing estimate
Now, we would like to prove a variant of the upcrossing estimate obtained by taking the supremum
over $N$ of the original upcrossing estimate. Namely, we want the inequality
$$
(b - a) \sup_N \mathbb{E}[U_N(a, b)] \le \sup_N \mathbb{E}[f_N].
$$
This inequality is central for the martingale convergence theorem as it provides a uniform bound
for the upcrossings.
We note that on top of taking the supremum on both sides of the inequality, we had also used
the monotone convergence theorem on the left hand side to take the supremum outside of the
integral. To do this, we need to make sure $U_N(a, b)$ is measurable and integrable. Integrability
is easy to check as $U_N(a, b) ≤ N$ and so it suffices to show measurability. Indeed, by
noting that
$$
U_N(a, b) = \sum_{i = 1}^N \mathbf{1}_{\{U_N(a, b) < N\}}
$$
$U_N(a, b)$ is measurable as $\{U_N(a, b) < N\}$ is a measurable set since $U_N(a, b)$ is a
stopping time.
-/
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
rintro k hk
rw [Finset.mem_Ico] at hk
rw [Set.indicator_of_mem]
· rfl
· exact upperCrossingTime_lt_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab
(Nat.lt_succ_iff.1 hk.2)
have h₂ : ∀ k ∈ Finset.Ico (upcrossingsBefore a b f N ω + 1) (N + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 0 := by
rintro k hk
rw [Finset.mem_Ico, Nat.succ_le_iff] at hk
rw [Set.indicator_of_not_mem]
simp only [Set.mem_setOf_eq, not_lt]
exact (upperCrossingTime_eq_of_upcrossingsBefore_lt hab hk.1).symm.le
rw [Finset.sum_congr rfl h₁, Finset.sum_congr rfl h₂, Finset.sum_const, Finset.sum_const,
smul_eq_mul, mul_one, smul_eq_mul, mul_zero, Nat.card_Ico, Nat.add_succ_sub_one,
add_zero, add_zero]
#align measure_theory.upcrossings_before_eq_sum MeasureTheory.upcrossingsBefore_eq_sum
theorem Adapted.measurable_upcrossingsBefore (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossingsBefore a b f N) := by
have : upcrossingsBefore a b f N = fun ω =>
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
ext ω
exact upcrossingsBefore_eq_sum hab
rw [this]
exact Finset.measurable_sum _ fun i _ => Measurable.indicator measurable_const <|
ℱ.le N _ (hf.isStoppingTime_upperCrossingTime.measurableSet_lt_of_pred N)
#align measure_theory.adapted.measurable_upcrossings_before MeasureTheory.Adapted.measurable_upcrossingsBefore
theorem Adapted.integrable_upcrossingsBefore [IsFiniteMeasure μ] (hf : Adapted ℱ f) (hab : a < b) :
Integrable (fun ω => (upcrossingsBefore a b f N ω : ℝ)) μ :=
haveI : ∀ᵐ ω ∂μ, ‖(upcrossingsBefore a b f N ω : ℝ)‖ ≤ N := by
refine' eventually_of_forall fun ω => _
rw [Real.norm_eq_abs, Nat.abs_cast, Nat.cast_le]
refine' upcrossingsBefore_le _ _ hab
⟨Measurable.aestronglyMeasurable (measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)),
hasFiniteIntegral_of_bounded this⟩
#align measure_theory.adapted.integrable_upcrossings_before MeasureTheory.Adapted.integrable_upcrossingsBefore
/-- The number of upcrossings of a realization of a stochastic process (`upcrossings` takes value
in `ℝ≥0∞` and so is allowed to be `∞`). -/
noncomputable def upcrossings [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(ω : Ω) : ℝ≥0∞ :=
⨆ N, (upcrossingsBefore a b f N ω : ℝ≥0∞)
#align measure_theory.upcrossings MeasureTheory.upcrossings
theorem Adapted.measurable_upcrossings (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossings a b f) :=
measurable_iSup fun _ => measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)
#align measure_theory.adapted.measurable_upcrossings MeasureTheory.Adapted.measurable_upcrossings
theorem upcrossings_lt_top_iff :
upcrossings a b f ω < ∞ ↔ ∃ k, ∀ N, upcrossingsBefore a b f N ω ≤ k := by
have : upcrossings a b f ω < ∞ ↔ ∃ k : ℝ≥0, upcrossings a b f ω ≤ k := by
constructor
· intro h
lift upcrossings a b f ω to ℝ≥0 using h.ne with r hr
exact ⟨r, le_rfl⟩
· rintro ⟨k, hk⟩
exact lt_of_le_of_lt hk ENNReal.coe_lt_top
simp_rw [this, upcrossings, iSup_le_iff]
constructor <;> rintro ⟨k, hk⟩
·
|
obtain ⟨m, hm⟩ := exists_nat_ge k
|
theorem upcrossings_lt_top_iff :
upcrossings a b f ω < ∞ ↔ ∃ k, ∀ N, upcrossingsBefore a b f N ω ≤ k := by
have : upcrossings a b f ω < ∞ ↔ ∃ k : ℝ≥0, upcrossings a b f ω ≤ k := by
constructor
· intro h
lift upcrossings a b f ω to ℝ≥0 using h.ne with r hr
exact ⟨r, le_rfl⟩
· rintro ⟨k, hk⟩
exact lt_of_le_of_lt hk ENNReal.coe_lt_top
simp_rw [this, upcrossings, iSup_le_iff]
constructor <;> rintro ⟨k, hk⟩
·
|
Mathlib.Probability.Martingale.Upcrossing.834_0.80Cpy4Qgm9i1y9y
|
theorem upcrossings_lt_top_iff :
upcrossings a b f ω < ∞ ↔ ∃ k, ∀ N, upcrossingsBefore a b f N ω ≤ k
|
Mathlib_Probability_Martingale_Upcrossing
|
case mp.intro.intro
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m✝ : ℕ
ω : Ω
ℱ : Filtration ℕ m0
this : upcrossings a b f ω < ⊤ ↔ ∃ k, upcrossings a b f ω ≤ ↑k
k : ℝ≥0
hk : ∀ (i : ℕ), ↑(upcrossingsBefore a b f i ω) ≤ ↑k
m : ℕ
hm : k ≤ ↑m
⊢ ∃ k, ∀ (N : ℕ), upcrossingsBefore a b f N ω ≤ k
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
· rfl
#align measure_theory.crossing_pos_eq MeasureTheory.crossing_pos_eq
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
simp_rw [upcrossingsBefore, (crossing_pos_eq hab).1]
#align measure_theory.upcrossings_before_pos_eq MeasureTheory.upcrossingsBefore_pos_eq
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
simp_rw [sub_zero, ← upcrossingsBefore_pos_eq hab]
rfl
#align measure_theory.mul_integral_upcrossings_before_le_integral_pos_part_aux MeasureTheory.mul_integral_upcrossingsBefore_le_integral_pos_part_aux
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
by_cases hab : a < b
· exact mul_integral_upcrossingsBefore_le_integral_pos_part_aux hf hab
· rw [not_lt, ← sub_nonpos] at hab
exact le_trans (mul_nonpos_of_nonpos_of_nonneg hab (integral_nonneg fun ω => Nat.cast_nonneg _))
(integral_nonneg fun ω => LatticeOrderedGroup.pos_nonneg _)
#align measure_theory.submartingale.mul_integral_upcrossings_before_le_integral_pos_part MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part
/-!
### Variant of the upcrossing estimate
Now, we would like to prove a variant of the upcrossing estimate obtained by taking the supremum
over $N$ of the original upcrossing estimate. Namely, we want the inequality
$$
(b - a) \sup_N \mathbb{E}[U_N(a, b)] \le \sup_N \mathbb{E}[f_N].
$$
This inequality is central for the martingale convergence theorem as it provides a uniform bound
for the upcrossings.
We note that on top of taking the supremum on both sides of the inequality, we had also used
the monotone convergence theorem on the left hand side to take the supremum outside of the
integral. To do this, we need to make sure $U_N(a, b)$ is measurable and integrable. Integrability
is easy to check as $U_N(a, b) ≤ N$ and so it suffices to show measurability. Indeed, by
noting that
$$
U_N(a, b) = \sum_{i = 1}^N \mathbf{1}_{\{U_N(a, b) < N\}}
$$
$U_N(a, b)$ is measurable as $\{U_N(a, b) < N\}$ is a measurable set since $U_N(a, b)$ is a
stopping time.
-/
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
rintro k hk
rw [Finset.mem_Ico] at hk
rw [Set.indicator_of_mem]
· rfl
· exact upperCrossingTime_lt_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab
(Nat.lt_succ_iff.1 hk.2)
have h₂ : ∀ k ∈ Finset.Ico (upcrossingsBefore a b f N ω + 1) (N + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 0 := by
rintro k hk
rw [Finset.mem_Ico, Nat.succ_le_iff] at hk
rw [Set.indicator_of_not_mem]
simp only [Set.mem_setOf_eq, not_lt]
exact (upperCrossingTime_eq_of_upcrossingsBefore_lt hab hk.1).symm.le
rw [Finset.sum_congr rfl h₁, Finset.sum_congr rfl h₂, Finset.sum_const, Finset.sum_const,
smul_eq_mul, mul_one, smul_eq_mul, mul_zero, Nat.card_Ico, Nat.add_succ_sub_one,
add_zero, add_zero]
#align measure_theory.upcrossings_before_eq_sum MeasureTheory.upcrossingsBefore_eq_sum
theorem Adapted.measurable_upcrossingsBefore (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossingsBefore a b f N) := by
have : upcrossingsBefore a b f N = fun ω =>
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
ext ω
exact upcrossingsBefore_eq_sum hab
rw [this]
exact Finset.measurable_sum _ fun i _ => Measurable.indicator measurable_const <|
ℱ.le N _ (hf.isStoppingTime_upperCrossingTime.measurableSet_lt_of_pred N)
#align measure_theory.adapted.measurable_upcrossings_before MeasureTheory.Adapted.measurable_upcrossingsBefore
theorem Adapted.integrable_upcrossingsBefore [IsFiniteMeasure μ] (hf : Adapted ℱ f) (hab : a < b) :
Integrable (fun ω => (upcrossingsBefore a b f N ω : ℝ)) μ :=
haveI : ∀ᵐ ω ∂μ, ‖(upcrossingsBefore a b f N ω : ℝ)‖ ≤ N := by
refine' eventually_of_forall fun ω => _
rw [Real.norm_eq_abs, Nat.abs_cast, Nat.cast_le]
refine' upcrossingsBefore_le _ _ hab
⟨Measurable.aestronglyMeasurable (measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)),
hasFiniteIntegral_of_bounded this⟩
#align measure_theory.adapted.integrable_upcrossings_before MeasureTheory.Adapted.integrable_upcrossingsBefore
/-- The number of upcrossings of a realization of a stochastic process (`upcrossings` takes value
in `ℝ≥0∞` and so is allowed to be `∞`). -/
noncomputable def upcrossings [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(ω : Ω) : ℝ≥0∞ :=
⨆ N, (upcrossingsBefore a b f N ω : ℝ≥0∞)
#align measure_theory.upcrossings MeasureTheory.upcrossings
theorem Adapted.measurable_upcrossings (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossings a b f) :=
measurable_iSup fun _ => measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)
#align measure_theory.adapted.measurable_upcrossings MeasureTheory.Adapted.measurable_upcrossings
theorem upcrossings_lt_top_iff :
upcrossings a b f ω < ∞ ↔ ∃ k, ∀ N, upcrossingsBefore a b f N ω ≤ k := by
have : upcrossings a b f ω < ∞ ↔ ∃ k : ℝ≥0, upcrossings a b f ω ≤ k := by
constructor
· intro h
lift upcrossings a b f ω to ℝ≥0 using h.ne with r hr
exact ⟨r, le_rfl⟩
· rintro ⟨k, hk⟩
exact lt_of_le_of_lt hk ENNReal.coe_lt_top
simp_rw [this, upcrossings, iSup_le_iff]
constructor <;> rintro ⟨k, hk⟩
· obtain ⟨m, hm⟩ := exists_nat_ge k
|
refine' ⟨m, fun N => Nat.cast_le.1 ((hk N).trans _)⟩
|
theorem upcrossings_lt_top_iff :
upcrossings a b f ω < ∞ ↔ ∃ k, ∀ N, upcrossingsBefore a b f N ω ≤ k := by
have : upcrossings a b f ω < ∞ ↔ ∃ k : ℝ≥0, upcrossings a b f ω ≤ k := by
constructor
· intro h
lift upcrossings a b f ω to ℝ≥0 using h.ne with r hr
exact ⟨r, le_rfl⟩
· rintro ⟨k, hk⟩
exact lt_of_le_of_lt hk ENNReal.coe_lt_top
simp_rw [this, upcrossings, iSup_le_iff]
constructor <;> rintro ⟨k, hk⟩
· obtain ⟨m, hm⟩ := exists_nat_ge k
|
Mathlib.Probability.Martingale.Upcrossing.834_0.80Cpy4Qgm9i1y9y
|
theorem upcrossings_lt_top_iff :
upcrossings a b f ω < ∞ ↔ ∃ k, ∀ N, upcrossingsBefore a b f N ω ≤ k
|
Mathlib_Probability_Martingale_Upcrossing
|
case mp.intro.intro
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N✝ n m✝ : ℕ
ω : Ω
ℱ : Filtration ℕ m0
this : upcrossings a b f ω < ⊤ ↔ ∃ k, upcrossings a b f ω ≤ ↑k
k : ℝ≥0
hk : ∀ (i : ℕ), ↑(upcrossingsBefore a b f i ω) ≤ ↑k
m : ℕ
hm : k ≤ ↑m
N : ℕ
⊢ ↑k ≤ ↑m
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
· rfl
#align measure_theory.crossing_pos_eq MeasureTheory.crossing_pos_eq
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
simp_rw [upcrossingsBefore, (crossing_pos_eq hab).1]
#align measure_theory.upcrossings_before_pos_eq MeasureTheory.upcrossingsBefore_pos_eq
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
simp_rw [sub_zero, ← upcrossingsBefore_pos_eq hab]
rfl
#align measure_theory.mul_integral_upcrossings_before_le_integral_pos_part_aux MeasureTheory.mul_integral_upcrossingsBefore_le_integral_pos_part_aux
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
by_cases hab : a < b
· exact mul_integral_upcrossingsBefore_le_integral_pos_part_aux hf hab
· rw [not_lt, ← sub_nonpos] at hab
exact le_trans (mul_nonpos_of_nonpos_of_nonneg hab (integral_nonneg fun ω => Nat.cast_nonneg _))
(integral_nonneg fun ω => LatticeOrderedGroup.pos_nonneg _)
#align measure_theory.submartingale.mul_integral_upcrossings_before_le_integral_pos_part MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part
/-!
### Variant of the upcrossing estimate
Now, we would like to prove a variant of the upcrossing estimate obtained by taking the supremum
over $N$ of the original upcrossing estimate. Namely, we want the inequality
$$
(b - a) \sup_N \mathbb{E}[U_N(a, b)] \le \sup_N \mathbb{E}[f_N].
$$
This inequality is central for the martingale convergence theorem as it provides a uniform bound
for the upcrossings.
We note that on top of taking the supremum on both sides of the inequality, we had also used
the monotone convergence theorem on the left hand side to take the supremum outside of the
integral. To do this, we need to make sure $U_N(a, b)$ is measurable and integrable. Integrability
is easy to check as $U_N(a, b) ≤ N$ and so it suffices to show measurability. Indeed, by
noting that
$$
U_N(a, b) = \sum_{i = 1}^N \mathbf{1}_{\{U_N(a, b) < N\}}
$$
$U_N(a, b)$ is measurable as $\{U_N(a, b) < N\}$ is a measurable set since $U_N(a, b)$ is a
stopping time.
-/
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
rintro k hk
rw [Finset.mem_Ico] at hk
rw [Set.indicator_of_mem]
· rfl
· exact upperCrossingTime_lt_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab
(Nat.lt_succ_iff.1 hk.2)
have h₂ : ∀ k ∈ Finset.Ico (upcrossingsBefore a b f N ω + 1) (N + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 0 := by
rintro k hk
rw [Finset.mem_Ico, Nat.succ_le_iff] at hk
rw [Set.indicator_of_not_mem]
simp only [Set.mem_setOf_eq, not_lt]
exact (upperCrossingTime_eq_of_upcrossingsBefore_lt hab hk.1).symm.le
rw [Finset.sum_congr rfl h₁, Finset.sum_congr rfl h₂, Finset.sum_const, Finset.sum_const,
smul_eq_mul, mul_one, smul_eq_mul, mul_zero, Nat.card_Ico, Nat.add_succ_sub_one,
add_zero, add_zero]
#align measure_theory.upcrossings_before_eq_sum MeasureTheory.upcrossingsBefore_eq_sum
theorem Adapted.measurable_upcrossingsBefore (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossingsBefore a b f N) := by
have : upcrossingsBefore a b f N = fun ω =>
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
ext ω
exact upcrossingsBefore_eq_sum hab
rw [this]
exact Finset.measurable_sum _ fun i _ => Measurable.indicator measurable_const <|
ℱ.le N _ (hf.isStoppingTime_upperCrossingTime.measurableSet_lt_of_pred N)
#align measure_theory.adapted.measurable_upcrossings_before MeasureTheory.Adapted.measurable_upcrossingsBefore
theorem Adapted.integrable_upcrossingsBefore [IsFiniteMeasure μ] (hf : Adapted ℱ f) (hab : a < b) :
Integrable (fun ω => (upcrossingsBefore a b f N ω : ℝ)) μ :=
haveI : ∀ᵐ ω ∂μ, ‖(upcrossingsBefore a b f N ω : ℝ)‖ ≤ N := by
refine' eventually_of_forall fun ω => _
rw [Real.norm_eq_abs, Nat.abs_cast, Nat.cast_le]
refine' upcrossingsBefore_le _ _ hab
⟨Measurable.aestronglyMeasurable (measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)),
hasFiniteIntegral_of_bounded this⟩
#align measure_theory.adapted.integrable_upcrossings_before MeasureTheory.Adapted.integrable_upcrossingsBefore
/-- The number of upcrossings of a realization of a stochastic process (`upcrossings` takes value
in `ℝ≥0∞` and so is allowed to be `∞`). -/
noncomputable def upcrossings [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(ω : Ω) : ℝ≥0∞ :=
⨆ N, (upcrossingsBefore a b f N ω : ℝ≥0∞)
#align measure_theory.upcrossings MeasureTheory.upcrossings
theorem Adapted.measurable_upcrossings (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossings a b f) :=
measurable_iSup fun _ => measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)
#align measure_theory.adapted.measurable_upcrossings MeasureTheory.Adapted.measurable_upcrossings
theorem upcrossings_lt_top_iff :
upcrossings a b f ω < ∞ ↔ ∃ k, ∀ N, upcrossingsBefore a b f N ω ≤ k := by
have : upcrossings a b f ω < ∞ ↔ ∃ k : ℝ≥0, upcrossings a b f ω ≤ k := by
constructor
· intro h
lift upcrossings a b f ω to ℝ≥0 using h.ne with r hr
exact ⟨r, le_rfl⟩
· rintro ⟨k, hk⟩
exact lt_of_le_of_lt hk ENNReal.coe_lt_top
simp_rw [this, upcrossings, iSup_le_iff]
constructor <;> rintro ⟨k, hk⟩
· obtain ⟨m, hm⟩ := exists_nat_ge k
refine' ⟨m, fun N => Nat.cast_le.1 ((hk N).trans _)⟩
|
rwa [← ENNReal.coe_nat, ENNReal.coe_le_coe]
|
theorem upcrossings_lt_top_iff :
upcrossings a b f ω < ∞ ↔ ∃ k, ∀ N, upcrossingsBefore a b f N ω ≤ k := by
have : upcrossings a b f ω < ∞ ↔ ∃ k : ℝ≥0, upcrossings a b f ω ≤ k := by
constructor
· intro h
lift upcrossings a b f ω to ℝ≥0 using h.ne with r hr
exact ⟨r, le_rfl⟩
· rintro ⟨k, hk⟩
exact lt_of_le_of_lt hk ENNReal.coe_lt_top
simp_rw [this, upcrossings, iSup_le_iff]
constructor <;> rintro ⟨k, hk⟩
· obtain ⟨m, hm⟩ := exists_nat_ge k
refine' ⟨m, fun N => Nat.cast_le.1 ((hk N).trans _)⟩
|
Mathlib.Probability.Martingale.Upcrossing.834_0.80Cpy4Qgm9i1y9y
|
theorem upcrossings_lt_top_iff :
upcrossings a b f ω < ∞ ↔ ∃ k, ∀ N, upcrossingsBefore a b f N ω ≤ k
|
Mathlib_Probability_Martingale_Upcrossing
|
case mpr.intro
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
this : upcrossings a b f ω < ⊤ ↔ ∃ k, upcrossings a b f ω ≤ ↑k
k : ℕ
hk : ∀ (N : ℕ), upcrossingsBefore a b f N ω ≤ k
⊢ ∃ k, ∀ (i : ℕ), ↑(upcrossingsBefore a b f i ω) ≤ ↑k
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
· rfl
#align measure_theory.crossing_pos_eq MeasureTheory.crossing_pos_eq
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
simp_rw [upcrossingsBefore, (crossing_pos_eq hab).1]
#align measure_theory.upcrossings_before_pos_eq MeasureTheory.upcrossingsBefore_pos_eq
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
simp_rw [sub_zero, ← upcrossingsBefore_pos_eq hab]
rfl
#align measure_theory.mul_integral_upcrossings_before_le_integral_pos_part_aux MeasureTheory.mul_integral_upcrossingsBefore_le_integral_pos_part_aux
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
by_cases hab : a < b
· exact mul_integral_upcrossingsBefore_le_integral_pos_part_aux hf hab
· rw [not_lt, ← sub_nonpos] at hab
exact le_trans (mul_nonpos_of_nonpos_of_nonneg hab (integral_nonneg fun ω => Nat.cast_nonneg _))
(integral_nonneg fun ω => LatticeOrderedGroup.pos_nonneg _)
#align measure_theory.submartingale.mul_integral_upcrossings_before_le_integral_pos_part MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part
/-!
### Variant of the upcrossing estimate
Now, we would like to prove a variant of the upcrossing estimate obtained by taking the supremum
over $N$ of the original upcrossing estimate. Namely, we want the inequality
$$
(b - a) \sup_N \mathbb{E}[U_N(a, b)] \le \sup_N \mathbb{E}[f_N].
$$
This inequality is central for the martingale convergence theorem as it provides a uniform bound
for the upcrossings.
We note that on top of taking the supremum on both sides of the inequality, we had also used
the monotone convergence theorem on the left hand side to take the supremum outside of the
integral. To do this, we need to make sure $U_N(a, b)$ is measurable and integrable. Integrability
is easy to check as $U_N(a, b) ≤ N$ and so it suffices to show measurability. Indeed, by
noting that
$$
U_N(a, b) = \sum_{i = 1}^N \mathbf{1}_{\{U_N(a, b) < N\}}
$$
$U_N(a, b)$ is measurable as $\{U_N(a, b) < N\}$ is a measurable set since $U_N(a, b)$ is a
stopping time.
-/
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
rintro k hk
rw [Finset.mem_Ico] at hk
rw [Set.indicator_of_mem]
· rfl
· exact upperCrossingTime_lt_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab
(Nat.lt_succ_iff.1 hk.2)
have h₂ : ∀ k ∈ Finset.Ico (upcrossingsBefore a b f N ω + 1) (N + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 0 := by
rintro k hk
rw [Finset.mem_Ico, Nat.succ_le_iff] at hk
rw [Set.indicator_of_not_mem]
simp only [Set.mem_setOf_eq, not_lt]
exact (upperCrossingTime_eq_of_upcrossingsBefore_lt hab hk.1).symm.le
rw [Finset.sum_congr rfl h₁, Finset.sum_congr rfl h₂, Finset.sum_const, Finset.sum_const,
smul_eq_mul, mul_one, smul_eq_mul, mul_zero, Nat.card_Ico, Nat.add_succ_sub_one,
add_zero, add_zero]
#align measure_theory.upcrossings_before_eq_sum MeasureTheory.upcrossingsBefore_eq_sum
theorem Adapted.measurable_upcrossingsBefore (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossingsBefore a b f N) := by
have : upcrossingsBefore a b f N = fun ω =>
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
ext ω
exact upcrossingsBefore_eq_sum hab
rw [this]
exact Finset.measurable_sum _ fun i _ => Measurable.indicator measurable_const <|
ℱ.le N _ (hf.isStoppingTime_upperCrossingTime.measurableSet_lt_of_pred N)
#align measure_theory.adapted.measurable_upcrossings_before MeasureTheory.Adapted.measurable_upcrossingsBefore
theorem Adapted.integrable_upcrossingsBefore [IsFiniteMeasure μ] (hf : Adapted ℱ f) (hab : a < b) :
Integrable (fun ω => (upcrossingsBefore a b f N ω : ℝ)) μ :=
haveI : ∀ᵐ ω ∂μ, ‖(upcrossingsBefore a b f N ω : ℝ)‖ ≤ N := by
refine' eventually_of_forall fun ω => _
rw [Real.norm_eq_abs, Nat.abs_cast, Nat.cast_le]
refine' upcrossingsBefore_le _ _ hab
⟨Measurable.aestronglyMeasurable (measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)),
hasFiniteIntegral_of_bounded this⟩
#align measure_theory.adapted.integrable_upcrossings_before MeasureTheory.Adapted.integrable_upcrossingsBefore
/-- The number of upcrossings of a realization of a stochastic process (`upcrossings` takes value
in `ℝ≥0∞` and so is allowed to be `∞`). -/
noncomputable def upcrossings [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(ω : Ω) : ℝ≥0∞ :=
⨆ N, (upcrossingsBefore a b f N ω : ℝ≥0∞)
#align measure_theory.upcrossings MeasureTheory.upcrossings
theorem Adapted.measurable_upcrossings (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossings a b f) :=
measurable_iSup fun _ => measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)
#align measure_theory.adapted.measurable_upcrossings MeasureTheory.Adapted.measurable_upcrossings
theorem upcrossings_lt_top_iff :
upcrossings a b f ω < ∞ ↔ ∃ k, ∀ N, upcrossingsBefore a b f N ω ≤ k := by
have : upcrossings a b f ω < ∞ ↔ ∃ k : ℝ≥0, upcrossings a b f ω ≤ k := by
constructor
· intro h
lift upcrossings a b f ω to ℝ≥0 using h.ne with r hr
exact ⟨r, le_rfl⟩
· rintro ⟨k, hk⟩
exact lt_of_le_of_lt hk ENNReal.coe_lt_top
simp_rw [this, upcrossings, iSup_le_iff]
constructor <;> rintro ⟨k, hk⟩
· obtain ⟨m, hm⟩ := exists_nat_ge k
refine' ⟨m, fun N => Nat.cast_le.1 ((hk N).trans _)⟩
rwa [← ENNReal.coe_nat, ENNReal.coe_le_coe]
·
|
refine' ⟨k, fun N => _⟩
|
theorem upcrossings_lt_top_iff :
upcrossings a b f ω < ∞ ↔ ∃ k, ∀ N, upcrossingsBefore a b f N ω ≤ k := by
have : upcrossings a b f ω < ∞ ↔ ∃ k : ℝ≥0, upcrossings a b f ω ≤ k := by
constructor
· intro h
lift upcrossings a b f ω to ℝ≥0 using h.ne with r hr
exact ⟨r, le_rfl⟩
· rintro ⟨k, hk⟩
exact lt_of_le_of_lt hk ENNReal.coe_lt_top
simp_rw [this, upcrossings, iSup_le_iff]
constructor <;> rintro ⟨k, hk⟩
· obtain ⟨m, hm⟩ := exists_nat_ge k
refine' ⟨m, fun N => Nat.cast_le.1 ((hk N).trans _)⟩
rwa [← ENNReal.coe_nat, ENNReal.coe_le_coe]
·
|
Mathlib.Probability.Martingale.Upcrossing.834_0.80Cpy4Qgm9i1y9y
|
theorem upcrossings_lt_top_iff :
upcrossings a b f ω < ∞ ↔ ∃ k, ∀ N, upcrossingsBefore a b f N ω ≤ k
|
Mathlib_Probability_Martingale_Upcrossing
|
case mpr.intro
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a b : ℝ
f : ℕ → Ω → ℝ
N✝ n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
this : upcrossings a b f ω < ⊤ ↔ ∃ k, upcrossings a b f ω ≤ ↑k
k : ℕ
hk : ∀ (N : ℕ), upcrossingsBefore a b f N ω ≤ k
N : ℕ
⊢ ↑(upcrossingsBefore a b f N ω) ≤ ↑↑k
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
· rfl
#align measure_theory.crossing_pos_eq MeasureTheory.crossing_pos_eq
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
simp_rw [upcrossingsBefore, (crossing_pos_eq hab).1]
#align measure_theory.upcrossings_before_pos_eq MeasureTheory.upcrossingsBefore_pos_eq
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
simp_rw [sub_zero, ← upcrossingsBefore_pos_eq hab]
rfl
#align measure_theory.mul_integral_upcrossings_before_le_integral_pos_part_aux MeasureTheory.mul_integral_upcrossingsBefore_le_integral_pos_part_aux
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
by_cases hab : a < b
· exact mul_integral_upcrossingsBefore_le_integral_pos_part_aux hf hab
· rw [not_lt, ← sub_nonpos] at hab
exact le_trans (mul_nonpos_of_nonpos_of_nonneg hab (integral_nonneg fun ω => Nat.cast_nonneg _))
(integral_nonneg fun ω => LatticeOrderedGroup.pos_nonneg _)
#align measure_theory.submartingale.mul_integral_upcrossings_before_le_integral_pos_part MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part
/-!
### Variant of the upcrossing estimate
Now, we would like to prove a variant of the upcrossing estimate obtained by taking the supremum
over $N$ of the original upcrossing estimate. Namely, we want the inequality
$$
(b - a) \sup_N \mathbb{E}[U_N(a, b)] \le \sup_N \mathbb{E}[f_N].
$$
This inequality is central for the martingale convergence theorem as it provides a uniform bound
for the upcrossings.
We note that on top of taking the supremum on both sides of the inequality, we had also used
the monotone convergence theorem on the left hand side to take the supremum outside of the
integral. To do this, we need to make sure $U_N(a, b)$ is measurable and integrable. Integrability
is easy to check as $U_N(a, b) ≤ N$ and so it suffices to show measurability. Indeed, by
noting that
$$
U_N(a, b) = \sum_{i = 1}^N \mathbf{1}_{\{U_N(a, b) < N\}}
$$
$U_N(a, b)$ is measurable as $\{U_N(a, b) < N\}$ is a measurable set since $U_N(a, b)$ is a
stopping time.
-/
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
rintro k hk
rw [Finset.mem_Ico] at hk
rw [Set.indicator_of_mem]
· rfl
· exact upperCrossingTime_lt_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab
(Nat.lt_succ_iff.1 hk.2)
have h₂ : ∀ k ∈ Finset.Ico (upcrossingsBefore a b f N ω + 1) (N + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 0 := by
rintro k hk
rw [Finset.mem_Ico, Nat.succ_le_iff] at hk
rw [Set.indicator_of_not_mem]
simp only [Set.mem_setOf_eq, not_lt]
exact (upperCrossingTime_eq_of_upcrossingsBefore_lt hab hk.1).symm.le
rw [Finset.sum_congr rfl h₁, Finset.sum_congr rfl h₂, Finset.sum_const, Finset.sum_const,
smul_eq_mul, mul_one, smul_eq_mul, mul_zero, Nat.card_Ico, Nat.add_succ_sub_one,
add_zero, add_zero]
#align measure_theory.upcrossings_before_eq_sum MeasureTheory.upcrossingsBefore_eq_sum
theorem Adapted.measurable_upcrossingsBefore (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossingsBefore a b f N) := by
have : upcrossingsBefore a b f N = fun ω =>
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
ext ω
exact upcrossingsBefore_eq_sum hab
rw [this]
exact Finset.measurable_sum _ fun i _ => Measurable.indicator measurable_const <|
ℱ.le N _ (hf.isStoppingTime_upperCrossingTime.measurableSet_lt_of_pred N)
#align measure_theory.adapted.measurable_upcrossings_before MeasureTheory.Adapted.measurable_upcrossingsBefore
theorem Adapted.integrable_upcrossingsBefore [IsFiniteMeasure μ] (hf : Adapted ℱ f) (hab : a < b) :
Integrable (fun ω => (upcrossingsBefore a b f N ω : ℝ)) μ :=
haveI : ∀ᵐ ω ∂μ, ‖(upcrossingsBefore a b f N ω : ℝ)‖ ≤ N := by
refine' eventually_of_forall fun ω => _
rw [Real.norm_eq_abs, Nat.abs_cast, Nat.cast_le]
refine' upcrossingsBefore_le _ _ hab
⟨Measurable.aestronglyMeasurable (measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)),
hasFiniteIntegral_of_bounded this⟩
#align measure_theory.adapted.integrable_upcrossings_before MeasureTheory.Adapted.integrable_upcrossingsBefore
/-- The number of upcrossings of a realization of a stochastic process (`upcrossings` takes value
in `ℝ≥0∞` and so is allowed to be `∞`). -/
noncomputable def upcrossings [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(ω : Ω) : ℝ≥0∞ :=
⨆ N, (upcrossingsBefore a b f N ω : ℝ≥0∞)
#align measure_theory.upcrossings MeasureTheory.upcrossings
theorem Adapted.measurable_upcrossings (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossings a b f) :=
measurable_iSup fun _ => measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)
#align measure_theory.adapted.measurable_upcrossings MeasureTheory.Adapted.measurable_upcrossings
theorem upcrossings_lt_top_iff :
upcrossings a b f ω < ∞ ↔ ∃ k, ∀ N, upcrossingsBefore a b f N ω ≤ k := by
have : upcrossings a b f ω < ∞ ↔ ∃ k : ℝ≥0, upcrossings a b f ω ≤ k := by
constructor
· intro h
lift upcrossings a b f ω to ℝ≥0 using h.ne with r hr
exact ⟨r, le_rfl⟩
· rintro ⟨k, hk⟩
exact lt_of_le_of_lt hk ENNReal.coe_lt_top
simp_rw [this, upcrossings, iSup_le_iff]
constructor <;> rintro ⟨k, hk⟩
· obtain ⟨m, hm⟩ := exists_nat_ge k
refine' ⟨m, fun N => Nat.cast_le.1 ((hk N).trans _)⟩
rwa [← ENNReal.coe_nat, ENNReal.coe_le_coe]
· refine' ⟨k, fun N => _⟩
|
simp only [ENNReal.coe_nat, Nat.cast_le, hk N]
|
theorem upcrossings_lt_top_iff :
upcrossings a b f ω < ∞ ↔ ∃ k, ∀ N, upcrossingsBefore a b f N ω ≤ k := by
have : upcrossings a b f ω < ∞ ↔ ∃ k : ℝ≥0, upcrossings a b f ω ≤ k := by
constructor
· intro h
lift upcrossings a b f ω to ℝ≥0 using h.ne with r hr
exact ⟨r, le_rfl⟩
· rintro ⟨k, hk⟩
exact lt_of_le_of_lt hk ENNReal.coe_lt_top
simp_rw [this, upcrossings, iSup_le_iff]
constructor <;> rintro ⟨k, hk⟩
· obtain ⟨m, hm⟩ := exists_nat_ge k
refine' ⟨m, fun N => Nat.cast_le.1 ((hk N).trans _)⟩
rwa [← ENNReal.coe_nat, ENNReal.coe_le_coe]
· refine' ⟨k, fun N => _⟩
|
Mathlib.Probability.Martingale.Upcrossing.834_0.80Cpy4Qgm9i1y9y
|
theorem upcrossings_lt_top_iff :
upcrossings a b f ω < ∞ ↔ ∃ k, ∀ N, upcrossingsBefore a b f N ω ≤ k
|
Mathlib_Probability_Martingale_Upcrossing
|
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a✝ b✝ : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
inst✝ : IsFiniteMeasure μ
a b : ℝ
hf : Submartingale f ℱ μ
⊢ ENNReal.ofReal (b - a) * ∫⁻ (ω : Ω), upcrossings a b f ω ∂μ ≤ ⨆ N, ∫⁻ (ω : Ω), ENNReal.ofReal (f N ω - a)⁺ ∂μ
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
· rfl
#align measure_theory.crossing_pos_eq MeasureTheory.crossing_pos_eq
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
simp_rw [upcrossingsBefore, (crossing_pos_eq hab).1]
#align measure_theory.upcrossings_before_pos_eq MeasureTheory.upcrossingsBefore_pos_eq
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
simp_rw [sub_zero, ← upcrossingsBefore_pos_eq hab]
rfl
#align measure_theory.mul_integral_upcrossings_before_le_integral_pos_part_aux MeasureTheory.mul_integral_upcrossingsBefore_le_integral_pos_part_aux
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
by_cases hab : a < b
· exact mul_integral_upcrossingsBefore_le_integral_pos_part_aux hf hab
· rw [not_lt, ← sub_nonpos] at hab
exact le_trans (mul_nonpos_of_nonpos_of_nonneg hab (integral_nonneg fun ω => Nat.cast_nonneg _))
(integral_nonneg fun ω => LatticeOrderedGroup.pos_nonneg _)
#align measure_theory.submartingale.mul_integral_upcrossings_before_le_integral_pos_part MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part
/-!
### Variant of the upcrossing estimate
Now, we would like to prove a variant of the upcrossing estimate obtained by taking the supremum
over $N$ of the original upcrossing estimate. Namely, we want the inequality
$$
(b - a) \sup_N \mathbb{E}[U_N(a, b)] \le \sup_N \mathbb{E}[f_N].
$$
This inequality is central for the martingale convergence theorem as it provides a uniform bound
for the upcrossings.
We note that on top of taking the supremum on both sides of the inequality, we had also used
the monotone convergence theorem on the left hand side to take the supremum outside of the
integral. To do this, we need to make sure $U_N(a, b)$ is measurable and integrable. Integrability
is easy to check as $U_N(a, b) ≤ N$ and so it suffices to show measurability. Indeed, by
noting that
$$
U_N(a, b) = \sum_{i = 1}^N \mathbf{1}_{\{U_N(a, b) < N\}}
$$
$U_N(a, b)$ is measurable as $\{U_N(a, b) < N\}$ is a measurable set since $U_N(a, b)$ is a
stopping time.
-/
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
rintro k hk
rw [Finset.mem_Ico] at hk
rw [Set.indicator_of_mem]
· rfl
· exact upperCrossingTime_lt_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab
(Nat.lt_succ_iff.1 hk.2)
have h₂ : ∀ k ∈ Finset.Ico (upcrossingsBefore a b f N ω + 1) (N + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 0 := by
rintro k hk
rw [Finset.mem_Ico, Nat.succ_le_iff] at hk
rw [Set.indicator_of_not_mem]
simp only [Set.mem_setOf_eq, not_lt]
exact (upperCrossingTime_eq_of_upcrossingsBefore_lt hab hk.1).symm.le
rw [Finset.sum_congr rfl h₁, Finset.sum_congr rfl h₂, Finset.sum_const, Finset.sum_const,
smul_eq_mul, mul_one, smul_eq_mul, mul_zero, Nat.card_Ico, Nat.add_succ_sub_one,
add_zero, add_zero]
#align measure_theory.upcrossings_before_eq_sum MeasureTheory.upcrossingsBefore_eq_sum
theorem Adapted.measurable_upcrossingsBefore (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossingsBefore a b f N) := by
have : upcrossingsBefore a b f N = fun ω =>
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
ext ω
exact upcrossingsBefore_eq_sum hab
rw [this]
exact Finset.measurable_sum _ fun i _ => Measurable.indicator measurable_const <|
ℱ.le N _ (hf.isStoppingTime_upperCrossingTime.measurableSet_lt_of_pred N)
#align measure_theory.adapted.measurable_upcrossings_before MeasureTheory.Adapted.measurable_upcrossingsBefore
theorem Adapted.integrable_upcrossingsBefore [IsFiniteMeasure μ] (hf : Adapted ℱ f) (hab : a < b) :
Integrable (fun ω => (upcrossingsBefore a b f N ω : ℝ)) μ :=
haveI : ∀ᵐ ω ∂μ, ‖(upcrossingsBefore a b f N ω : ℝ)‖ ≤ N := by
refine' eventually_of_forall fun ω => _
rw [Real.norm_eq_abs, Nat.abs_cast, Nat.cast_le]
refine' upcrossingsBefore_le _ _ hab
⟨Measurable.aestronglyMeasurable (measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)),
hasFiniteIntegral_of_bounded this⟩
#align measure_theory.adapted.integrable_upcrossings_before MeasureTheory.Adapted.integrable_upcrossingsBefore
/-- The number of upcrossings of a realization of a stochastic process (`upcrossings` takes value
in `ℝ≥0∞` and so is allowed to be `∞`). -/
noncomputable def upcrossings [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(ω : Ω) : ℝ≥0∞ :=
⨆ N, (upcrossingsBefore a b f N ω : ℝ≥0∞)
#align measure_theory.upcrossings MeasureTheory.upcrossings
theorem Adapted.measurable_upcrossings (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossings a b f) :=
measurable_iSup fun _ => measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)
#align measure_theory.adapted.measurable_upcrossings MeasureTheory.Adapted.measurable_upcrossings
theorem upcrossings_lt_top_iff :
upcrossings a b f ω < ∞ ↔ ∃ k, ∀ N, upcrossingsBefore a b f N ω ≤ k := by
have : upcrossings a b f ω < ∞ ↔ ∃ k : ℝ≥0, upcrossings a b f ω ≤ k := by
constructor
· intro h
lift upcrossings a b f ω to ℝ≥0 using h.ne with r hr
exact ⟨r, le_rfl⟩
· rintro ⟨k, hk⟩
exact lt_of_le_of_lt hk ENNReal.coe_lt_top
simp_rw [this, upcrossings, iSup_le_iff]
constructor <;> rintro ⟨k, hk⟩
· obtain ⟨m, hm⟩ := exists_nat_ge k
refine' ⟨m, fun N => Nat.cast_le.1 ((hk N).trans _)⟩
rwa [← ENNReal.coe_nat, ENNReal.coe_le_coe]
· refine' ⟨k, fun N => _⟩
simp only [ENNReal.coe_nat, Nat.cast_le, hk N]
#align measure_theory.upcrossings_lt_top_iff MeasureTheory.upcrossings_lt_top_iff
/-- A variant of Doob's upcrossing estimate obtained by taking the supremum on both sides. -/
theorem Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part [IsFiniteMeasure μ] (a b : ℝ)
(hf : Submartingale f ℱ μ) : ENNReal.ofReal (b - a) * ∫⁻ ω, upcrossings a b f ω ∂μ ≤
⨆ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ := by
|
by_cases hab : a < b
|
/-- A variant of Doob's upcrossing estimate obtained by taking the supremum on both sides. -/
theorem Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part [IsFiniteMeasure μ] (a b : ℝ)
(hf : Submartingale f ℱ μ) : ENNReal.ofReal (b - a) * ∫⁻ ω, upcrossings a b f ω ∂μ ≤
⨆ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ := by
|
Mathlib.Probability.Martingale.Upcrossing.852_0.80Cpy4Qgm9i1y9y
|
/-- A variant of Doob's upcrossing estimate obtained by taking the supremum on both sides. -/
theorem Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part [IsFiniteMeasure μ] (a b : ℝ)
(hf : Submartingale f ℱ μ) : ENNReal.ofReal (b - a) * ∫⁻ ω, upcrossings a b f ω ∂μ ≤
⨆ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ
|
Mathlib_Probability_Martingale_Upcrossing
|
case pos
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a✝ b✝ : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
inst✝ : IsFiniteMeasure μ
a b : ℝ
hf : Submartingale f ℱ μ
hab : a < b
⊢ ENNReal.ofReal (b - a) * ∫⁻ (ω : Ω), upcrossings a b f ω ∂μ ≤ ⨆ N, ∫⁻ (ω : Ω), ENNReal.ofReal (f N ω - a)⁺ ∂μ
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
· rfl
#align measure_theory.crossing_pos_eq MeasureTheory.crossing_pos_eq
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
simp_rw [upcrossingsBefore, (crossing_pos_eq hab).1]
#align measure_theory.upcrossings_before_pos_eq MeasureTheory.upcrossingsBefore_pos_eq
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
simp_rw [sub_zero, ← upcrossingsBefore_pos_eq hab]
rfl
#align measure_theory.mul_integral_upcrossings_before_le_integral_pos_part_aux MeasureTheory.mul_integral_upcrossingsBefore_le_integral_pos_part_aux
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
by_cases hab : a < b
· exact mul_integral_upcrossingsBefore_le_integral_pos_part_aux hf hab
· rw [not_lt, ← sub_nonpos] at hab
exact le_trans (mul_nonpos_of_nonpos_of_nonneg hab (integral_nonneg fun ω => Nat.cast_nonneg _))
(integral_nonneg fun ω => LatticeOrderedGroup.pos_nonneg _)
#align measure_theory.submartingale.mul_integral_upcrossings_before_le_integral_pos_part MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part
/-!
### Variant of the upcrossing estimate
Now, we would like to prove a variant of the upcrossing estimate obtained by taking the supremum
over $N$ of the original upcrossing estimate. Namely, we want the inequality
$$
(b - a) \sup_N \mathbb{E}[U_N(a, b)] \le \sup_N \mathbb{E}[f_N].
$$
This inequality is central for the martingale convergence theorem as it provides a uniform bound
for the upcrossings.
We note that on top of taking the supremum on both sides of the inequality, we had also used
the monotone convergence theorem on the left hand side to take the supremum outside of the
integral. To do this, we need to make sure $U_N(a, b)$ is measurable and integrable. Integrability
is easy to check as $U_N(a, b) ≤ N$ and so it suffices to show measurability. Indeed, by
noting that
$$
U_N(a, b) = \sum_{i = 1}^N \mathbf{1}_{\{U_N(a, b) < N\}}
$$
$U_N(a, b)$ is measurable as $\{U_N(a, b) < N\}$ is a measurable set since $U_N(a, b)$ is a
stopping time.
-/
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
rintro k hk
rw [Finset.mem_Ico] at hk
rw [Set.indicator_of_mem]
· rfl
· exact upperCrossingTime_lt_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab
(Nat.lt_succ_iff.1 hk.2)
have h₂ : ∀ k ∈ Finset.Ico (upcrossingsBefore a b f N ω + 1) (N + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 0 := by
rintro k hk
rw [Finset.mem_Ico, Nat.succ_le_iff] at hk
rw [Set.indicator_of_not_mem]
simp only [Set.mem_setOf_eq, not_lt]
exact (upperCrossingTime_eq_of_upcrossingsBefore_lt hab hk.1).symm.le
rw [Finset.sum_congr rfl h₁, Finset.sum_congr rfl h₂, Finset.sum_const, Finset.sum_const,
smul_eq_mul, mul_one, smul_eq_mul, mul_zero, Nat.card_Ico, Nat.add_succ_sub_one,
add_zero, add_zero]
#align measure_theory.upcrossings_before_eq_sum MeasureTheory.upcrossingsBefore_eq_sum
theorem Adapted.measurable_upcrossingsBefore (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossingsBefore a b f N) := by
have : upcrossingsBefore a b f N = fun ω =>
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
ext ω
exact upcrossingsBefore_eq_sum hab
rw [this]
exact Finset.measurable_sum _ fun i _ => Measurable.indicator measurable_const <|
ℱ.le N _ (hf.isStoppingTime_upperCrossingTime.measurableSet_lt_of_pred N)
#align measure_theory.adapted.measurable_upcrossings_before MeasureTheory.Adapted.measurable_upcrossingsBefore
theorem Adapted.integrable_upcrossingsBefore [IsFiniteMeasure μ] (hf : Adapted ℱ f) (hab : a < b) :
Integrable (fun ω => (upcrossingsBefore a b f N ω : ℝ)) μ :=
haveI : ∀ᵐ ω ∂μ, ‖(upcrossingsBefore a b f N ω : ℝ)‖ ≤ N := by
refine' eventually_of_forall fun ω => _
rw [Real.norm_eq_abs, Nat.abs_cast, Nat.cast_le]
refine' upcrossingsBefore_le _ _ hab
⟨Measurable.aestronglyMeasurable (measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)),
hasFiniteIntegral_of_bounded this⟩
#align measure_theory.adapted.integrable_upcrossings_before MeasureTheory.Adapted.integrable_upcrossingsBefore
/-- The number of upcrossings of a realization of a stochastic process (`upcrossings` takes value
in `ℝ≥0∞` and so is allowed to be `∞`). -/
noncomputable def upcrossings [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(ω : Ω) : ℝ≥0∞ :=
⨆ N, (upcrossingsBefore a b f N ω : ℝ≥0∞)
#align measure_theory.upcrossings MeasureTheory.upcrossings
theorem Adapted.measurable_upcrossings (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossings a b f) :=
measurable_iSup fun _ => measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)
#align measure_theory.adapted.measurable_upcrossings MeasureTheory.Adapted.measurable_upcrossings
theorem upcrossings_lt_top_iff :
upcrossings a b f ω < ∞ ↔ ∃ k, ∀ N, upcrossingsBefore a b f N ω ≤ k := by
have : upcrossings a b f ω < ∞ ↔ ∃ k : ℝ≥0, upcrossings a b f ω ≤ k := by
constructor
· intro h
lift upcrossings a b f ω to ℝ≥0 using h.ne with r hr
exact ⟨r, le_rfl⟩
· rintro ⟨k, hk⟩
exact lt_of_le_of_lt hk ENNReal.coe_lt_top
simp_rw [this, upcrossings, iSup_le_iff]
constructor <;> rintro ⟨k, hk⟩
· obtain ⟨m, hm⟩ := exists_nat_ge k
refine' ⟨m, fun N => Nat.cast_le.1 ((hk N).trans _)⟩
rwa [← ENNReal.coe_nat, ENNReal.coe_le_coe]
· refine' ⟨k, fun N => _⟩
simp only [ENNReal.coe_nat, Nat.cast_le, hk N]
#align measure_theory.upcrossings_lt_top_iff MeasureTheory.upcrossings_lt_top_iff
/-- A variant of Doob's upcrossing estimate obtained by taking the supremum on both sides. -/
theorem Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part [IsFiniteMeasure μ] (a b : ℝ)
(hf : Submartingale f ℱ μ) : ENNReal.ofReal (b - a) * ∫⁻ ω, upcrossings a b f ω ∂μ ≤
⨆ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ := by
by_cases hab : a < b
·
|
simp_rw [upcrossings]
|
/-- A variant of Doob's upcrossing estimate obtained by taking the supremum on both sides. -/
theorem Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part [IsFiniteMeasure μ] (a b : ℝ)
(hf : Submartingale f ℱ μ) : ENNReal.ofReal (b - a) * ∫⁻ ω, upcrossings a b f ω ∂μ ≤
⨆ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ := by
by_cases hab : a < b
·
|
Mathlib.Probability.Martingale.Upcrossing.852_0.80Cpy4Qgm9i1y9y
|
/-- A variant of Doob's upcrossing estimate obtained by taking the supremum on both sides. -/
theorem Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part [IsFiniteMeasure μ] (a b : ℝ)
(hf : Submartingale f ℱ μ) : ENNReal.ofReal (b - a) * ∫⁻ ω, upcrossings a b f ω ∂μ ≤
⨆ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ
|
Mathlib_Probability_Martingale_Upcrossing
|
case pos
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a✝ b✝ : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
inst✝ : IsFiniteMeasure μ
a b : ℝ
hf : Submartingale f ℱ μ
hab : a < b
⊢ ENNReal.ofReal (b - a) * ∫⁻ (ω : Ω), ⨆ N, ↑(upcrossingsBefore a b f N ω) ∂μ ≤
⨆ N, ∫⁻ (ω : Ω), ENNReal.ofReal (f N ω - a)⁺ ∂μ
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
· rfl
#align measure_theory.crossing_pos_eq MeasureTheory.crossing_pos_eq
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
simp_rw [upcrossingsBefore, (crossing_pos_eq hab).1]
#align measure_theory.upcrossings_before_pos_eq MeasureTheory.upcrossingsBefore_pos_eq
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
simp_rw [sub_zero, ← upcrossingsBefore_pos_eq hab]
rfl
#align measure_theory.mul_integral_upcrossings_before_le_integral_pos_part_aux MeasureTheory.mul_integral_upcrossingsBefore_le_integral_pos_part_aux
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
by_cases hab : a < b
· exact mul_integral_upcrossingsBefore_le_integral_pos_part_aux hf hab
· rw [not_lt, ← sub_nonpos] at hab
exact le_trans (mul_nonpos_of_nonpos_of_nonneg hab (integral_nonneg fun ω => Nat.cast_nonneg _))
(integral_nonneg fun ω => LatticeOrderedGroup.pos_nonneg _)
#align measure_theory.submartingale.mul_integral_upcrossings_before_le_integral_pos_part MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part
/-!
### Variant of the upcrossing estimate
Now, we would like to prove a variant of the upcrossing estimate obtained by taking the supremum
over $N$ of the original upcrossing estimate. Namely, we want the inequality
$$
(b - a) \sup_N \mathbb{E}[U_N(a, b)] \le \sup_N \mathbb{E}[f_N].
$$
This inequality is central for the martingale convergence theorem as it provides a uniform bound
for the upcrossings.
We note that on top of taking the supremum on both sides of the inequality, we had also used
the monotone convergence theorem on the left hand side to take the supremum outside of the
integral. To do this, we need to make sure $U_N(a, b)$ is measurable and integrable. Integrability
is easy to check as $U_N(a, b) ≤ N$ and so it suffices to show measurability. Indeed, by
noting that
$$
U_N(a, b) = \sum_{i = 1}^N \mathbf{1}_{\{U_N(a, b) < N\}}
$$
$U_N(a, b)$ is measurable as $\{U_N(a, b) < N\}$ is a measurable set since $U_N(a, b)$ is a
stopping time.
-/
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
rintro k hk
rw [Finset.mem_Ico] at hk
rw [Set.indicator_of_mem]
· rfl
· exact upperCrossingTime_lt_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab
(Nat.lt_succ_iff.1 hk.2)
have h₂ : ∀ k ∈ Finset.Ico (upcrossingsBefore a b f N ω + 1) (N + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 0 := by
rintro k hk
rw [Finset.mem_Ico, Nat.succ_le_iff] at hk
rw [Set.indicator_of_not_mem]
simp only [Set.mem_setOf_eq, not_lt]
exact (upperCrossingTime_eq_of_upcrossingsBefore_lt hab hk.1).symm.le
rw [Finset.sum_congr rfl h₁, Finset.sum_congr rfl h₂, Finset.sum_const, Finset.sum_const,
smul_eq_mul, mul_one, smul_eq_mul, mul_zero, Nat.card_Ico, Nat.add_succ_sub_one,
add_zero, add_zero]
#align measure_theory.upcrossings_before_eq_sum MeasureTheory.upcrossingsBefore_eq_sum
theorem Adapted.measurable_upcrossingsBefore (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossingsBefore a b f N) := by
have : upcrossingsBefore a b f N = fun ω =>
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
ext ω
exact upcrossingsBefore_eq_sum hab
rw [this]
exact Finset.measurable_sum _ fun i _ => Measurable.indicator measurable_const <|
ℱ.le N _ (hf.isStoppingTime_upperCrossingTime.measurableSet_lt_of_pred N)
#align measure_theory.adapted.measurable_upcrossings_before MeasureTheory.Adapted.measurable_upcrossingsBefore
theorem Adapted.integrable_upcrossingsBefore [IsFiniteMeasure μ] (hf : Adapted ℱ f) (hab : a < b) :
Integrable (fun ω => (upcrossingsBefore a b f N ω : ℝ)) μ :=
haveI : ∀ᵐ ω ∂μ, ‖(upcrossingsBefore a b f N ω : ℝ)‖ ≤ N := by
refine' eventually_of_forall fun ω => _
rw [Real.norm_eq_abs, Nat.abs_cast, Nat.cast_le]
refine' upcrossingsBefore_le _ _ hab
⟨Measurable.aestronglyMeasurable (measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)),
hasFiniteIntegral_of_bounded this⟩
#align measure_theory.adapted.integrable_upcrossings_before MeasureTheory.Adapted.integrable_upcrossingsBefore
/-- The number of upcrossings of a realization of a stochastic process (`upcrossings` takes value
in `ℝ≥0∞` and so is allowed to be `∞`). -/
noncomputable def upcrossings [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(ω : Ω) : ℝ≥0∞ :=
⨆ N, (upcrossingsBefore a b f N ω : ℝ≥0∞)
#align measure_theory.upcrossings MeasureTheory.upcrossings
theorem Adapted.measurable_upcrossings (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossings a b f) :=
measurable_iSup fun _ => measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)
#align measure_theory.adapted.measurable_upcrossings MeasureTheory.Adapted.measurable_upcrossings
theorem upcrossings_lt_top_iff :
upcrossings a b f ω < ∞ ↔ ∃ k, ∀ N, upcrossingsBefore a b f N ω ≤ k := by
have : upcrossings a b f ω < ∞ ↔ ∃ k : ℝ≥0, upcrossings a b f ω ≤ k := by
constructor
· intro h
lift upcrossings a b f ω to ℝ≥0 using h.ne with r hr
exact ⟨r, le_rfl⟩
· rintro ⟨k, hk⟩
exact lt_of_le_of_lt hk ENNReal.coe_lt_top
simp_rw [this, upcrossings, iSup_le_iff]
constructor <;> rintro ⟨k, hk⟩
· obtain ⟨m, hm⟩ := exists_nat_ge k
refine' ⟨m, fun N => Nat.cast_le.1 ((hk N).trans _)⟩
rwa [← ENNReal.coe_nat, ENNReal.coe_le_coe]
· refine' ⟨k, fun N => _⟩
simp only [ENNReal.coe_nat, Nat.cast_le, hk N]
#align measure_theory.upcrossings_lt_top_iff MeasureTheory.upcrossings_lt_top_iff
/-- A variant of Doob's upcrossing estimate obtained by taking the supremum on both sides. -/
theorem Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part [IsFiniteMeasure μ] (a b : ℝ)
(hf : Submartingale f ℱ μ) : ENNReal.ofReal (b - a) * ∫⁻ ω, upcrossings a b f ω ∂μ ≤
⨆ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ := by
by_cases hab : a < b
· simp_rw [upcrossings]
|
have : ∀ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ = ENNReal.ofReal (∫ ω, (f N ω - a)⁺ ∂μ) := by
intro N
rw [ofReal_integral_eq_lintegral_ofReal]
· exact (hf.sub_martingale (martingale_const _ _ _)).pos.integrable _
· exact eventually_of_forall fun ω => LatticeOrderedGroup.pos_nonneg _
|
/-- A variant of Doob's upcrossing estimate obtained by taking the supremum on both sides. -/
theorem Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part [IsFiniteMeasure μ] (a b : ℝ)
(hf : Submartingale f ℱ μ) : ENNReal.ofReal (b - a) * ∫⁻ ω, upcrossings a b f ω ∂μ ≤
⨆ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ := by
by_cases hab : a < b
· simp_rw [upcrossings]
|
Mathlib.Probability.Martingale.Upcrossing.852_0.80Cpy4Qgm9i1y9y
|
/-- A variant of Doob's upcrossing estimate obtained by taking the supremum on both sides. -/
theorem Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part [IsFiniteMeasure μ] (a b : ℝ)
(hf : Submartingale f ℱ μ) : ENNReal.ofReal (b - a) * ∫⁻ ω, upcrossings a b f ω ∂μ ≤
⨆ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ
|
Mathlib_Probability_Martingale_Upcrossing
|
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a✝ b✝ : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
inst✝ : IsFiniteMeasure μ
a b : ℝ
hf : Submartingale f ℱ μ
hab : a < b
⊢ ∀ (N : ℕ), ∫⁻ (ω : Ω), ENNReal.ofReal (f N ω - a)⁺ ∂μ = ENNReal.ofReal (∫ (ω : Ω), (f N ω - a)⁺ ∂μ)
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
· rfl
#align measure_theory.crossing_pos_eq MeasureTheory.crossing_pos_eq
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
simp_rw [upcrossingsBefore, (crossing_pos_eq hab).1]
#align measure_theory.upcrossings_before_pos_eq MeasureTheory.upcrossingsBefore_pos_eq
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
simp_rw [sub_zero, ← upcrossingsBefore_pos_eq hab]
rfl
#align measure_theory.mul_integral_upcrossings_before_le_integral_pos_part_aux MeasureTheory.mul_integral_upcrossingsBefore_le_integral_pos_part_aux
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
by_cases hab : a < b
· exact mul_integral_upcrossingsBefore_le_integral_pos_part_aux hf hab
· rw [not_lt, ← sub_nonpos] at hab
exact le_trans (mul_nonpos_of_nonpos_of_nonneg hab (integral_nonneg fun ω => Nat.cast_nonneg _))
(integral_nonneg fun ω => LatticeOrderedGroup.pos_nonneg _)
#align measure_theory.submartingale.mul_integral_upcrossings_before_le_integral_pos_part MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part
/-!
### Variant of the upcrossing estimate
Now, we would like to prove a variant of the upcrossing estimate obtained by taking the supremum
over $N$ of the original upcrossing estimate. Namely, we want the inequality
$$
(b - a) \sup_N \mathbb{E}[U_N(a, b)] \le \sup_N \mathbb{E}[f_N].
$$
This inequality is central for the martingale convergence theorem as it provides a uniform bound
for the upcrossings.
We note that on top of taking the supremum on both sides of the inequality, we had also used
the monotone convergence theorem on the left hand side to take the supremum outside of the
integral. To do this, we need to make sure $U_N(a, b)$ is measurable and integrable. Integrability
is easy to check as $U_N(a, b) ≤ N$ and so it suffices to show measurability. Indeed, by
noting that
$$
U_N(a, b) = \sum_{i = 1}^N \mathbf{1}_{\{U_N(a, b) < N\}}
$$
$U_N(a, b)$ is measurable as $\{U_N(a, b) < N\}$ is a measurable set since $U_N(a, b)$ is a
stopping time.
-/
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
rintro k hk
rw [Finset.mem_Ico] at hk
rw [Set.indicator_of_mem]
· rfl
· exact upperCrossingTime_lt_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab
(Nat.lt_succ_iff.1 hk.2)
have h₂ : ∀ k ∈ Finset.Ico (upcrossingsBefore a b f N ω + 1) (N + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 0 := by
rintro k hk
rw [Finset.mem_Ico, Nat.succ_le_iff] at hk
rw [Set.indicator_of_not_mem]
simp only [Set.mem_setOf_eq, not_lt]
exact (upperCrossingTime_eq_of_upcrossingsBefore_lt hab hk.1).symm.le
rw [Finset.sum_congr rfl h₁, Finset.sum_congr rfl h₂, Finset.sum_const, Finset.sum_const,
smul_eq_mul, mul_one, smul_eq_mul, mul_zero, Nat.card_Ico, Nat.add_succ_sub_one,
add_zero, add_zero]
#align measure_theory.upcrossings_before_eq_sum MeasureTheory.upcrossingsBefore_eq_sum
theorem Adapted.measurable_upcrossingsBefore (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossingsBefore a b f N) := by
have : upcrossingsBefore a b f N = fun ω =>
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
ext ω
exact upcrossingsBefore_eq_sum hab
rw [this]
exact Finset.measurable_sum _ fun i _ => Measurable.indicator measurable_const <|
ℱ.le N _ (hf.isStoppingTime_upperCrossingTime.measurableSet_lt_of_pred N)
#align measure_theory.adapted.measurable_upcrossings_before MeasureTheory.Adapted.measurable_upcrossingsBefore
theorem Adapted.integrable_upcrossingsBefore [IsFiniteMeasure μ] (hf : Adapted ℱ f) (hab : a < b) :
Integrable (fun ω => (upcrossingsBefore a b f N ω : ℝ)) μ :=
haveI : ∀ᵐ ω ∂μ, ‖(upcrossingsBefore a b f N ω : ℝ)‖ ≤ N := by
refine' eventually_of_forall fun ω => _
rw [Real.norm_eq_abs, Nat.abs_cast, Nat.cast_le]
refine' upcrossingsBefore_le _ _ hab
⟨Measurable.aestronglyMeasurable (measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)),
hasFiniteIntegral_of_bounded this⟩
#align measure_theory.adapted.integrable_upcrossings_before MeasureTheory.Adapted.integrable_upcrossingsBefore
/-- The number of upcrossings of a realization of a stochastic process (`upcrossings` takes value
in `ℝ≥0∞` and so is allowed to be `∞`). -/
noncomputable def upcrossings [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(ω : Ω) : ℝ≥0∞ :=
⨆ N, (upcrossingsBefore a b f N ω : ℝ≥0∞)
#align measure_theory.upcrossings MeasureTheory.upcrossings
theorem Adapted.measurable_upcrossings (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossings a b f) :=
measurable_iSup fun _ => measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)
#align measure_theory.adapted.measurable_upcrossings MeasureTheory.Adapted.measurable_upcrossings
theorem upcrossings_lt_top_iff :
upcrossings a b f ω < ∞ ↔ ∃ k, ∀ N, upcrossingsBefore a b f N ω ≤ k := by
have : upcrossings a b f ω < ∞ ↔ ∃ k : ℝ≥0, upcrossings a b f ω ≤ k := by
constructor
· intro h
lift upcrossings a b f ω to ℝ≥0 using h.ne with r hr
exact ⟨r, le_rfl⟩
· rintro ⟨k, hk⟩
exact lt_of_le_of_lt hk ENNReal.coe_lt_top
simp_rw [this, upcrossings, iSup_le_iff]
constructor <;> rintro ⟨k, hk⟩
· obtain ⟨m, hm⟩ := exists_nat_ge k
refine' ⟨m, fun N => Nat.cast_le.1 ((hk N).trans _)⟩
rwa [← ENNReal.coe_nat, ENNReal.coe_le_coe]
· refine' ⟨k, fun N => _⟩
simp only [ENNReal.coe_nat, Nat.cast_le, hk N]
#align measure_theory.upcrossings_lt_top_iff MeasureTheory.upcrossings_lt_top_iff
/-- A variant of Doob's upcrossing estimate obtained by taking the supremum on both sides. -/
theorem Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part [IsFiniteMeasure μ] (a b : ℝ)
(hf : Submartingale f ℱ μ) : ENNReal.ofReal (b - a) * ∫⁻ ω, upcrossings a b f ω ∂μ ≤
⨆ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ := by
by_cases hab : a < b
· simp_rw [upcrossings]
have : ∀ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ = ENNReal.ofReal (∫ ω, (f N ω - a)⁺ ∂μ) := by
|
intro N
|
/-- A variant of Doob's upcrossing estimate obtained by taking the supremum on both sides. -/
theorem Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part [IsFiniteMeasure μ] (a b : ℝ)
(hf : Submartingale f ℱ μ) : ENNReal.ofReal (b - a) * ∫⁻ ω, upcrossings a b f ω ∂μ ≤
⨆ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ := by
by_cases hab : a < b
· simp_rw [upcrossings]
have : ∀ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ = ENNReal.ofReal (∫ ω, (f N ω - a)⁺ ∂μ) := by
|
Mathlib.Probability.Martingale.Upcrossing.852_0.80Cpy4Qgm9i1y9y
|
/-- A variant of Doob's upcrossing estimate obtained by taking the supremum on both sides. -/
theorem Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part [IsFiniteMeasure μ] (a b : ℝ)
(hf : Submartingale f ℱ μ) : ENNReal.ofReal (b - a) * ∫⁻ ω, upcrossings a b f ω ∂μ ≤
⨆ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ
|
Mathlib_Probability_Martingale_Upcrossing
|
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a✝ b✝ : ℝ
f : ℕ → Ω → ℝ
N✝ n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
inst✝ : IsFiniteMeasure μ
a b : ℝ
hf : Submartingale f ℱ μ
hab : a < b
N : ℕ
⊢ ∫⁻ (ω : Ω), ENNReal.ofReal (f N ω - a)⁺ ∂μ = ENNReal.ofReal (∫ (ω : Ω), (f N ω - a)⁺ ∂μ)
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
· rfl
#align measure_theory.crossing_pos_eq MeasureTheory.crossing_pos_eq
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
simp_rw [upcrossingsBefore, (crossing_pos_eq hab).1]
#align measure_theory.upcrossings_before_pos_eq MeasureTheory.upcrossingsBefore_pos_eq
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
simp_rw [sub_zero, ← upcrossingsBefore_pos_eq hab]
rfl
#align measure_theory.mul_integral_upcrossings_before_le_integral_pos_part_aux MeasureTheory.mul_integral_upcrossingsBefore_le_integral_pos_part_aux
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
by_cases hab : a < b
· exact mul_integral_upcrossingsBefore_le_integral_pos_part_aux hf hab
· rw [not_lt, ← sub_nonpos] at hab
exact le_trans (mul_nonpos_of_nonpos_of_nonneg hab (integral_nonneg fun ω => Nat.cast_nonneg _))
(integral_nonneg fun ω => LatticeOrderedGroup.pos_nonneg _)
#align measure_theory.submartingale.mul_integral_upcrossings_before_le_integral_pos_part MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part
/-!
### Variant of the upcrossing estimate
Now, we would like to prove a variant of the upcrossing estimate obtained by taking the supremum
over $N$ of the original upcrossing estimate. Namely, we want the inequality
$$
(b - a) \sup_N \mathbb{E}[U_N(a, b)] \le \sup_N \mathbb{E}[f_N].
$$
This inequality is central for the martingale convergence theorem as it provides a uniform bound
for the upcrossings.
We note that on top of taking the supremum on both sides of the inequality, we had also used
the monotone convergence theorem on the left hand side to take the supremum outside of the
integral. To do this, we need to make sure $U_N(a, b)$ is measurable and integrable. Integrability
is easy to check as $U_N(a, b) ≤ N$ and so it suffices to show measurability. Indeed, by
noting that
$$
U_N(a, b) = \sum_{i = 1}^N \mathbf{1}_{\{U_N(a, b) < N\}}
$$
$U_N(a, b)$ is measurable as $\{U_N(a, b) < N\}$ is a measurable set since $U_N(a, b)$ is a
stopping time.
-/
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
rintro k hk
rw [Finset.mem_Ico] at hk
rw [Set.indicator_of_mem]
· rfl
· exact upperCrossingTime_lt_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab
(Nat.lt_succ_iff.1 hk.2)
have h₂ : ∀ k ∈ Finset.Ico (upcrossingsBefore a b f N ω + 1) (N + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 0 := by
rintro k hk
rw [Finset.mem_Ico, Nat.succ_le_iff] at hk
rw [Set.indicator_of_not_mem]
simp only [Set.mem_setOf_eq, not_lt]
exact (upperCrossingTime_eq_of_upcrossingsBefore_lt hab hk.1).symm.le
rw [Finset.sum_congr rfl h₁, Finset.sum_congr rfl h₂, Finset.sum_const, Finset.sum_const,
smul_eq_mul, mul_one, smul_eq_mul, mul_zero, Nat.card_Ico, Nat.add_succ_sub_one,
add_zero, add_zero]
#align measure_theory.upcrossings_before_eq_sum MeasureTheory.upcrossingsBefore_eq_sum
theorem Adapted.measurable_upcrossingsBefore (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossingsBefore a b f N) := by
have : upcrossingsBefore a b f N = fun ω =>
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
ext ω
exact upcrossingsBefore_eq_sum hab
rw [this]
exact Finset.measurable_sum _ fun i _ => Measurable.indicator measurable_const <|
ℱ.le N _ (hf.isStoppingTime_upperCrossingTime.measurableSet_lt_of_pred N)
#align measure_theory.adapted.measurable_upcrossings_before MeasureTheory.Adapted.measurable_upcrossingsBefore
theorem Adapted.integrable_upcrossingsBefore [IsFiniteMeasure μ] (hf : Adapted ℱ f) (hab : a < b) :
Integrable (fun ω => (upcrossingsBefore a b f N ω : ℝ)) μ :=
haveI : ∀ᵐ ω ∂μ, ‖(upcrossingsBefore a b f N ω : ℝ)‖ ≤ N := by
refine' eventually_of_forall fun ω => _
rw [Real.norm_eq_abs, Nat.abs_cast, Nat.cast_le]
refine' upcrossingsBefore_le _ _ hab
⟨Measurable.aestronglyMeasurable (measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)),
hasFiniteIntegral_of_bounded this⟩
#align measure_theory.adapted.integrable_upcrossings_before MeasureTheory.Adapted.integrable_upcrossingsBefore
/-- The number of upcrossings of a realization of a stochastic process (`upcrossings` takes value
in `ℝ≥0∞` and so is allowed to be `∞`). -/
noncomputable def upcrossings [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(ω : Ω) : ℝ≥0∞ :=
⨆ N, (upcrossingsBefore a b f N ω : ℝ≥0∞)
#align measure_theory.upcrossings MeasureTheory.upcrossings
theorem Adapted.measurable_upcrossings (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossings a b f) :=
measurable_iSup fun _ => measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)
#align measure_theory.adapted.measurable_upcrossings MeasureTheory.Adapted.measurable_upcrossings
theorem upcrossings_lt_top_iff :
upcrossings a b f ω < ∞ ↔ ∃ k, ∀ N, upcrossingsBefore a b f N ω ≤ k := by
have : upcrossings a b f ω < ∞ ↔ ∃ k : ℝ≥0, upcrossings a b f ω ≤ k := by
constructor
· intro h
lift upcrossings a b f ω to ℝ≥0 using h.ne with r hr
exact ⟨r, le_rfl⟩
· rintro ⟨k, hk⟩
exact lt_of_le_of_lt hk ENNReal.coe_lt_top
simp_rw [this, upcrossings, iSup_le_iff]
constructor <;> rintro ⟨k, hk⟩
· obtain ⟨m, hm⟩ := exists_nat_ge k
refine' ⟨m, fun N => Nat.cast_le.1 ((hk N).trans _)⟩
rwa [← ENNReal.coe_nat, ENNReal.coe_le_coe]
· refine' ⟨k, fun N => _⟩
simp only [ENNReal.coe_nat, Nat.cast_le, hk N]
#align measure_theory.upcrossings_lt_top_iff MeasureTheory.upcrossings_lt_top_iff
/-- A variant of Doob's upcrossing estimate obtained by taking the supremum on both sides. -/
theorem Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part [IsFiniteMeasure μ] (a b : ℝ)
(hf : Submartingale f ℱ μ) : ENNReal.ofReal (b - a) * ∫⁻ ω, upcrossings a b f ω ∂μ ≤
⨆ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ := by
by_cases hab : a < b
· simp_rw [upcrossings]
have : ∀ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ = ENNReal.ofReal (∫ ω, (f N ω - a)⁺ ∂μ) := by
intro N
|
rw [ofReal_integral_eq_lintegral_ofReal]
|
/-- A variant of Doob's upcrossing estimate obtained by taking the supremum on both sides. -/
theorem Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part [IsFiniteMeasure μ] (a b : ℝ)
(hf : Submartingale f ℱ μ) : ENNReal.ofReal (b - a) * ∫⁻ ω, upcrossings a b f ω ∂μ ≤
⨆ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ := by
by_cases hab : a < b
· simp_rw [upcrossings]
have : ∀ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ = ENNReal.ofReal (∫ ω, (f N ω - a)⁺ ∂μ) := by
intro N
|
Mathlib.Probability.Martingale.Upcrossing.852_0.80Cpy4Qgm9i1y9y
|
/-- A variant of Doob's upcrossing estimate obtained by taking the supremum on both sides. -/
theorem Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part [IsFiniteMeasure μ] (a b : ℝ)
(hf : Submartingale f ℱ μ) : ENNReal.ofReal (b - a) * ∫⁻ ω, upcrossings a b f ω ∂μ ≤
⨆ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ
|
Mathlib_Probability_Martingale_Upcrossing
|
case hfi
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a✝ b✝ : ℝ
f : ℕ → Ω → ℝ
N✝ n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
inst✝ : IsFiniteMeasure μ
a b : ℝ
hf : Submartingale f ℱ μ
hab : a < b
N : ℕ
⊢ Integrable fun ω => (f N ω - a)⁺
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
· rfl
#align measure_theory.crossing_pos_eq MeasureTheory.crossing_pos_eq
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
simp_rw [upcrossingsBefore, (crossing_pos_eq hab).1]
#align measure_theory.upcrossings_before_pos_eq MeasureTheory.upcrossingsBefore_pos_eq
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
simp_rw [sub_zero, ← upcrossingsBefore_pos_eq hab]
rfl
#align measure_theory.mul_integral_upcrossings_before_le_integral_pos_part_aux MeasureTheory.mul_integral_upcrossingsBefore_le_integral_pos_part_aux
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
by_cases hab : a < b
· exact mul_integral_upcrossingsBefore_le_integral_pos_part_aux hf hab
· rw [not_lt, ← sub_nonpos] at hab
exact le_trans (mul_nonpos_of_nonpos_of_nonneg hab (integral_nonneg fun ω => Nat.cast_nonneg _))
(integral_nonneg fun ω => LatticeOrderedGroup.pos_nonneg _)
#align measure_theory.submartingale.mul_integral_upcrossings_before_le_integral_pos_part MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part
/-!
### Variant of the upcrossing estimate
Now, we would like to prove a variant of the upcrossing estimate obtained by taking the supremum
over $N$ of the original upcrossing estimate. Namely, we want the inequality
$$
(b - a) \sup_N \mathbb{E}[U_N(a, b)] \le \sup_N \mathbb{E}[f_N].
$$
This inequality is central for the martingale convergence theorem as it provides a uniform bound
for the upcrossings.
We note that on top of taking the supremum on both sides of the inequality, we had also used
the monotone convergence theorem on the left hand side to take the supremum outside of the
integral. To do this, we need to make sure $U_N(a, b)$ is measurable and integrable. Integrability
is easy to check as $U_N(a, b) ≤ N$ and so it suffices to show measurability. Indeed, by
noting that
$$
U_N(a, b) = \sum_{i = 1}^N \mathbf{1}_{\{U_N(a, b) < N\}}
$$
$U_N(a, b)$ is measurable as $\{U_N(a, b) < N\}$ is a measurable set since $U_N(a, b)$ is a
stopping time.
-/
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
rintro k hk
rw [Finset.mem_Ico] at hk
rw [Set.indicator_of_mem]
· rfl
· exact upperCrossingTime_lt_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab
(Nat.lt_succ_iff.1 hk.2)
have h₂ : ∀ k ∈ Finset.Ico (upcrossingsBefore a b f N ω + 1) (N + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 0 := by
rintro k hk
rw [Finset.mem_Ico, Nat.succ_le_iff] at hk
rw [Set.indicator_of_not_mem]
simp only [Set.mem_setOf_eq, not_lt]
exact (upperCrossingTime_eq_of_upcrossingsBefore_lt hab hk.1).symm.le
rw [Finset.sum_congr rfl h₁, Finset.sum_congr rfl h₂, Finset.sum_const, Finset.sum_const,
smul_eq_mul, mul_one, smul_eq_mul, mul_zero, Nat.card_Ico, Nat.add_succ_sub_one,
add_zero, add_zero]
#align measure_theory.upcrossings_before_eq_sum MeasureTheory.upcrossingsBefore_eq_sum
theorem Adapted.measurable_upcrossingsBefore (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossingsBefore a b f N) := by
have : upcrossingsBefore a b f N = fun ω =>
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
ext ω
exact upcrossingsBefore_eq_sum hab
rw [this]
exact Finset.measurable_sum _ fun i _ => Measurable.indicator measurable_const <|
ℱ.le N _ (hf.isStoppingTime_upperCrossingTime.measurableSet_lt_of_pred N)
#align measure_theory.adapted.measurable_upcrossings_before MeasureTheory.Adapted.measurable_upcrossingsBefore
theorem Adapted.integrable_upcrossingsBefore [IsFiniteMeasure μ] (hf : Adapted ℱ f) (hab : a < b) :
Integrable (fun ω => (upcrossingsBefore a b f N ω : ℝ)) μ :=
haveI : ∀ᵐ ω ∂μ, ‖(upcrossingsBefore a b f N ω : ℝ)‖ ≤ N := by
refine' eventually_of_forall fun ω => _
rw [Real.norm_eq_abs, Nat.abs_cast, Nat.cast_le]
refine' upcrossingsBefore_le _ _ hab
⟨Measurable.aestronglyMeasurable (measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)),
hasFiniteIntegral_of_bounded this⟩
#align measure_theory.adapted.integrable_upcrossings_before MeasureTheory.Adapted.integrable_upcrossingsBefore
/-- The number of upcrossings of a realization of a stochastic process (`upcrossings` takes value
in `ℝ≥0∞` and so is allowed to be `∞`). -/
noncomputable def upcrossings [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(ω : Ω) : ℝ≥0∞ :=
⨆ N, (upcrossingsBefore a b f N ω : ℝ≥0∞)
#align measure_theory.upcrossings MeasureTheory.upcrossings
theorem Adapted.measurable_upcrossings (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossings a b f) :=
measurable_iSup fun _ => measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)
#align measure_theory.adapted.measurable_upcrossings MeasureTheory.Adapted.measurable_upcrossings
theorem upcrossings_lt_top_iff :
upcrossings a b f ω < ∞ ↔ ∃ k, ∀ N, upcrossingsBefore a b f N ω ≤ k := by
have : upcrossings a b f ω < ∞ ↔ ∃ k : ℝ≥0, upcrossings a b f ω ≤ k := by
constructor
· intro h
lift upcrossings a b f ω to ℝ≥0 using h.ne with r hr
exact ⟨r, le_rfl⟩
· rintro ⟨k, hk⟩
exact lt_of_le_of_lt hk ENNReal.coe_lt_top
simp_rw [this, upcrossings, iSup_le_iff]
constructor <;> rintro ⟨k, hk⟩
· obtain ⟨m, hm⟩ := exists_nat_ge k
refine' ⟨m, fun N => Nat.cast_le.1 ((hk N).trans _)⟩
rwa [← ENNReal.coe_nat, ENNReal.coe_le_coe]
· refine' ⟨k, fun N => _⟩
simp only [ENNReal.coe_nat, Nat.cast_le, hk N]
#align measure_theory.upcrossings_lt_top_iff MeasureTheory.upcrossings_lt_top_iff
/-- A variant of Doob's upcrossing estimate obtained by taking the supremum on both sides. -/
theorem Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part [IsFiniteMeasure μ] (a b : ℝ)
(hf : Submartingale f ℱ μ) : ENNReal.ofReal (b - a) * ∫⁻ ω, upcrossings a b f ω ∂μ ≤
⨆ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ := by
by_cases hab : a < b
· simp_rw [upcrossings]
have : ∀ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ = ENNReal.ofReal (∫ ω, (f N ω - a)⁺ ∂μ) := by
intro N
rw [ofReal_integral_eq_lintegral_ofReal]
·
|
exact (hf.sub_martingale (martingale_const _ _ _)).pos.integrable _
|
/-- A variant of Doob's upcrossing estimate obtained by taking the supremum on both sides. -/
theorem Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part [IsFiniteMeasure μ] (a b : ℝ)
(hf : Submartingale f ℱ μ) : ENNReal.ofReal (b - a) * ∫⁻ ω, upcrossings a b f ω ∂μ ≤
⨆ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ := by
by_cases hab : a < b
· simp_rw [upcrossings]
have : ∀ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ = ENNReal.ofReal (∫ ω, (f N ω - a)⁺ ∂μ) := by
intro N
rw [ofReal_integral_eq_lintegral_ofReal]
·
|
Mathlib.Probability.Martingale.Upcrossing.852_0.80Cpy4Qgm9i1y9y
|
/-- A variant of Doob's upcrossing estimate obtained by taking the supremum on both sides. -/
theorem Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part [IsFiniteMeasure μ] (a b : ℝ)
(hf : Submartingale f ℱ μ) : ENNReal.ofReal (b - a) * ∫⁻ ω, upcrossings a b f ω ∂μ ≤
⨆ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ
|
Mathlib_Probability_Martingale_Upcrossing
|
case f_nn
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a✝ b✝ : ℝ
f : ℕ → Ω → ℝ
N✝ n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
inst✝ : IsFiniteMeasure μ
a b : ℝ
hf : Submartingale f ℱ μ
hab : a < b
N : ℕ
⊢ 0 ≤ᵐ[μ] fun ω => (f N ω - a)⁺
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
· rfl
#align measure_theory.crossing_pos_eq MeasureTheory.crossing_pos_eq
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
simp_rw [upcrossingsBefore, (crossing_pos_eq hab).1]
#align measure_theory.upcrossings_before_pos_eq MeasureTheory.upcrossingsBefore_pos_eq
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
simp_rw [sub_zero, ← upcrossingsBefore_pos_eq hab]
rfl
#align measure_theory.mul_integral_upcrossings_before_le_integral_pos_part_aux MeasureTheory.mul_integral_upcrossingsBefore_le_integral_pos_part_aux
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
by_cases hab : a < b
· exact mul_integral_upcrossingsBefore_le_integral_pos_part_aux hf hab
· rw [not_lt, ← sub_nonpos] at hab
exact le_trans (mul_nonpos_of_nonpos_of_nonneg hab (integral_nonneg fun ω => Nat.cast_nonneg _))
(integral_nonneg fun ω => LatticeOrderedGroup.pos_nonneg _)
#align measure_theory.submartingale.mul_integral_upcrossings_before_le_integral_pos_part MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part
/-!
### Variant of the upcrossing estimate
Now, we would like to prove a variant of the upcrossing estimate obtained by taking the supremum
over $N$ of the original upcrossing estimate. Namely, we want the inequality
$$
(b - a) \sup_N \mathbb{E}[U_N(a, b)] \le \sup_N \mathbb{E}[f_N].
$$
This inequality is central for the martingale convergence theorem as it provides a uniform bound
for the upcrossings.
We note that on top of taking the supremum on both sides of the inequality, we had also used
the monotone convergence theorem on the left hand side to take the supremum outside of the
integral. To do this, we need to make sure $U_N(a, b)$ is measurable and integrable. Integrability
is easy to check as $U_N(a, b) ≤ N$ and so it suffices to show measurability. Indeed, by
noting that
$$
U_N(a, b) = \sum_{i = 1}^N \mathbf{1}_{\{U_N(a, b) < N\}}
$$
$U_N(a, b)$ is measurable as $\{U_N(a, b) < N\}$ is a measurable set since $U_N(a, b)$ is a
stopping time.
-/
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
rintro k hk
rw [Finset.mem_Ico] at hk
rw [Set.indicator_of_mem]
· rfl
· exact upperCrossingTime_lt_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab
(Nat.lt_succ_iff.1 hk.2)
have h₂ : ∀ k ∈ Finset.Ico (upcrossingsBefore a b f N ω + 1) (N + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 0 := by
rintro k hk
rw [Finset.mem_Ico, Nat.succ_le_iff] at hk
rw [Set.indicator_of_not_mem]
simp only [Set.mem_setOf_eq, not_lt]
exact (upperCrossingTime_eq_of_upcrossingsBefore_lt hab hk.1).symm.le
rw [Finset.sum_congr rfl h₁, Finset.sum_congr rfl h₂, Finset.sum_const, Finset.sum_const,
smul_eq_mul, mul_one, smul_eq_mul, mul_zero, Nat.card_Ico, Nat.add_succ_sub_one,
add_zero, add_zero]
#align measure_theory.upcrossings_before_eq_sum MeasureTheory.upcrossingsBefore_eq_sum
theorem Adapted.measurable_upcrossingsBefore (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossingsBefore a b f N) := by
have : upcrossingsBefore a b f N = fun ω =>
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
ext ω
exact upcrossingsBefore_eq_sum hab
rw [this]
exact Finset.measurable_sum _ fun i _ => Measurable.indicator measurable_const <|
ℱ.le N _ (hf.isStoppingTime_upperCrossingTime.measurableSet_lt_of_pred N)
#align measure_theory.adapted.measurable_upcrossings_before MeasureTheory.Adapted.measurable_upcrossingsBefore
theorem Adapted.integrable_upcrossingsBefore [IsFiniteMeasure μ] (hf : Adapted ℱ f) (hab : a < b) :
Integrable (fun ω => (upcrossingsBefore a b f N ω : ℝ)) μ :=
haveI : ∀ᵐ ω ∂μ, ‖(upcrossingsBefore a b f N ω : ℝ)‖ ≤ N := by
refine' eventually_of_forall fun ω => _
rw [Real.norm_eq_abs, Nat.abs_cast, Nat.cast_le]
refine' upcrossingsBefore_le _ _ hab
⟨Measurable.aestronglyMeasurable (measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)),
hasFiniteIntegral_of_bounded this⟩
#align measure_theory.adapted.integrable_upcrossings_before MeasureTheory.Adapted.integrable_upcrossingsBefore
/-- The number of upcrossings of a realization of a stochastic process (`upcrossings` takes value
in `ℝ≥0∞` and so is allowed to be `∞`). -/
noncomputable def upcrossings [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(ω : Ω) : ℝ≥0∞ :=
⨆ N, (upcrossingsBefore a b f N ω : ℝ≥0∞)
#align measure_theory.upcrossings MeasureTheory.upcrossings
theorem Adapted.measurable_upcrossings (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossings a b f) :=
measurable_iSup fun _ => measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)
#align measure_theory.adapted.measurable_upcrossings MeasureTheory.Adapted.measurable_upcrossings
theorem upcrossings_lt_top_iff :
upcrossings a b f ω < ∞ ↔ ∃ k, ∀ N, upcrossingsBefore a b f N ω ≤ k := by
have : upcrossings a b f ω < ∞ ↔ ∃ k : ℝ≥0, upcrossings a b f ω ≤ k := by
constructor
· intro h
lift upcrossings a b f ω to ℝ≥0 using h.ne with r hr
exact ⟨r, le_rfl⟩
· rintro ⟨k, hk⟩
exact lt_of_le_of_lt hk ENNReal.coe_lt_top
simp_rw [this, upcrossings, iSup_le_iff]
constructor <;> rintro ⟨k, hk⟩
· obtain ⟨m, hm⟩ := exists_nat_ge k
refine' ⟨m, fun N => Nat.cast_le.1 ((hk N).trans _)⟩
rwa [← ENNReal.coe_nat, ENNReal.coe_le_coe]
· refine' ⟨k, fun N => _⟩
simp only [ENNReal.coe_nat, Nat.cast_le, hk N]
#align measure_theory.upcrossings_lt_top_iff MeasureTheory.upcrossings_lt_top_iff
/-- A variant of Doob's upcrossing estimate obtained by taking the supremum on both sides. -/
theorem Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part [IsFiniteMeasure μ] (a b : ℝ)
(hf : Submartingale f ℱ μ) : ENNReal.ofReal (b - a) * ∫⁻ ω, upcrossings a b f ω ∂μ ≤
⨆ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ := by
by_cases hab : a < b
· simp_rw [upcrossings]
have : ∀ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ = ENNReal.ofReal (∫ ω, (f N ω - a)⁺ ∂μ) := by
intro N
rw [ofReal_integral_eq_lintegral_ofReal]
· exact (hf.sub_martingale (martingale_const _ _ _)).pos.integrable _
·
|
exact eventually_of_forall fun ω => LatticeOrderedGroup.pos_nonneg _
|
/-- A variant of Doob's upcrossing estimate obtained by taking the supremum on both sides. -/
theorem Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part [IsFiniteMeasure μ] (a b : ℝ)
(hf : Submartingale f ℱ μ) : ENNReal.ofReal (b - a) * ∫⁻ ω, upcrossings a b f ω ∂μ ≤
⨆ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ := by
by_cases hab : a < b
· simp_rw [upcrossings]
have : ∀ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ = ENNReal.ofReal (∫ ω, (f N ω - a)⁺ ∂μ) := by
intro N
rw [ofReal_integral_eq_lintegral_ofReal]
· exact (hf.sub_martingale (martingale_const _ _ _)).pos.integrable _
·
|
Mathlib.Probability.Martingale.Upcrossing.852_0.80Cpy4Qgm9i1y9y
|
/-- A variant of Doob's upcrossing estimate obtained by taking the supremum on both sides. -/
theorem Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part [IsFiniteMeasure μ] (a b : ℝ)
(hf : Submartingale f ℱ μ) : ENNReal.ofReal (b - a) * ∫⁻ ω, upcrossings a b f ω ∂μ ≤
⨆ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ
|
Mathlib_Probability_Martingale_Upcrossing
|
case pos
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a✝ b✝ : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
inst✝ : IsFiniteMeasure μ
a b : ℝ
hf : Submartingale f ℱ μ
hab : a < b
this : ∀ (N : ℕ), ∫⁻ (ω : Ω), ENNReal.ofReal (f N ω - a)⁺ ∂μ = ENNReal.ofReal (∫ (ω : Ω), (f N ω - a)⁺ ∂μ)
⊢ ENNReal.ofReal (b - a) * ∫⁻ (ω : Ω), ⨆ N, ↑(upcrossingsBefore a b f N ω) ∂μ ≤
⨆ N, ∫⁻ (ω : Ω), ENNReal.ofReal (f N ω - a)⁺ ∂μ
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
· rfl
#align measure_theory.crossing_pos_eq MeasureTheory.crossing_pos_eq
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
simp_rw [upcrossingsBefore, (crossing_pos_eq hab).1]
#align measure_theory.upcrossings_before_pos_eq MeasureTheory.upcrossingsBefore_pos_eq
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
simp_rw [sub_zero, ← upcrossingsBefore_pos_eq hab]
rfl
#align measure_theory.mul_integral_upcrossings_before_le_integral_pos_part_aux MeasureTheory.mul_integral_upcrossingsBefore_le_integral_pos_part_aux
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
by_cases hab : a < b
· exact mul_integral_upcrossingsBefore_le_integral_pos_part_aux hf hab
· rw [not_lt, ← sub_nonpos] at hab
exact le_trans (mul_nonpos_of_nonpos_of_nonneg hab (integral_nonneg fun ω => Nat.cast_nonneg _))
(integral_nonneg fun ω => LatticeOrderedGroup.pos_nonneg _)
#align measure_theory.submartingale.mul_integral_upcrossings_before_le_integral_pos_part MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part
/-!
### Variant of the upcrossing estimate
Now, we would like to prove a variant of the upcrossing estimate obtained by taking the supremum
over $N$ of the original upcrossing estimate. Namely, we want the inequality
$$
(b - a) \sup_N \mathbb{E}[U_N(a, b)] \le \sup_N \mathbb{E}[f_N].
$$
This inequality is central for the martingale convergence theorem as it provides a uniform bound
for the upcrossings.
We note that on top of taking the supremum on both sides of the inequality, we had also used
the monotone convergence theorem on the left hand side to take the supremum outside of the
integral. To do this, we need to make sure $U_N(a, b)$ is measurable and integrable. Integrability
is easy to check as $U_N(a, b) ≤ N$ and so it suffices to show measurability. Indeed, by
noting that
$$
U_N(a, b) = \sum_{i = 1}^N \mathbf{1}_{\{U_N(a, b) < N\}}
$$
$U_N(a, b)$ is measurable as $\{U_N(a, b) < N\}$ is a measurable set since $U_N(a, b)$ is a
stopping time.
-/
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
rintro k hk
rw [Finset.mem_Ico] at hk
rw [Set.indicator_of_mem]
· rfl
· exact upperCrossingTime_lt_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab
(Nat.lt_succ_iff.1 hk.2)
have h₂ : ∀ k ∈ Finset.Ico (upcrossingsBefore a b f N ω + 1) (N + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 0 := by
rintro k hk
rw [Finset.mem_Ico, Nat.succ_le_iff] at hk
rw [Set.indicator_of_not_mem]
simp only [Set.mem_setOf_eq, not_lt]
exact (upperCrossingTime_eq_of_upcrossingsBefore_lt hab hk.1).symm.le
rw [Finset.sum_congr rfl h₁, Finset.sum_congr rfl h₂, Finset.sum_const, Finset.sum_const,
smul_eq_mul, mul_one, smul_eq_mul, mul_zero, Nat.card_Ico, Nat.add_succ_sub_one,
add_zero, add_zero]
#align measure_theory.upcrossings_before_eq_sum MeasureTheory.upcrossingsBefore_eq_sum
theorem Adapted.measurable_upcrossingsBefore (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossingsBefore a b f N) := by
have : upcrossingsBefore a b f N = fun ω =>
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
ext ω
exact upcrossingsBefore_eq_sum hab
rw [this]
exact Finset.measurable_sum _ fun i _ => Measurable.indicator measurable_const <|
ℱ.le N _ (hf.isStoppingTime_upperCrossingTime.measurableSet_lt_of_pred N)
#align measure_theory.adapted.measurable_upcrossings_before MeasureTheory.Adapted.measurable_upcrossingsBefore
theorem Adapted.integrable_upcrossingsBefore [IsFiniteMeasure μ] (hf : Adapted ℱ f) (hab : a < b) :
Integrable (fun ω => (upcrossingsBefore a b f N ω : ℝ)) μ :=
haveI : ∀ᵐ ω ∂μ, ‖(upcrossingsBefore a b f N ω : ℝ)‖ ≤ N := by
refine' eventually_of_forall fun ω => _
rw [Real.norm_eq_abs, Nat.abs_cast, Nat.cast_le]
refine' upcrossingsBefore_le _ _ hab
⟨Measurable.aestronglyMeasurable (measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)),
hasFiniteIntegral_of_bounded this⟩
#align measure_theory.adapted.integrable_upcrossings_before MeasureTheory.Adapted.integrable_upcrossingsBefore
/-- The number of upcrossings of a realization of a stochastic process (`upcrossings` takes value
in `ℝ≥0∞` and so is allowed to be `∞`). -/
noncomputable def upcrossings [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(ω : Ω) : ℝ≥0∞ :=
⨆ N, (upcrossingsBefore a b f N ω : ℝ≥0∞)
#align measure_theory.upcrossings MeasureTheory.upcrossings
theorem Adapted.measurable_upcrossings (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossings a b f) :=
measurable_iSup fun _ => measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)
#align measure_theory.adapted.measurable_upcrossings MeasureTheory.Adapted.measurable_upcrossings
theorem upcrossings_lt_top_iff :
upcrossings a b f ω < ∞ ↔ ∃ k, ∀ N, upcrossingsBefore a b f N ω ≤ k := by
have : upcrossings a b f ω < ∞ ↔ ∃ k : ℝ≥0, upcrossings a b f ω ≤ k := by
constructor
· intro h
lift upcrossings a b f ω to ℝ≥0 using h.ne with r hr
exact ⟨r, le_rfl⟩
· rintro ⟨k, hk⟩
exact lt_of_le_of_lt hk ENNReal.coe_lt_top
simp_rw [this, upcrossings, iSup_le_iff]
constructor <;> rintro ⟨k, hk⟩
· obtain ⟨m, hm⟩ := exists_nat_ge k
refine' ⟨m, fun N => Nat.cast_le.1 ((hk N).trans _)⟩
rwa [← ENNReal.coe_nat, ENNReal.coe_le_coe]
· refine' ⟨k, fun N => _⟩
simp only [ENNReal.coe_nat, Nat.cast_le, hk N]
#align measure_theory.upcrossings_lt_top_iff MeasureTheory.upcrossings_lt_top_iff
/-- A variant of Doob's upcrossing estimate obtained by taking the supremum on both sides. -/
theorem Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part [IsFiniteMeasure μ] (a b : ℝ)
(hf : Submartingale f ℱ μ) : ENNReal.ofReal (b - a) * ∫⁻ ω, upcrossings a b f ω ∂μ ≤
⨆ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ := by
by_cases hab : a < b
· simp_rw [upcrossings]
have : ∀ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ = ENNReal.ofReal (∫ ω, (f N ω - a)⁺ ∂μ) := by
intro N
rw [ofReal_integral_eq_lintegral_ofReal]
· exact (hf.sub_martingale (martingale_const _ _ _)).pos.integrable _
· exact eventually_of_forall fun ω => LatticeOrderedGroup.pos_nonneg _
|
rw [lintegral_iSup']
|
/-- A variant of Doob's upcrossing estimate obtained by taking the supremum on both sides. -/
theorem Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part [IsFiniteMeasure μ] (a b : ℝ)
(hf : Submartingale f ℱ μ) : ENNReal.ofReal (b - a) * ∫⁻ ω, upcrossings a b f ω ∂μ ≤
⨆ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ := by
by_cases hab : a < b
· simp_rw [upcrossings]
have : ∀ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ = ENNReal.ofReal (∫ ω, (f N ω - a)⁺ ∂μ) := by
intro N
rw [ofReal_integral_eq_lintegral_ofReal]
· exact (hf.sub_martingale (martingale_const _ _ _)).pos.integrable _
· exact eventually_of_forall fun ω => LatticeOrderedGroup.pos_nonneg _
|
Mathlib.Probability.Martingale.Upcrossing.852_0.80Cpy4Qgm9i1y9y
|
/-- A variant of Doob's upcrossing estimate obtained by taking the supremum on both sides. -/
theorem Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part [IsFiniteMeasure μ] (a b : ℝ)
(hf : Submartingale f ℱ μ) : ENNReal.ofReal (b - a) * ∫⁻ ω, upcrossings a b f ω ∂μ ≤
⨆ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ
|
Mathlib_Probability_Martingale_Upcrossing
|
case pos
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a✝ b✝ : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
inst✝ : IsFiniteMeasure μ
a b : ℝ
hf : Submartingale f ℱ μ
hab : a < b
this : ∀ (N : ℕ), ∫⁻ (ω : Ω), ENNReal.ofReal (f N ω - a)⁺ ∂μ = ENNReal.ofReal (∫ (ω : Ω), (f N ω - a)⁺ ∂μ)
⊢ ENNReal.ofReal (b - a) * ⨆ n, ∫⁻ (a_1 : Ω), ↑(upcrossingsBefore a b f n a_1) ∂μ ≤
⨆ N, ∫⁻ (ω : Ω), ENNReal.ofReal (f N ω - a)⁺ ∂μ
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
· rfl
#align measure_theory.crossing_pos_eq MeasureTheory.crossing_pos_eq
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
simp_rw [upcrossingsBefore, (crossing_pos_eq hab).1]
#align measure_theory.upcrossings_before_pos_eq MeasureTheory.upcrossingsBefore_pos_eq
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
simp_rw [sub_zero, ← upcrossingsBefore_pos_eq hab]
rfl
#align measure_theory.mul_integral_upcrossings_before_le_integral_pos_part_aux MeasureTheory.mul_integral_upcrossingsBefore_le_integral_pos_part_aux
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
by_cases hab : a < b
· exact mul_integral_upcrossingsBefore_le_integral_pos_part_aux hf hab
· rw [not_lt, ← sub_nonpos] at hab
exact le_trans (mul_nonpos_of_nonpos_of_nonneg hab (integral_nonneg fun ω => Nat.cast_nonneg _))
(integral_nonneg fun ω => LatticeOrderedGroup.pos_nonneg _)
#align measure_theory.submartingale.mul_integral_upcrossings_before_le_integral_pos_part MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part
/-!
### Variant of the upcrossing estimate
Now, we would like to prove a variant of the upcrossing estimate obtained by taking the supremum
over $N$ of the original upcrossing estimate. Namely, we want the inequality
$$
(b - a) \sup_N \mathbb{E}[U_N(a, b)] \le \sup_N \mathbb{E}[f_N].
$$
This inequality is central for the martingale convergence theorem as it provides a uniform bound
for the upcrossings.
We note that on top of taking the supremum on both sides of the inequality, we had also used
the monotone convergence theorem on the left hand side to take the supremum outside of the
integral. To do this, we need to make sure $U_N(a, b)$ is measurable and integrable. Integrability
is easy to check as $U_N(a, b) ≤ N$ and so it suffices to show measurability. Indeed, by
noting that
$$
U_N(a, b) = \sum_{i = 1}^N \mathbf{1}_{\{U_N(a, b) < N\}}
$$
$U_N(a, b)$ is measurable as $\{U_N(a, b) < N\}$ is a measurable set since $U_N(a, b)$ is a
stopping time.
-/
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
rintro k hk
rw [Finset.mem_Ico] at hk
rw [Set.indicator_of_mem]
· rfl
· exact upperCrossingTime_lt_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab
(Nat.lt_succ_iff.1 hk.2)
have h₂ : ∀ k ∈ Finset.Ico (upcrossingsBefore a b f N ω + 1) (N + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 0 := by
rintro k hk
rw [Finset.mem_Ico, Nat.succ_le_iff] at hk
rw [Set.indicator_of_not_mem]
simp only [Set.mem_setOf_eq, not_lt]
exact (upperCrossingTime_eq_of_upcrossingsBefore_lt hab hk.1).symm.le
rw [Finset.sum_congr rfl h₁, Finset.sum_congr rfl h₂, Finset.sum_const, Finset.sum_const,
smul_eq_mul, mul_one, smul_eq_mul, mul_zero, Nat.card_Ico, Nat.add_succ_sub_one,
add_zero, add_zero]
#align measure_theory.upcrossings_before_eq_sum MeasureTheory.upcrossingsBefore_eq_sum
theorem Adapted.measurable_upcrossingsBefore (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossingsBefore a b f N) := by
have : upcrossingsBefore a b f N = fun ω =>
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
ext ω
exact upcrossingsBefore_eq_sum hab
rw [this]
exact Finset.measurable_sum _ fun i _ => Measurable.indicator measurable_const <|
ℱ.le N _ (hf.isStoppingTime_upperCrossingTime.measurableSet_lt_of_pred N)
#align measure_theory.adapted.measurable_upcrossings_before MeasureTheory.Adapted.measurable_upcrossingsBefore
theorem Adapted.integrable_upcrossingsBefore [IsFiniteMeasure μ] (hf : Adapted ℱ f) (hab : a < b) :
Integrable (fun ω => (upcrossingsBefore a b f N ω : ℝ)) μ :=
haveI : ∀ᵐ ω ∂μ, ‖(upcrossingsBefore a b f N ω : ℝ)‖ ≤ N := by
refine' eventually_of_forall fun ω => _
rw [Real.norm_eq_abs, Nat.abs_cast, Nat.cast_le]
refine' upcrossingsBefore_le _ _ hab
⟨Measurable.aestronglyMeasurable (measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)),
hasFiniteIntegral_of_bounded this⟩
#align measure_theory.adapted.integrable_upcrossings_before MeasureTheory.Adapted.integrable_upcrossingsBefore
/-- The number of upcrossings of a realization of a stochastic process (`upcrossings` takes value
in `ℝ≥0∞` and so is allowed to be `∞`). -/
noncomputable def upcrossings [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(ω : Ω) : ℝ≥0∞ :=
⨆ N, (upcrossingsBefore a b f N ω : ℝ≥0∞)
#align measure_theory.upcrossings MeasureTheory.upcrossings
theorem Adapted.measurable_upcrossings (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossings a b f) :=
measurable_iSup fun _ => measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)
#align measure_theory.adapted.measurable_upcrossings MeasureTheory.Adapted.measurable_upcrossings
theorem upcrossings_lt_top_iff :
upcrossings a b f ω < ∞ ↔ ∃ k, ∀ N, upcrossingsBefore a b f N ω ≤ k := by
have : upcrossings a b f ω < ∞ ↔ ∃ k : ℝ≥0, upcrossings a b f ω ≤ k := by
constructor
· intro h
lift upcrossings a b f ω to ℝ≥0 using h.ne with r hr
exact ⟨r, le_rfl⟩
· rintro ⟨k, hk⟩
exact lt_of_le_of_lt hk ENNReal.coe_lt_top
simp_rw [this, upcrossings, iSup_le_iff]
constructor <;> rintro ⟨k, hk⟩
· obtain ⟨m, hm⟩ := exists_nat_ge k
refine' ⟨m, fun N => Nat.cast_le.1 ((hk N).trans _)⟩
rwa [← ENNReal.coe_nat, ENNReal.coe_le_coe]
· refine' ⟨k, fun N => _⟩
simp only [ENNReal.coe_nat, Nat.cast_le, hk N]
#align measure_theory.upcrossings_lt_top_iff MeasureTheory.upcrossings_lt_top_iff
/-- A variant of Doob's upcrossing estimate obtained by taking the supremum on both sides. -/
theorem Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part [IsFiniteMeasure μ] (a b : ℝ)
(hf : Submartingale f ℱ μ) : ENNReal.ofReal (b - a) * ∫⁻ ω, upcrossings a b f ω ∂μ ≤
⨆ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ := by
by_cases hab : a < b
· simp_rw [upcrossings]
have : ∀ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ = ENNReal.ofReal (∫ ω, (f N ω - a)⁺ ∂μ) := by
intro N
rw [ofReal_integral_eq_lintegral_ofReal]
· exact (hf.sub_martingale (martingale_const _ _ _)).pos.integrable _
· exact eventually_of_forall fun ω => LatticeOrderedGroup.pos_nonneg _
rw [lintegral_iSup']
·
|
simp_rw [this, ENNReal.mul_iSup, iSup_le_iff]
|
/-- A variant of Doob's upcrossing estimate obtained by taking the supremum on both sides. -/
theorem Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part [IsFiniteMeasure μ] (a b : ℝ)
(hf : Submartingale f ℱ μ) : ENNReal.ofReal (b - a) * ∫⁻ ω, upcrossings a b f ω ∂μ ≤
⨆ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ := by
by_cases hab : a < b
· simp_rw [upcrossings]
have : ∀ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ = ENNReal.ofReal (∫ ω, (f N ω - a)⁺ ∂μ) := by
intro N
rw [ofReal_integral_eq_lintegral_ofReal]
· exact (hf.sub_martingale (martingale_const _ _ _)).pos.integrable _
· exact eventually_of_forall fun ω => LatticeOrderedGroup.pos_nonneg _
rw [lintegral_iSup']
·
|
Mathlib.Probability.Martingale.Upcrossing.852_0.80Cpy4Qgm9i1y9y
|
/-- A variant of Doob's upcrossing estimate obtained by taking the supremum on both sides. -/
theorem Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part [IsFiniteMeasure μ] (a b : ℝ)
(hf : Submartingale f ℱ μ) : ENNReal.ofReal (b - a) * ∫⁻ ω, upcrossings a b f ω ∂μ ≤
⨆ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ
|
Mathlib_Probability_Martingale_Upcrossing
|
case pos
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a✝ b✝ : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
inst✝ : IsFiniteMeasure μ
a b : ℝ
hf : Submartingale f ℱ μ
hab : a < b
this : ∀ (N : ℕ), ∫⁻ (ω : Ω), ENNReal.ofReal (f N ω - a)⁺ ∂μ = ENNReal.ofReal (∫ (ω : Ω), (f N ω - a)⁺ ∂μ)
⊢ ∀ (i : ℕ),
ENNReal.ofReal (b - a) * ∫⁻ (a_1 : Ω), ↑(upcrossingsBefore a b f i a_1) ∂μ ≤
⨆ N, ENNReal.ofReal (∫ (ω : Ω), (f N ω - a)⁺ ∂μ)
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
· rfl
#align measure_theory.crossing_pos_eq MeasureTheory.crossing_pos_eq
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
simp_rw [upcrossingsBefore, (crossing_pos_eq hab).1]
#align measure_theory.upcrossings_before_pos_eq MeasureTheory.upcrossingsBefore_pos_eq
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
simp_rw [sub_zero, ← upcrossingsBefore_pos_eq hab]
rfl
#align measure_theory.mul_integral_upcrossings_before_le_integral_pos_part_aux MeasureTheory.mul_integral_upcrossingsBefore_le_integral_pos_part_aux
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
by_cases hab : a < b
· exact mul_integral_upcrossingsBefore_le_integral_pos_part_aux hf hab
· rw [not_lt, ← sub_nonpos] at hab
exact le_trans (mul_nonpos_of_nonpos_of_nonneg hab (integral_nonneg fun ω => Nat.cast_nonneg _))
(integral_nonneg fun ω => LatticeOrderedGroup.pos_nonneg _)
#align measure_theory.submartingale.mul_integral_upcrossings_before_le_integral_pos_part MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part
/-!
### Variant of the upcrossing estimate
Now, we would like to prove a variant of the upcrossing estimate obtained by taking the supremum
over $N$ of the original upcrossing estimate. Namely, we want the inequality
$$
(b - a) \sup_N \mathbb{E}[U_N(a, b)] \le \sup_N \mathbb{E}[f_N].
$$
This inequality is central for the martingale convergence theorem as it provides a uniform bound
for the upcrossings.
We note that on top of taking the supremum on both sides of the inequality, we had also used
the monotone convergence theorem on the left hand side to take the supremum outside of the
integral. To do this, we need to make sure $U_N(a, b)$ is measurable and integrable. Integrability
is easy to check as $U_N(a, b) ≤ N$ and so it suffices to show measurability. Indeed, by
noting that
$$
U_N(a, b) = \sum_{i = 1}^N \mathbf{1}_{\{U_N(a, b) < N\}}
$$
$U_N(a, b)$ is measurable as $\{U_N(a, b) < N\}$ is a measurable set since $U_N(a, b)$ is a
stopping time.
-/
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
rintro k hk
rw [Finset.mem_Ico] at hk
rw [Set.indicator_of_mem]
· rfl
· exact upperCrossingTime_lt_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab
(Nat.lt_succ_iff.1 hk.2)
have h₂ : ∀ k ∈ Finset.Ico (upcrossingsBefore a b f N ω + 1) (N + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 0 := by
rintro k hk
rw [Finset.mem_Ico, Nat.succ_le_iff] at hk
rw [Set.indicator_of_not_mem]
simp only [Set.mem_setOf_eq, not_lt]
exact (upperCrossingTime_eq_of_upcrossingsBefore_lt hab hk.1).symm.le
rw [Finset.sum_congr rfl h₁, Finset.sum_congr rfl h₂, Finset.sum_const, Finset.sum_const,
smul_eq_mul, mul_one, smul_eq_mul, mul_zero, Nat.card_Ico, Nat.add_succ_sub_one,
add_zero, add_zero]
#align measure_theory.upcrossings_before_eq_sum MeasureTheory.upcrossingsBefore_eq_sum
theorem Adapted.measurable_upcrossingsBefore (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossingsBefore a b f N) := by
have : upcrossingsBefore a b f N = fun ω =>
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
ext ω
exact upcrossingsBefore_eq_sum hab
rw [this]
exact Finset.measurable_sum _ fun i _ => Measurable.indicator measurable_const <|
ℱ.le N _ (hf.isStoppingTime_upperCrossingTime.measurableSet_lt_of_pred N)
#align measure_theory.adapted.measurable_upcrossings_before MeasureTheory.Adapted.measurable_upcrossingsBefore
theorem Adapted.integrable_upcrossingsBefore [IsFiniteMeasure μ] (hf : Adapted ℱ f) (hab : a < b) :
Integrable (fun ω => (upcrossingsBefore a b f N ω : ℝ)) μ :=
haveI : ∀ᵐ ω ∂μ, ‖(upcrossingsBefore a b f N ω : ℝ)‖ ≤ N := by
refine' eventually_of_forall fun ω => _
rw [Real.norm_eq_abs, Nat.abs_cast, Nat.cast_le]
refine' upcrossingsBefore_le _ _ hab
⟨Measurable.aestronglyMeasurable (measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)),
hasFiniteIntegral_of_bounded this⟩
#align measure_theory.adapted.integrable_upcrossings_before MeasureTheory.Adapted.integrable_upcrossingsBefore
/-- The number of upcrossings of a realization of a stochastic process (`upcrossings` takes value
in `ℝ≥0∞` and so is allowed to be `∞`). -/
noncomputable def upcrossings [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(ω : Ω) : ℝ≥0∞ :=
⨆ N, (upcrossingsBefore a b f N ω : ℝ≥0∞)
#align measure_theory.upcrossings MeasureTheory.upcrossings
theorem Adapted.measurable_upcrossings (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossings a b f) :=
measurable_iSup fun _ => measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)
#align measure_theory.adapted.measurable_upcrossings MeasureTheory.Adapted.measurable_upcrossings
theorem upcrossings_lt_top_iff :
upcrossings a b f ω < ∞ ↔ ∃ k, ∀ N, upcrossingsBefore a b f N ω ≤ k := by
have : upcrossings a b f ω < ∞ ↔ ∃ k : ℝ≥0, upcrossings a b f ω ≤ k := by
constructor
· intro h
lift upcrossings a b f ω to ℝ≥0 using h.ne with r hr
exact ⟨r, le_rfl⟩
· rintro ⟨k, hk⟩
exact lt_of_le_of_lt hk ENNReal.coe_lt_top
simp_rw [this, upcrossings, iSup_le_iff]
constructor <;> rintro ⟨k, hk⟩
· obtain ⟨m, hm⟩ := exists_nat_ge k
refine' ⟨m, fun N => Nat.cast_le.1 ((hk N).trans _)⟩
rwa [← ENNReal.coe_nat, ENNReal.coe_le_coe]
· refine' ⟨k, fun N => _⟩
simp only [ENNReal.coe_nat, Nat.cast_le, hk N]
#align measure_theory.upcrossings_lt_top_iff MeasureTheory.upcrossings_lt_top_iff
/-- A variant of Doob's upcrossing estimate obtained by taking the supremum on both sides. -/
theorem Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part [IsFiniteMeasure μ] (a b : ℝ)
(hf : Submartingale f ℱ μ) : ENNReal.ofReal (b - a) * ∫⁻ ω, upcrossings a b f ω ∂μ ≤
⨆ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ := by
by_cases hab : a < b
· simp_rw [upcrossings]
have : ∀ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ = ENNReal.ofReal (∫ ω, (f N ω - a)⁺ ∂μ) := by
intro N
rw [ofReal_integral_eq_lintegral_ofReal]
· exact (hf.sub_martingale (martingale_const _ _ _)).pos.integrable _
· exact eventually_of_forall fun ω => LatticeOrderedGroup.pos_nonneg _
rw [lintegral_iSup']
· simp_rw [this, ENNReal.mul_iSup, iSup_le_iff]
|
intro N
|
/-- A variant of Doob's upcrossing estimate obtained by taking the supremum on both sides. -/
theorem Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part [IsFiniteMeasure μ] (a b : ℝ)
(hf : Submartingale f ℱ μ) : ENNReal.ofReal (b - a) * ∫⁻ ω, upcrossings a b f ω ∂μ ≤
⨆ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ := by
by_cases hab : a < b
· simp_rw [upcrossings]
have : ∀ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ = ENNReal.ofReal (∫ ω, (f N ω - a)⁺ ∂μ) := by
intro N
rw [ofReal_integral_eq_lintegral_ofReal]
· exact (hf.sub_martingale (martingale_const _ _ _)).pos.integrable _
· exact eventually_of_forall fun ω => LatticeOrderedGroup.pos_nonneg _
rw [lintegral_iSup']
· simp_rw [this, ENNReal.mul_iSup, iSup_le_iff]
|
Mathlib.Probability.Martingale.Upcrossing.852_0.80Cpy4Qgm9i1y9y
|
/-- A variant of Doob's upcrossing estimate obtained by taking the supremum on both sides. -/
theorem Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part [IsFiniteMeasure μ] (a b : ℝ)
(hf : Submartingale f ℱ μ) : ENNReal.ofReal (b - a) * ∫⁻ ω, upcrossings a b f ω ∂μ ≤
⨆ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ
|
Mathlib_Probability_Martingale_Upcrossing
|
case pos
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a✝ b✝ : ℝ
f : ℕ → Ω → ℝ
N✝ n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
inst✝ : IsFiniteMeasure μ
a b : ℝ
hf : Submartingale f ℱ μ
hab : a < b
this : ∀ (N : ℕ), ∫⁻ (ω : Ω), ENNReal.ofReal (f N ω - a)⁺ ∂μ = ENNReal.ofReal (∫ (ω : Ω), (f N ω - a)⁺ ∂μ)
N : ℕ
⊢ ENNReal.ofReal (b - a) * ∫⁻ (a_1 : Ω), ↑(upcrossingsBefore a b f N a_1) ∂μ ≤
⨆ N, ENNReal.ofReal (∫ (ω : Ω), (f N ω - a)⁺ ∂μ)
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
· rfl
#align measure_theory.crossing_pos_eq MeasureTheory.crossing_pos_eq
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
simp_rw [upcrossingsBefore, (crossing_pos_eq hab).1]
#align measure_theory.upcrossings_before_pos_eq MeasureTheory.upcrossingsBefore_pos_eq
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
simp_rw [sub_zero, ← upcrossingsBefore_pos_eq hab]
rfl
#align measure_theory.mul_integral_upcrossings_before_le_integral_pos_part_aux MeasureTheory.mul_integral_upcrossingsBefore_le_integral_pos_part_aux
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
by_cases hab : a < b
· exact mul_integral_upcrossingsBefore_le_integral_pos_part_aux hf hab
· rw [not_lt, ← sub_nonpos] at hab
exact le_trans (mul_nonpos_of_nonpos_of_nonneg hab (integral_nonneg fun ω => Nat.cast_nonneg _))
(integral_nonneg fun ω => LatticeOrderedGroup.pos_nonneg _)
#align measure_theory.submartingale.mul_integral_upcrossings_before_le_integral_pos_part MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part
/-!
### Variant of the upcrossing estimate
Now, we would like to prove a variant of the upcrossing estimate obtained by taking the supremum
over $N$ of the original upcrossing estimate. Namely, we want the inequality
$$
(b - a) \sup_N \mathbb{E}[U_N(a, b)] \le \sup_N \mathbb{E}[f_N].
$$
This inequality is central for the martingale convergence theorem as it provides a uniform bound
for the upcrossings.
We note that on top of taking the supremum on both sides of the inequality, we had also used
the monotone convergence theorem on the left hand side to take the supremum outside of the
integral. To do this, we need to make sure $U_N(a, b)$ is measurable and integrable. Integrability
is easy to check as $U_N(a, b) ≤ N$ and so it suffices to show measurability. Indeed, by
noting that
$$
U_N(a, b) = \sum_{i = 1}^N \mathbf{1}_{\{U_N(a, b) < N\}}
$$
$U_N(a, b)$ is measurable as $\{U_N(a, b) < N\}$ is a measurable set since $U_N(a, b)$ is a
stopping time.
-/
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
rintro k hk
rw [Finset.mem_Ico] at hk
rw [Set.indicator_of_mem]
· rfl
· exact upperCrossingTime_lt_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab
(Nat.lt_succ_iff.1 hk.2)
have h₂ : ∀ k ∈ Finset.Ico (upcrossingsBefore a b f N ω + 1) (N + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 0 := by
rintro k hk
rw [Finset.mem_Ico, Nat.succ_le_iff] at hk
rw [Set.indicator_of_not_mem]
simp only [Set.mem_setOf_eq, not_lt]
exact (upperCrossingTime_eq_of_upcrossingsBefore_lt hab hk.1).symm.le
rw [Finset.sum_congr rfl h₁, Finset.sum_congr rfl h₂, Finset.sum_const, Finset.sum_const,
smul_eq_mul, mul_one, smul_eq_mul, mul_zero, Nat.card_Ico, Nat.add_succ_sub_one,
add_zero, add_zero]
#align measure_theory.upcrossings_before_eq_sum MeasureTheory.upcrossingsBefore_eq_sum
theorem Adapted.measurable_upcrossingsBefore (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossingsBefore a b f N) := by
have : upcrossingsBefore a b f N = fun ω =>
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
ext ω
exact upcrossingsBefore_eq_sum hab
rw [this]
exact Finset.measurable_sum _ fun i _ => Measurable.indicator measurable_const <|
ℱ.le N _ (hf.isStoppingTime_upperCrossingTime.measurableSet_lt_of_pred N)
#align measure_theory.adapted.measurable_upcrossings_before MeasureTheory.Adapted.measurable_upcrossingsBefore
theorem Adapted.integrable_upcrossingsBefore [IsFiniteMeasure μ] (hf : Adapted ℱ f) (hab : a < b) :
Integrable (fun ω => (upcrossingsBefore a b f N ω : ℝ)) μ :=
haveI : ∀ᵐ ω ∂μ, ‖(upcrossingsBefore a b f N ω : ℝ)‖ ≤ N := by
refine' eventually_of_forall fun ω => _
rw [Real.norm_eq_abs, Nat.abs_cast, Nat.cast_le]
refine' upcrossingsBefore_le _ _ hab
⟨Measurable.aestronglyMeasurable (measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)),
hasFiniteIntegral_of_bounded this⟩
#align measure_theory.adapted.integrable_upcrossings_before MeasureTheory.Adapted.integrable_upcrossingsBefore
/-- The number of upcrossings of a realization of a stochastic process (`upcrossings` takes value
in `ℝ≥0∞` and so is allowed to be `∞`). -/
noncomputable def upcrossings [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(ω : Ω) : ℝ≥0∞ :=
⨆ N, (upcrossingsBefore a b f N ω : ℝ≥0∞)
#align measure_theory.upcrossings MeasureTheory.upcrossings
theorem Adapted.measurable_upcrossings (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossings a b f) :=
measurable_iSup fun _ => measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)
#align measure_theory.adapted.measurable_upcrossings MeasureTheory.Adapted.measurable_upcrossings
theorem upcrossings_lt_top_iff :
upcrossings a b f ω < ∞ ↔ ∃ k, ∀ N, upcrossingsBefore a b f N ω ≤ k := by
have : upcrossings a b f ω < ∞ ↔ ∃ k : ℝ≥0, upcrossings a b f ω ≤ k := by
constructor
· intro h
lift upcrossings a b f ω to ℝ≥0 using h.ne with r hr
exact ⟨r, le_rfl⟩
· rintro ⟨k, hk⟩
exact lt_of_le_of_lt hk ENNReal.coe_lt_top
simp_rw [this, upcrossings, iSup_le_iff]
constructor <;> rintro ⟨k, hk⟩
· obtain ⟨m, hm⟩ := exists_nat_ge k
refine' ⟨m, fun N => Nat.cast_le.1 ((hk N).trans _)⟩
rwa [← ENNReal.coe_nat, ENNReal.coe_le_coe]
· refine' ⟨k, fun N => _⟩
simp only [ENNReal.coe_nat, Nat.cast_le, hk N]
#align measure_theory.upcrossings_lt_top_iff MeasureTheory.upcrossings_lt_top_iff
/-- A variant of Doob's upcrossing estimate obtained by taking the supremum on both sides. -/
theorem Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part [IsFiniteMeasure μ] (a b : ℝ)
(hf : Submartingale f ℱ μ) : ENNReal.ofReal (b - a) * ∫⁻ ω, upcrossings a b f ω ∂μ ≤
⨆ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ := by
by_cases hab : a < b
· simp_rw [upcrossings]
have : ∀ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ = ENNReal.ofReal (∫ ω, (f N ω - a)⁺ ∂μ) := by
intro N
rw [ofReal_integral_eq_lintegral_ofReal]
· exact (hf.sub_martingale (martingale_const _ _ _)).pos.integrable _
· exact eventually_of_forall fun ω => LatticeOrderedGroup.pos_nonneg _
rw [lintegral_iSup']
· simp_rw [this, ENNReal.mul_iSup, iSup_le_iff]
intro N
|
rw [(by simp :
∫⁻ ω, upcrossingsBefore a b f N ω ∂μ = ∫⁻ ω, ↑(upcrossingsBefore a b f N ω : ℝ≥0) ∂μ),
lintegral_coe_eq_integral, ← ENNReal.ofReal_mul (sub_pos.2 hab).le]
|
/-- A variant of Doob's upcrossing estimate obtained by taking the supremum on both sides. -/
theorem Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part [IsFiniteMeasure μ] (a b : ℝ)
(hf : Submartingale f ℱ μ) : ENNReal.ofReal (b - a) * ∫⁻ ω, upcrossings a b f ω ∂μ ≤
⨆ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ := by
by_cases hab : a < b
· simp_rw [upcrossings]
have : ∀ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ = ENNReal.ofReal (∫ ω, (f N ω - a)⁺ ∂μ) := by
intro N
rw [ofReal_integral_eq_lintegral_ofReal]
· exact (hf.sub_martingale (martingale_const _ _ _)).pos.integrable _
· exact eventually_of_forall fun ω => LatticeOrderedGroup.pos_nonneg _
rw [lintegral_iSup']
· simp_rw [this, ENNReal.mul_iSup, iSup_le_iff]
intro N
|
Mathlib.Probability.Martingale.Upcrossing.852_0.80Cpy4Qgm9i1y9y
|
/-- A variant of Doob's upcrossing estimate obtained by taking the supremum on both sides. -/
theorem Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part [IsFiniteMeasure μ] (a b : ℝ)
(hf : Submartingale f ℱ μ) : ENNReal.ofReal (b - a) * ∫⁻ ω, upcrossings a b f ω ∂μ ≤
⨆ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ
|
Mathlib_Probability_Martingale_Upcrossing
|
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a✝ b✝ : ℝ
f : ℕ → Ω → ℝ
N✝ n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
inst✝ : IsFiniteMeasure μ
a b : ℝ
hf : Submartingale f ℱ μ
hab : a < b
this : ∀ (N : ℕ), ∫⁻ (ω : Ω), ENNReal.ofReal (f N ω - a)⁺ ∂μ = ENNReal.ofReal (∫ (ω : Ω), (f N ω - a)⁺ ∂μ)
N : ℕ
⊢ ∫⁻ (ω : Ω), ↑(upcrossingsBefore a b f N ω) ∂μ = ∫⁻ (ω : Ω), ↑↑(upcrossingsBefore a b f N ω) ∂μ
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
· rfl
#align measure_theory.crossing_pos_eq MeasureTheory.crossing_pos_eq
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
simp_rw [upcrossingsBefore, (crossing_pos_eq hab).1]
#align measure_theory.upcrossings_before_pos_eq MeasureTheory.upcrossingsBefore_pos_eq
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
simp_rw [sub_zero, ← upcrossingsBefore_pos_eq hab]
rfl
#align measure_theory.mul_integral_upcrossings_before_le_integral_pos_part_aux MeasureTheory.mul_integral_upcrossingsBefore_le_integral_pos_part_aux
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
by_cases hab : a < b
· exact mul_integral_upcrossingsBefore_le_integral_pos_part_aux hf hab
· rw [not_lt, ← sub_nonpos] at hab
exact le_trans (mul_nonpos_of_nonpos_of_nonneg hab (integral_nonneg fun ω => Nat.cast_nonneg _))
(integral_nonneg fun ω => LatticeOrderedGroup.pos_nonneg _)
#align measure_theory.submartingale.mul_integral_upcrossings_before_le_integral_pos_part MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part
/-!
### Variant of the upcrossing estimate
Now, we would like to prove a variant of the upcrossing estimate obtained by taking the supremum
over $N$ of the original upcrossing estimate. Namely, we want the inequality
$$
(b - a) \sup_N \mathbb{E}[U_N(a, b)] \le \sup_N \mathbb{E}[f_N].
$$
This inequality is central for the martingale convergence theorem as it provides a uniform bound
for the upcrossings.
We note that on top of taking the supremum on both sides of the inequality, we had also used
the monotone convergence theorem on the left hand side to take the supremum outside of the
integral. To do this, we need to make sure $U_N(a, b)$ is measurable and integrable. Integrability
is easy to check as $U_N(a, b) ≤ N$ and so it suffices to show measurability. Indeed, by
noting that
$$
U_N(a, b) = \sum_{i = 1}^N \mathbf{1}_{\{U_N(a, b) < N\}}
$$
$U_N(a, b)$ is measurable as $\{U_N(a, b) < N\}$ is a measurable set since $U_N(a, b)$ is a
stopping time.
-/
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
rintro k hk
rw [Finset.mem_Ico] at hk
rw [Set.indicator_of_mem]
· rfl
· exact upperCrossingTime_lt_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab
(Nat.lt_succ_iff.1 hk.2)
have h₂ : ∀ k ∈ Finset.Ico (upcrossingsBefore a b f N ω + 1) (N + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 0 := by
rintro k hk
rw [Finset.mem_Ico, Nat.succ_le_iff] at hk
rw [Set.indicator_of_not_mem]
simp only [Set.mem_setOf_eq, not_lt]
exact (upperCrossingTime_eq_of_upcrossingsBefore_lt hab hk.1).symm.le
rw [Finset.sum_congr rfl h₁, Finset.sum_congr rfl h₂, Finset.sum_const, Finset.sum_const,
smul_eq_mul, mul_one, smul_eq_mul, mul_zero, Nat.card_Ico, Nat.add_succ_sub_one,
add_zero, add_zero]
#align measure_theory.upcrossings_before_eq_sum MeasureTheory.upcrossingsBefore_eq_sum
theorem Adapted.measurable_upcrossingsBefore (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossingsBefore a b f N) := by
have : upcrossingsBefore a b f N = fun ω =>
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
ext ω
exact upcrossingsBefore_eq_sum hab
rw [this]
exact Finset.measurable_sum _ fun i _ => Measurable.indicator measurable_const <|
ℱ.le N _ (hf.isStoppingTime_upperCrossingTime.measurableSet_lt_of_pred N)
#align measure_theory.adapted.measurable_upcrossings_before MeasureTheory.Adapted.measurable_upcrossingsBefore
theorem Adapted.integrable_upcrossingsBefore [IsFiniteMeasure μ] (hf : Adapted ℱ f) (hab : a < b) :
Integrable (fun ω => (upcrossingsBefore a b f N ω : ℝ)) μ :=
haveI : ∀ᵐ ω ∂μ, ‖(upcrossingsBefore a b f N ω : ℝ)‖ ≤ N := by
refine' eventually_of_forall fun ω => _
rw [Real.norm_eq_abs, Nat.abs_cast, Nat.cast_le]
refine' upcrossingsBefore_le _ _ hab
⟨Measurable.aestronglyMeasurable (measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)),
hasFiniteIntegral_of_bounded this⟩
#align measure_theory.adapted.integrable_upcrossings_before MeasureTheory.Adapted.integrable_upcrossingsBefore
/-- The number of upcrossings of a realization of a stochastic process (`upcrossings` takes value
in `ℝ≥0∞` and so is allowed to be `∞`). -/
noncomputable def upcrossings [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(ω : Ω) : ℝ≥0∞ :=
⨆ N, (upcrossingsBefore a b f N ω : ℝ≥0∞)
#align measure_theory.upcrossings MeasureTheory.upcrossings
theorem Adapted.measurable_upcrossings (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossings a b f) :=
measurable_iSup fun _ => measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)
#align measure_theory.adapted.measurable_upcrossings MeasureTheory.Adapted.measurable_upcrossings
theorem upcrossings_lt_top_iff :
upcrossings a b f ω < ∞ ↔ ∃ k, ∀ N, upcrossingsBefore a b f N ω ≤ k := by
have : upcrossings a b f ω < ∞ ↔ ∃ k : ℝ≥0, upcrossings a b f ω ≤ k := by
constructor
· intro h
lift upcrossings a b f ω to ℝ≥0 using h.ne with r hr
exact ⟨r, le_rfl⟩
· rintro ⟨k, hk⟩
exact lt_of_le_of_lt hk ENNReal.coe_lt_top
simp_rw [this, upcrossings, iSup_le_iff]
constructor <;> rintro ⟨k, hk⟩
· obtain ⟨m, hm⟩ := exists_nat_ge k
refine' ⟨m, fun N => Nat.cast_le.1 ((hk N).trans _)⟩
rwa [← ENNReal.coe_nat, ENNReal.coe_le_coe]
· refine' ⟨k, fun N => _⟩
simp only [ENNReal.coe_nat, Nat.cast_le, hk N]
#align measure_theory.upcrossings_lt_top_iff MeasureTheory.upcrossings_lt_top_iff
/-- A variant of Doob's upcrossing estimate obtained by taking the supremum on both sides. -/
theorem Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part [IsFiniteMeasure μ] (a b : ℝ)
(hf : Submartingale f ℱ μ) : ENNReal.ofReal (b - a) * ∫⁻ ω, upcrossings a b f ω ∂μ ≤
⨆ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ := by
by_cases hab : a < b
· simp_rw [upcrossings]
have : ∀ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ = ENNReal.ofReal (∫ ω, (f N ω - a)⁺ ∂μ) := by
intro N
rw [ofReal_integral_eq_lintegral_ofReal]
· exact (hf.sub_martingale (martingale_const _ _ _)).pos.integrable _
· exact eventually_of_forall fun ω => LatticeOrderedGroup.pos_nonneg _
rw [lintegral_iSup']
· simp_rw [this, ENNReal.mul_iSup, iSup_le_iff]
intro N
rw [(by
|
simp
|
/-- A variant of Doob's upcrossing estimate obtained by taking the supremum on both sides. -/
theorem Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part [IsFiniteMeasure μ] (a b : ℝ)
(hf : Submartingale f ℱ μ) : ENNReal.ofReal (b - a) * ∫⁻ ω, upcrossings a b f ω ∂μ ≤
⨆ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ := by
by_cases hab : a < b
· simp_rw [upcrossings]
have : ∀ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ = ENNReal.ofReal (∫ ω, (f N ω - a)⁺ ∂μ) := by
intro N
rw [ofReal_integral_eq_lintegral_ofReal]
· exact (hf.sub_martingale (martingale_const _ _ _)).pos.integrable _
· exact eventually_of_forall fun ω => LatticeOrderedGroup.pos_nonneg _
rw [lintegral_iSup']
· simp_rw [this, ENNReal.mul_iSup, iSup_le_iff]
intro N
rw [(by
|
Mathlib.Probability.Martingale.Upcrossing.852_0.80Cpy4Qgm9i1y9y
|
/-- A variant of Doob's upcrossing estimate obtained by taking the supremum on both sides. -/
theorem Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part [IsFiniteMeasure μ] (a b : ℝ)
(hf : Submartingale f ℱ μ) : ENNReal.ofReal (b - a) * ∫⁻ ω, upcrossings a b f ω ∂μ ≤
⨆ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ
|
Mathlib_Probability_Martingale_Upcrossing
|
case pos
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a✝ b✝ : ℝ
f : ℕ → Ω → ℝ
N✝ n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
inst✝ : IsFiniteMeasure μ
a b : ℝ
hf : Submartingale f ℱ μ
hab : a < b
this : ∀ (N : ℕ), ∫⁻ (ω : Ω), ENNReal.ofReal (f N ω - a)⁺ ∂μ = ENNReal.ofReal (∫ (ω : Ω), (f N ω - a)⁺ ∂μ)
N : ℕ
⊢ ENNReal.ofReal ((b - a) * ∫ (a_1 : Ω), ↑↑(upcrossingsBefore a b f N a_1) ∂μ) ≤
⨆ N, ENNReal.ofReal (∫ (ω : Ω), (f N ω - a)⁺ ∂μ)
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
· rfl
#align measure_theory.crossing_pos_eq MeasureTheory.crossing_pos_eq
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
simp_rw [upcrossingsBefore, (crossing_pos_eq hab).1]
#align measure_theory.upcrossings_before_pos_eq MeasureTheory.upcrossingsBefore_pos_eq
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
simp_rw [sub_zero, ← upcrossingsBefore_pos_eq hab]
rfl
#align measure_theory.mul_integral_upcrossings_before_le_integral_pos_part_aux MeasureTheory.mul_integral_upcrossingsBefore_le_integral_pos_part_aux
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
by_cases hab : a < b
· exact mul_integral_upcrossingsBefore_le_integral_pos_part_aux hf hab
· rw [not_lt, ← sub_nonpos] at hab
exact le_trans (mul_nonpos_of_nonpos_of_nonneg hab (integral_nonneg fun ω => Nat.cast_nonneg _))
(integral_nonneg fun ω => LatticeOrderedGroup.pos_nonneg _)
#align measure_theory.submartingale.mul_integral_upcrossings_before_le_integral_pos_part MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part
/-!
### Variant of the upcrossing estimate
Now, we would like to prove a variant of the upcrossing estimate obtained by taking the supremum
over $N$ of the original upcrossing estimate. Namely, we want the inequality
$$
(b - a) \sup_N \mathbb{E}[U_N(a, b)] \le \sup_N \mathbb{E}[f_N].
$$
This inequality is central for the martingale convergence theorem as it provides a uniform bound
for the upcrossings.
We note that on top of taking the supremum on both sides of the inequality, we had also used
the monotone convergence theorem on the left hand side to take the supremum outside of the
integral. To do this, we need to make sure $U_N(a, b)$ is measurable and integrable. Integrability
is easy to check as $U_N(a, b) ≤ N$ and so it suffices to show measurability. Indeed, by
noting that
$$
U_N(a, b) = \sum_{i = 1}^N \mathbf{1}_{\{U_N(a, b) < N\}}
$$
$U_N(a, b)$ is measurable as $\{U_N(a, b) < N\}$ is a measurable set since $U_N(a, b)$ is a
stopping time.
-/
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
rintro k hk
rw [Finset.mem_Ico] at hk
rw [Set.indicator_of_mem]
· rfl
· exact upperCrossingTime_lt_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab
(Nat.lt_succ_iff.1 hk.2)
have h₂ : ∀ k ∈ Finset.Ico (upcrossingsBefore a b f N ω + 1) (N + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 0 := by
rintro k hk
rw [Finset.mem_Ico, Nat.succ_le_iff] at hk
rw [Set.indicator_of_not_mem]
simp only [Set.mem_setOf_eq, not_lt]
exact (upperCrossingTime_eq_of_upcrossingsBefore_lt hab hk.1).symm.le
rw [Finset.sum_congr rfl h₁, Finset.sum_congr rfl h₂, Finset.sum_const, Finset.sum_const,
smul_eq_mul, mul_one, smul_eq_mul, mul_zero, Nat.card_Ico, Nat.add_succ_sub_one,
add_zero, add_zero]
#align measure_theory.upcrossings_before_eq_sum MeasureTheory.upcrossingsBefore_eq_sum
theorem Adapted.measurable_upcrossingsBefore (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossingsBefore a b f N) := by
have : upcrossingsBefore a b f N = fun ω =>
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
ext ω
exact upcrossingsBefore_eq_sum hab
rw [this]
exact Finset.measurable_sum _ fun i _ => Measurable.indicator measurable_const <|
ℱ.le N _ (hf.isStoppingTime_upperCrossingTime.measurableSet_lt_of_pred N)
#align measure_theory.adapted.measurable_upcrossings_before MeasureTheory.Adapted.measurable_upcrossingsBefore
theorem Adapted.integrable_upcrossingsBefore [IsFiniteMeasure μ] (hf : Adapted ℱ f) (hab : a < b) :
Integrable (fun ω => (upcrossingsBefore a b f N ω : ℝ)) μ :=
haveI : ∀ᵐ ω ∂μ, ‖(upcrossingsBefore a b f N ω : ℝ)‖ ≤ N := by
refine' eventually_of_forall fun ω => _
rw [Real.norm_eq_abs, Nat.abs_cast, Nat.cast_le]
refine' upcrossingsBefore_le _ _ hab
⟨Measurable.aestronglyMeasurable (measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)),
hasFiniteIntegral_of_bounded this⟩
#align measure_theory.adapted.integrable_upcrossings_before MeasureTheory.Adapted.integrable_upcrossingsBefore
/-- The number of upcrossings of a realization of a stochastic process (`upcrossings` takes value
in `ℝ≥0∞` and so is allowed to be `∞`). -/
noncomputable def upcrossings [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(ω : Ω) : ℝ≥0∞ :=
⨆ N, (upcrossingsBefore a b f N ω : ℝ≥0∞)
#align measure_theory.upcrossings MeasureTheory.upcrossings
theorem Adapted.measurable_upcrossings (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossings a b f) :=
measurable_iSup fun _ => measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)
#align measure_theory.adapted.measurable_upcrossings MeasureTheory.Adapted.measurable_upcrossings
theorem upcrossings_lt_top_iff :
upcrossings a b f ω < ∞ ↔ ∃ k, ∀ N, upcrossingsBefore a b f N ω ≤ k := by
have : upcrossings a b f ω < ∞ ↔ ∃ k : ℝ≥0, upcrossings a b f ω ≤ k := by
constructor
· intro h
lift upcrossings a b f ω to ℝ≥0 using h.ne with r hr
exact ⟨r, le_rfl⟩
· rintro ⟨k, hk⟩
exact lt_of_le_of_lt hk ENNReal.coe_lt_top
simp_rw [this, upcrossings, iSup_le_iff]
constructor <;> rintro ⟨k, hk⟩
· obtain ⟨m, hm⟩ := exists_nat_ge k
refine' ⟨m, fun N => Nat.cast_le.1 ((hk N).trans _)⟩
rwa [← ENNReal.coe_nat, ENNReal.coe_le_coe]
· refine' ⟨k, fun N => _⟩
simp only [ENNReal.coe_nat, Nat.cast_le, hk N]
#align measure_theory.upcrossings_lt_top_iff MeasureTheory.upcrossings_lt_top_iff
/-- A variant of Doob's upcrossing estimate obtained by taking the supremum on both sides. -/
theorem Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part [IsFiniteMeasure μ] (a b : ℝ)
(hf : Submartingale f ℱ μ) : ENNReal.ofReal (b - a) * ∫⁻ ω, upcrossings a b f ω ∂μ ≤
⨆ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ := by
by_cases hab : a < b
· simp_rw [upcrossings]
have : ∀ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ = ENNReal.ofReal (∫ ω, (f N ω - a)⁺ ∂μ) := by
intro N
rw [ofReal_integral_eq_lintegral_ofReal]
· exact (hf.sub_martingale (martingale_const _ _ _)).pos.integrable _
· exact eventually_of_forall fun ω => LatticeOrderedGroup.pos_nonneg _
rw [lintegral_iSup']
· simp_rw [this, ENNReal.mul_iSup, iSup_le_iff]
intro N
rw [(by simp :
∫⁻ ω, upcrossingsBefore a b f N ω ∂μ = ∫⁻ ω, ↑(upcrossingsBefore a b f N ω : ℝ≥0) ∂μ),
lintegral_coe_eq_integral, ← ENNReal.ofReal_mul (sub_pos.2 hab).le]
·
|
simp_rw [NNReal.coe_nat_cast]
|
/-- A variant of Doob's upcrossing estimate obtained by taking the supremum on both sides. -/
theorem Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part [IsFiniteMeasure μ] (a b : ℝ)
(hf : Submartingale f ℱ μ) : ENNReal.ofReal (b - a) * ∫⁻ ω, upcrossings a b f ω ∂μ ≤
⨆ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ := by
by_cases hab : a < b
· simp_rw [upcrossings]
have : ∀ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ = ENNReal.ofReal (∫ ω, (f N ω - a)⁺ ∂μ) := by
intro N
rw [ofReal_integral_eq_lintegral_ofReal]
· exact (hf.sub_martingale (martingale_const _ _ _)).pos.integrable _
· exact eventually_of_forall fun ω => LatticeOrderedGroup.pos_nonneg _
rw [lintegral_iSup']
· simp_rw [this, ENNReal.mul_iSup, iSup_le_iff]
intro N
rw [(by simp :
∫⁻ ω, upcrossingsBefore a b f N ω ∂μ = ∫⁻ ω, ↑(upcrossingsBefore a b f N ω : ℝ≥0) ∂μ),
lintegral_coe_eq_integral, ← ENNReal.ofReal_mul (sub_pos.2 hab).le]
·
|
Mathlib.Probability.Martingale.Upcrossing.852_0.80Cpy4Qgm9i1y9y
|
/-- A variant of Doob's upcrossing estimate obtained by taking the supremum on both sides. -/
theorem Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part [IsFiniteMeasure μ] (a b : ℝ)
(hf : Submartingale f ℱ μ) : ENNReal.ofReal (b - a) * ∫⁻ ω, upcrossings a b f ω ∂μ ≤
⨆ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ
|
Mathlib_Probability_Martingale_Upcrossing
|
case pos
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a✝ b✝ : ℝ
f : ℕ → Ω → ℝ
N✝ n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
inst✝ : IsFiniteMeasure μ
a b : ℝ
hf : Submartingale f ℱ μ
hab : a < b
this : ∀ (N : ℕ), ∫⁻ (ω : Ω), ENNReal.ofReal (f N ω - a)⁺ ∂μ = ENNReal.ofReal (∫ (ω : Ω), (f N ω - a)⁺ ∂μ)
N : ℕ
⊢ ENNReal.ofReal ((b - a) * ∫ (a_1 : Ω), ↑(upcrossingsBefore a b f N a_1) ∂μ) ≤
⨆ N, ENNReal.ofReal (∫ (ω : Ω), (f N ω - a)⁺ ∂μ)
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
· rfl
#align measure_theory.crossing_pos_eq MeasureTheory.crossing_pos_eq
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
simp_rw [upcrossingsBefore, (crossing_pos_eq hab).1]
#align measure_theory.upcrossings_before_pos_eq MeasureTheory.upcrossingsBefore_pos_eq
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
simp_rw [sub_zero, ← upcrossingsBefore_pos_eq hab]
rfl
#align measure_theory.mul_integral_upcrossings_before_le_integral_pos_part_aux MeasureTheory.mul_integral_upcrossingsBefore_le_integral_pos_part_aux
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
by_cases hab : a < b
· exact mul_integral_upcrossingsBefore_le_integral_pos_part_aux hf hab
· rw [not_lt, ← sub_nonpos] at hab
exact le_trans (mul_nonpos_of_nonpos_of_nonneg hab (integral_nonneg fun ω => Nat.cast_nonneg _))
(integral_nonneg fun ω => LatticeOrderedGroup.pos_nonneg _)
#align measure_theory.submartingale.mul_integral_upcrossings_before_le_integral_pos_part MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part
/-!
### Variant of the upcrossing estimate
Now, we would like to prove a variant of the upcrossing estimate obtained by taking the supremum
over $N$ of the original upcrossing estimate. Namely, we want the inequality
$$
(b - a) \sup_N \mathbb{E}[U_N(a, b)] \le \sup_N \mathbb{E}[f_N].
$$
This inequality is central for the martingale convergence theorem as it provides a uniform bound
for the upcrossings.
We note that on top of taking the supremum on both sides of the inequality, we had also used
the monotone convergence theorem on the left hand side to take the supremum outside of the
integral. To do this, we need to make sure $U_N(a, b)$ is measurable and integrable. Integrability
is easy to check as $U_N(a, b) ≤ N$ and so it suffices to show measurability. Indeed, by
noting that
$$
U_N(a, b) = \sum_{i = 1}^N \mathbf{1}_{\{U_N(a, b) < N\}}
$$
$U_N(a, b)$ is measurable as $\{U_N(a, b) < N\}$ is a measurable set since $U_N(a, b)$ is a
stopping time.
-/
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
rintro k hk
rw [Finset.mem_Ico] at hk
rw [Set.indicator_of_mem]
· rfl
· exact upperCrossingTime_lt_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab
(Nat.lt_succ_iff.1 hk.2)
have h₂ : ∀ k ∈ Finset.Ico (upcrossingsBefore a b f N ω + 1) (N + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 0 := by
rintro k hk
rw [Finset.mem_Ico, Nat.succ_le_iff] at hk
rw [Set.indicator_of_not_mem]
simp only [Set.mem_setOf_eq, not_lt]
exact (upperCrossingTime_eq_of_upcrossingsBefore_lt hab hk.1).symm.le
rw [Finset.sum_congr rfl h₁, Finset.sum_congr rfl h₂, Finset.sum_const, Finset.sum_const,
smul_eq_mul, mul_one, smul_eq_mul, mul_zero, Nat.card_Ico, Nat.add_succ_sub_one,
add_zero, add_zero]
#align measure_theory.upcrossings_before_eq_sum MeasureTheory.upcrossingsBefore_eq_sum
theorem Adapted.measurable_upcrossingsBefore (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossingsBefore a b f N) := by
have : upcrossingsBefore a b f N = fun ω =>
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
ext ω
exact upcrossingsBefore_eq_sum hab
rw [this]
exact Finset.measurable_sum _ fun i _ => Measurable.indicator measurable_const <|
ℱ.le N _ (hf.isStoppingTime_upperCrossingTime.measurableSet_lt_of_pred N)
#align measure_theory.adapted.measurable_upcrossings_before MeasureTheory.Adapted.measurable_upcrossingsBefore
theorem Adapted.integrable_upcrossingsBefore [IsFiniteMeasure μ] (hf : Adapted ℱ f) (hab : a < b) :
Integrable (fun ω => (upcrossingsBefore a b f N ω : ℝ)) μ :=
haveI : ∀ᵐ ω ∂μ, ‖(upcrossingsBefore a b f N ω : ℝ)‖ ≤ N := by
refine' eventually_of_forall fun ω => _
rw [Real.norm_eq_abs, Nat.abs_cast, Nat.cast_le]
refine' upcrossingsBefore_le _ _ hab
⟨Measurable.aestronglyMeasurable (measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)),
hasFiniteIntegral_of_bounded this⟩
#align measure_theory.adapted.integrable_upcrossings_before MeasureTheory.Adapted.integrable_upcrossingsBefore
/-- The number of upcrossings of a realization of a stochastic process (`upcrossings` takes value
in `ℝ≥0∞` and so is allowed to be `∞`). -/
noncomputable def upcrossings [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(ω : Ω) : ℝ≥0∞ :=
⨆ N, (upcrossingsBefore a b f N ω : ℝ≥0∞)
#align measure_theory.upcrossings MeasureTheory.upcrossings
theorem Adapted.measurable_upcrossings (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossings a b f) :=
measurable_iSup fun _ => measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)
#align measure_theory.adapted.measurable_upcrossings MeasureTheory.Adapted.measurable_upcrossings
theorem upcrossings_lt_top_iff :
upcrossings a b f ω < ∞ ↔ ∃ k, ∀ N, upcrossingsBefore a b f N ω ≤ k := by
have : upcrossings a b f ω < ∞ ↔ ∃ k : ℝ≥0, upcrossings a b f ω ≤ k := by
constructor
· intro h
lift upcrossings a b f ω to ℝ≥0 using h.ne with r hr
exact ⟨r, le_rfl⟩
· rintro ⟨k, hk⟩
exact lt_of_le_of_lt hk ENNReal.coe_lt_top
simp_rw [this, upcrossings, iSup_le_iff]
constructor <;> rintro ⟨k, hk⟩
· obtain ⟨m, hm⟩ := exists_nat_ge k
refine' ⟨m, fun N => Nat.cast_le.1 ((hk N).trans _)⟩
rwa [← ENNReal.coe_nat, ENNReal.coe_le_coe]
· refine' ⟨k, fun N => _⟩
simp only [ENNReal.coe_nat, Nat.cast_le, hk N]
#align measure_theory.upcrossings_lt_top_iff MeasureTheory.upcrossings_lt_top_iff
/-- A variant of Doob's upcrossing estimate obtained by taking the supremum on both sides. -/
theorem Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part [IsFiniteMeasure μ] (a b : ℝ)
(hf : Submartingale f ℱ μ) : ENNReal.ofReal (b - a) * ∫⁻ ω, upcrossings a b f ω ∂μ ≤
⨆ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ := by
by_cases hab : a < b
· simp_rw [upcrossings]
have : ∀ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ = ENNReal.ofReal (∫ ω, (f N ω - a)⁺ ∂μ) := by
intro N
rw [ofReal_integral_eq_lintegral_ofReal]
· exact (hf.sub_martingale (martingale_const _ _ _)).pos.integrable _
· exact eventually_of_forall fun ω => LatticeOrderedGroup.pos_nonneg _
rw [lintegral_iSup']
· simp_rw [this, ENNReal.mul_iSup, iSup_le_iff]
intro N
rw [(by simp :
∫⁻ ω, upcrossingsBefore a b f N ω ∂μ = ∫⁻ ω, ↑(upcrossingsBefore a b f N ω : ℝ≥0) ∂μ),
lintegral_coe_eq_integral, ← ENNReal.ofReal_mul (sub_pos.2 hab).le]
· simp_rw [NNReal.coe_nat_cast]
|
exact (ENNReal.ofReal_le_ofReal
(hf.mul_integral_upcrossingsBefore_le_integral_pos_part a b N)).trans
(le_iSup (α := ℝ≥0∞) _ N)
|
/-- A variant of Doob's upcrossing estimate obtained by taking the supremum on both sides. -/
theorem Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part [IsFiniteMeasure μ] (a b : ℝ)
(hf : Submartingale f ℱ μ) : ENNReal.ofReal (b - a) * ∫⁻ ω, upcrossings a b f ω ∂μ ≤
⨆ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ := by
by_cases hab : a < b
· simp_rw [upcrossings]
have : ∀ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ = ENNReal.ofReal (∫ ω, (f N ω - a)⁺ ∂μ) := by
intro N
rw [ofReal_integral_eq_lintegral_ofReal]
· exact (hf.sub_martingale (martingale_const _ _ _)).pos.integrable _
· exact eventually_of_forall fun ω => LatticeOrderedGroup.pos_nonneg _
rw [lintegral_iSup']
· simp_rw [this, ENNReal.mul_iSup, iSup_le_iff]
intro N
rw [(by simp :
∫⁻ ω, upcrossingsBefore a b f N ω ∂μ = ∫⁻ ω, ↑(upcrossingsBefore a b f N ω : ℝ≥0) ∂μ),
lintegral_coe_eq_integral, ← ENNReal.ofReal_mul (sub_pos.2 hab).le]
· simp_rw [NNReal.coe_nat_cast]
|
Mathlib.Probability.Martingale.Upcrossing.852_0.80Cpy4Qgm9i1y9y
|
/-- A variant of Doob's upcrossing estimate obtained by taking the supremum on both sides. -/
theorem Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part [IsFiniteMeasure μ] (a b : ℝ)
(hf : Submartingale f ℱ μ) : ENNReal.ofReal (b - a) * ∫⁻ ω, upcrossings a b f ω ∂μ ≤
⨆ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ
|
Mathlib_Probability_Martingale_Upcrossing
|
case pos.hfi
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a✝ b✝ : ℝ
f : ℕ → Ω → ℝ
N✝ n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
inst✝ : IsFiniteMeasure μ
a b : ℝ
hf : Submartingale f ℱ μ
hab : a < b
this : ∀ (N : ℕ), ∫⁻ (ω : Ω), ENNReal.ofReal (f N ω - a)⁺ ∂μ = ENNReal.ofReal (∫ (ω : Ω), (f N ω - a)⁺ ∂μ)
N : ℕ
⊢ Integrable fun x => ↑↑(upcrossingsBefore a b f N x)
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
· rfl
#align measure_theory.crossing_pos_eq MeasureTheory.crossing_pos_eq
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
simp_rw [upcrossingsBefore, (crossing_pos_eq hab).1]
#align measure_theory.upcrossings_before_pos_eq MeasureTheory.upcrossingsBefore_pos_eq
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
simp_rw [sub_zero, ← upcrossingsBefore_pos_eq hab]
rfl
#align measure_theory.mul_integral_upcrossings_before_le_integral_pos_part_aux MeasureTheory.mul_integral_upcrossingsBefore_le_integral_pos_part_aux
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
by_cases hab : a < b
· exact mul_integral_upcrossingsBefore_le_integral_pos_part_aux hf hab
· rw [not_lt, ← sub_nonpos] at hab
exact le_trans (mul_nonpos_of_nonpos_of_nonneg hab (integral_nonneg fun ω => Nat.cast_nonneg _))
(integral_nonneg fun ω => LatticeOrderedGroup.pos_nonneg _)
#align measure_theory.submartingale.mul_integral_upcrossings_before_le_integral_pos_part MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part
/-!
### Variant of the upcrossing estimate
Now, we would like to prove a variant of the upcrossing estimate obtained by taking the supremum
over $N$ of the original upcrossing estimate. Namely, we want the inequality
$$
(b - a) \sup_N \mathbb{E}[U_N(a, b)] \le \sup_N \mathbb{E}[f_N].
$$
This inequality is central for the martingale convergence theorem as it provides a uniform bound
for the upcrossings.
We note that on top of taking the supremum on both sides of the inequality, we had also used
the monotone convergence theorem on the left hand side to take the supremum outside of the
integral. To do this, we need to make sure $U_N(a, b)$ is measurable and integrable. Integrability
is easy to check as $U_N(a, b) ≤ N$ and so it suffices to show measurability. Indeed, by
noting that
$$
U_N(a, b) = \sum_{i = 1}^N \mathbf{1}_{\{U_N(a, b) < N\}}
$$
$U_N(a, b)$ is measurable as $\{U_N(a, b) < N\}$ is a measurable set since $U_N(a, b)$ is a
stopping time.
-/
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
rintro k hk
rw [Finset.mem_Ico] at hk
rw [Set.indicator_of_mem]
· rfl
· exact upperCrossingTime_lt_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab
(Nat.lt_succ_iff.1 hk.2)
have h₂ : ∀ k ∈ Finset.Ico (upcrossingsBefore a b f N ω + 1) (N + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 0 := by
rintro k hk
rw [Finset.mem_Ico, Nat.succ_le_iff] at hk
rw [Set.indicator_of_not_mem]
simp only [Set.mem_setOf_eq, not_lt]
exact (upperCrossingTime_eq_of_upcrossingsBefore_lt hab hk.1).symm.le
rw [Finset.sum_congr rfl h₁, Finset.sum_congr rfl h₂, Finset.sum_const, Finset.sum_const,
smul_eq_mul, mul_one, smul_eq_mul, mul_zero, Nat.card_Ico, Nat.add_succ_sub_one,
add_zero, add_zero]
#align measure_theory.upcrossings_before_eq_sum MeasureTheory.upcrossingsBefore_eq_sum
theorem Adapted.measurable_upcrossingsBefore (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossingsBefore a b f N) := by
have : upcrossingsBefore a b f N = fun ω =>
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
ext ω
exact upcrossingsBefore_eq_sum hab
rw [this]
exact Finset.measurable_sum _ fun i _ => Measurable.indicator measurable_const <|
ℱ.le N _ (hf.isStoppingTime_upperCrossingTime.measurableSet_lt_of_pred N)
#align measure_theory.adapted.measurable_upcrossings_before MeasureTheory.Adapted.measurable_upcrossingsBefore
theorem Adapted.integrable_upcrossingsBefore [IsFiniteMeasure μ] (hf : Adapted ℱ f) (hab : a < b) :
Integrable (fun ω => (upcrossingsBefore a b f N ω : ℝ)) μ :=
haveI : ∀ᵐ ω ∂μ, ‖(upcrossingsBefore a b f N ω : ℝ)‖ ≤ N := by
refine' eventually_of_forall fun ω => _
rw [Real.norm_eq_abs, Nat.abs_cast, Nat.cast_le]
refine' upcrossingsBefore_le _ _ hab
⟨Measurable.aestronglyMeasurable (measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)),
hasFiniteIntegral_of_bounded this⟩
#align measure_theory.adapted.integrable_upcrossings_before MeasureTheory.Adapted.integrable_upcrossingsBefore
/-- The number of upcrossings of a realization of a stochastic process (`upcrossings` takes value
in `ℝ≥0∞` and so is allowed to be `∞`). -/
noncomputable def upcrossings [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(ω : Ω) : ℝ≥0∞ :=
⨆ N, (upcrossingsBefore a b f N ω : ℝ≥0∞)
#align measure_theory.upcrossings MeasureTheory.upcrossings
theorem Adapted.measurable_upcrossings (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossings a b f) :=
measurable_iSup fun _ => measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)
#align measure_theory.adapted.measurable_upcrossings MeasureTheory.Adapted.measurable_upcrossings
theorem upcrossings_lt_top_iff :
upcrossings a b f ω < ∞ ↔ ∃ k, ∀ N, upcrossingsBefore a b f N ω ≤ k := by
have : upcrossings a b f ω < ∞ ↔ ∃ k : ℝ≥0, upcrossings a b f ω ≤ k := by
constructor
· intro h
lift upcrossings a b f ω to ℝ≥0 using h.ne with r hr
exact ⟨r, le_rfl⟩
· rintro ⟨k, hk⟩
exact lt_of_le_of_lt hk ENNReal.coe_lt_top
simp_rw [this, upcrossings, iSup_le_iff]
constructor <;> rintro ⟨k, hk⟩
· obtain ⟨m, hm⟩ := exists_nat_ge k
refine' ⟨m, fun N => Nat.cast_le.1 ((hk N).trans _)⟩
rwa [← ENNReal.coe_nat, ENNReal.coe_le_coe]
· refine' ⟨k, fun N => _⟩
simp only [ENNReal.coe_nat, Nat.cast_le, hk N]
#align measure_theory.upcrossings_lt_top_iff MeasureTheory.upcrossings_lt_top_iff
/-- A variant of Doob's upcrossing estimate obtained by taking the supremum on both sides. -/
theorem Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part [IsFiniteMeasure μ] (a b : ℝ)
(hf : Submartingale f ℱ μ) : ENNReal.ofReal (b - a) * ∫⁻ ω, upcrossings a b f ω ∂μ ≤
⨆ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ := by
by_cases hab : a < b
· simp_rw [upcrossings]
have : ∀ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ = ENNReal.ofReal (∫ ω, (f N ω - a)⁺ ∂μ) := by
intro N
rw [ofReal_integral_eq_lintegral_ofReal]
· exact (hf.sub_martingale (martingale_const _ _ _)).pos.integrable _
· exact eventually_of_forall fun ω => LatticeOrderedGroup.pos_nonneg _
rw [lintegral_iSup']
· simp_rw [this, ENNReal.mul_iSup, iSup_le_iff]
intro N
rw [(by simp :
∫⁻ ω, upcrossingsBefore a b f N ω ∂μ = ∫⁻ ω, ↑(upcrossingsBefore a b f N ω : ℝ≥0) ∂μ),
lintegral_coe_eq_integral, ← ENNReal.ofReal_mul (sub_pos.2 hab).le]
· simp_rw [NNReal.coe_nat_cast]
exact (ENNReal.ofReal_le_ofReal
(hf.mul_integral_upcrossingsBefore_le_integral_pos_part a b N)).trans
(le_iSup (α := ℝ≥0∞) _ N)
·
|
simp only [NNReal.coe_nat_cast, hf.adapted.integrable_upcrossingsBefore hab]
|
/-- A variant of Doob's upcrossing estimate obtained by taking the supremum on both sides. -/
theorem Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part [IsFiniteMeasure μ] (a b : ℝ)
(hf : Submartingale f ℱ μ) : ENNReal.ofReal (b - a) * ∫⁻ ω, upcrossings a b f ω ∂μ ≤
⨆ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ := by
by_cases hab : a < b
· simp_rw [upcrossings]
have : ∀ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ = ENNReal.ofReal (∫ ω, (f N ω - a)⁺ ∂μ) := by
intro N
rw [ofReal_integral_eq_lintegral_ofReal]
· exact (hf.sub_martingale (martingale_const _ _ _)).pos.integrable _
· exact eventually_of_forall fun ω => LatticeOrderedGroup.pos_nonneg _
rw [lintegral_iSup']
· simp_rw [this, ENNReal.mul_iSup, iSup_le_iff]
intro N
rw [(by simp :
∫⁻ ω, upcrossingsBefore a b f N ω ∂μ = ∫⁻ ω, ↑(upcrossingsBefore a b f N ω : ℝ≥0) ∂μ),
lintegral_coe_eq_integral, ← ENNReal.ofReal_mul (sub_pos.2 hab).le]
· simp_rw [NNReal.coe_nat_cast]
exact (ENNReal.ofReal_le_ofReal
(hf.mul_integral_upcrossingsBefore_le_integral_pos_part a b N)).trans
(le_iSup (α := ℝ≥0∞) _ N)
·
|
Mathlib.Probability.Martingale.Upcrossing.852_0.80Cpy4Qgm9i1y9y
|
/-- A variant of Doob's upcrossing estimate obtained by taking the supremum on both sides. -/
theorem Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part [IsFiniteMeasure μ] (a b : ℝ)
(hf : Submartingale f ℱ μ) : ENNReal.ofReal (b - a) * ∫⁻ ω, upcrossings a b f ω ∂μ ≤
⨆ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ
|
Mathlib_Probability_Martingale_Upcrossing
|
case pos.hf
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a✝ b✝ : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
inst✝ : IsFiniteMeasure μ
a b : ℝ
hf : Submartingale f ℱ μ
hab : a < b
this : ∀ (N : ℕ), ∫⁻ (ω : Ω), ENNReal.ofReal (f N ω - a)⁺ ∂μ = ENNReal.ofReal (∫ (ω : Ω), (f N ω - a)⁺ ∂μ)
⊢ ∀ (n : ℕ), AEMeasurable fun ω => ↑(upcrossingsBefore a b f n ω)
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
· rfl
#align measure_theory.crossing_pos_eq MeasureTheory.crossing_pos_eq
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
simp_rw [upcrossingsBefore, (crossing_pos_eq hab).1]
#align measure_theory.upcrossings_before_pos_eq MeasureTheory.upcrossingsBefore_pos_eq
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
simp_rw [sub_zero, ← upcrossingsBefore_pos_eq hab]
rfl
#align measure_theory.mul_integral_upcrossings_before_le_integral_pos_part_aux MeasureTheory.mul_integral_upcrossingsBefore_le_integral_pos_part_aux
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
by_cases hab : a < b
· exact mul_integral_upcrossingsBefore_le_integral_pos_part_aux hf hab
· rw [not_lt, ← sub_nonpos] at hab
exact le_trans (mul_nonpos_of_nonpos_of_nonneg hab (integral_nonneg fun ω => Nat.cast_nonneg _))
(integral_nonneg fun ω => LatticeOrderedGroup.pos_nonneg _)
#align measure_theory.submartingale.mul_integral_upcrossings_before_le_integral_pos_part MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part
/-!
### Variant of the upcrossing estimate
Now, we would like to prove a variant of the upcrossing estimate obtained by taking the supremum
over $N$ of the original upcrossing estimate. Namely, we want the inequality
$$
(b - a) \sup_N \mathbb{E}[U_N(a, b)] \le \sup_N \mathbb{E}[f_N].
$$
This inequality is central for the martingale convergence theorem as it provides a uniform bound
for the upcrossings.
We note that on top of taking the supremum on both sides of the inequality, we had also used
the monotone convergence theorem on the left hand side to take the supremum outside of the
integral. To do this, we need to make sure $U_N(a, b)$ is measurable and integrable. Integrability
is easy to check as $U_N(a, b) ≤ N$ and so it suffices to show measurability. Indeed, by
noting that
$$
U_N(a, b) = \sum_{i = 1}^N \mathbf{1}_{\{U_N(a, b) < N\}}
$$
$U_N(a, b)$ is measurable as $\{U_N(a, b) < N\}$ is a measurable set since $U_N(a, b)$ is a
stopping time.
-/
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
rintro k hk
rw [Finset.mem_Ico] at hk
rw [Set.indicator_of_mem]
· rfl
· exact upperCrossingTime_lt_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab
(Nat.lt_succ_iff.1 hk.2)
have h₂ : ∀ k ∈ Finset.Ico (upcrossingsBefore a b f N ω + 1) (N + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 0 := by
rintro k hk
rw [Finset.mem_Ico, Nat.succ_le_iff] at hk
rw [Set.indicator_of_not_mem]
simp only [Set.mem_setOf_eq, not_lt]
exact (upperCrossingTime_eq_of_upcrossingsBefore_lt hab hk.1).symm.le
rw [Finset.sum_congr rfl h₁, Finset.sum_congr rfl h₂, Finset.sum_const, Finset.sum_const,
smul_eq_mul, mul_one, smul_eq_mul, mul_zero, Nat.card_Ico, Nat.add_succ_sub_one,
add_zero, add_zero]
#align measure_theory.upcrossings_before_eq_sum MeasureTheory.upcrossingsBefore_eq_sum
theorem Adapted.measurable_upcrossingsBefore (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossingsBefore a b f N) := by
have : upcrossingsBefore a b f N = fun ω =>
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
ext ω
exact upcrossingsBefore_eq_sum hab
rw [this]
exact Finset.measurable_sum _ fun i _ => Measurable.indicator measurable_const <|
ℱ.le N _ (hf.isStoppingTime_upperCrossingTime.measurableSet_lt_of_pred N)
#align measure_theory.adapted.measurable_upcrossings_before MeasureTheory.Adapted.measurable_upcrossingsBefore
theorem Adapted.integrable_upcrossingsBefore [IsFiniteMeasure μ] (hf : Adapted ℱ f) (hab : a < b) :
Integrable (fun ω => (upcrossingsBefore a b f N ω : ℝ)) μ :=
haveI : ∀ᵐ ω ∂μ, ‖(upcrossingsBefore a b f N ω : ℝ)‖ ≤ N := by
refine' eventually_of_forall fun ω => _
rw [Real.norm_eq_abs, Nat.abs_cast, Nat.cast_le]
refine' upcrossingsBefore_le _ _ hab
⟨Measurable.aestronglyMeasurable (measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)),
hasFiniteIntegral_of_bounded this⟩
#align measure_theory.adapted.integrable_upcrossings_before MeasureTheory.Adapted.integrable_upcrossingsBefore
/-- The number of upcrossings of a realization of a stochastic process (`upcrossings` takes value
in `ℝ≥0∞` and so is allowed to be `∞`). -/
noncomputable def upcrossings [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(ω : Ω) : ℝ≥0∞ :=
⨆ N, (upcrossingsBefore a b f N ω : ℝ≥0∞)
#align measure_theory.upcrossings MeasureTheory.upcrossings
theorem Adapted.measurable_upcrossings (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossings a b f) :=
measurable_iSup fun _ => measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)
#align measure_theory.adapted.measurable_upcrossings MeasureTheory.Adapted.measurable_upcrossings
theorem upcrossings_lt_top_iff :
upcrossings a b f ω < ∞ ↔ ∃ k, ∀ N, upcrossingsBefore a b f N ω ≤ k := by
have : upcrossings a b f ω < ∞ ↔ ∃ k : ℝ≥0, upcrossings a b f ω ≤ k := by
constructor
· intro h
lift upcrossings a b f ω to ℝ≥0 using h.ne with r hr
exact ⟨r, le_rfl⟩
· rintro ⟨k, hk⟩
exact lt_of_le_of_lt hk ENNReal.coe_lt_top
simp_rw [this, upcrossings, iSup_le_iff]
constructor <;> rintro ⟨k, hk⟩
· obtain ⟨m, hm⟩ := exists_nat_ge k
refine' ⟨m, fun N => Nat.cast_le.1 ((hk N).trans _)⟩
rwa [← ENNReal.coe_nat, ENNReal.coe_le_coe]
· refine' ⟨k, fun N => _⟩
simp only [ENNReal.coe_nat, Nat.cast_le, hk N]
#align measure_theory.upcrossings_lt_top_iff MeasureTheory.upcrossings_lt_top_iff
/-- A variant of Doob's upcrossing estimate obtained by taking the supremum on both sides. -/
theorem Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part [IsFiniteMeasure μ] (a b : ℝ)
(hf : Submartingale f ℱ μ) : ENNReal.ofReal (b - a) * ∫⁻ ω, upcrossings a b f ω ∂μ ≤
⨆ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ := by
by_cases hab : a < b
· simp_rw [upcrossings]
have : ∀ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ = ENNReal.ofReal (∫ ω, (f N ω - a)⁺ ∂μ) := by
intro N
rw [ofReal_integral_eq_lintegral_ofReal]
· exact (hf.sub_martingale (martingale_const _ _ _)).pos.integrable _
· exact eventually_of_forall fun ω => LatticeOrderedGroup.pos_nonneg _
rw [lintegral_iSup']
· simp_rw [this, ENNReal.mul_iSup, iSup_le_iff]
intro N
rw [(by simp :
∫⁻ ω, upcrossingsBefore a b f N ω ∂μ = ∫⁻ ω, ↑(upcrossingsBefore a b f N ω : ℝ≥0) ∂μ),
lintegral_coe_eq_integral, ← ENNReal.ofReal_mul (sub_pos.2 hab).le]
· simp_rw [NNReal.coe_nat_cast]
exact (ENNReal.ofReal_le_ofReal
(hf.mul_integral_upcrossingsBefore_le_integral_pos_part a b N)).trans
(le_iSup (α := ℝ≥0∞) _ N)
· simp only [NNReal.coe_nat_cast, hf.adapted.integrable_upcrossingsBefore hab]
·
|
exact fun n => measurable_from_top.comp_aemeasurable
(hf.adapted.measurable_upcrossingsBefore hab).aemeasurable
|
/-- A variant of Doob's upcrossing estimate obtained by taking the supremum on both sides. -/
theorem Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part [IsFiniteMeasure μ] (a b : ℝ)
(hf : Submartingale f ℱ μ) : ENNReal.ofReal (b - a) * ∫⁻ ω, upcrossings a b f ω ∂μ ≤
⨆ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ := by
by_cases hab : a < b
· simp_rw [upcrossings]
have : ∀ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ = ENNReal.ofReal (∫ ω, (f N ω - a)⁺ ∂μ) := by
intro N
rw [ofReal_integral_eq_lintegral_ofReal]
· exact (hf.sub_martingale (martingale_const _ _ _)).pos.integrable _
· exact eventually_of_forall fun ω => LatticeOrderedGroup.pos_nonneg _
rw [lintegral_iSup']
· simp_rw [this, ENNReal.mul_iSup, iSup_le_iff]
intro N
rw [(by simp :
∫⁻ ω, upcrossingsBefore a b f N ω ∂μ = ∫⁻ ω, ↑(upcrossingsBefore a b f N ω : ℝ≥0) ∂μ),
lintegral_coe_eq_integral, ← ENNReal.ofReal_mul (sub_pos.2 hab).le]
· simp_rw [NNReal.coe_nat_cast]
exact (ENNReal.ofReal_le_ofReal
(hf.mul_integral_upcrossingsBefore_le_integral_pos_part a b N)).trans
(le_iSup (α := ℝ≥0∞) _ N)
· simp only [NNReal.coe_nat_cast, hf.adapted.integrable_upcrossingsBefore hab]
·
|
Mathlib.Probability.Martingale.Upcrossing.852_0.80Cpy4Qgm9i1y9y
|
/-- A variant of Doob's upcrossing estimate obtained by taking the supremum on both sides. -/
theorem Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part [IsFiniteMeasure μ] (a b : ℝ)
(hf : Submartingale f ℱ μ) : ENNReal.ofReal (b - a) * ∫⁻ ω, upcrossings a b f ω ∂μ ≤
⨆ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ
|
Mathlib_Probability_Martingale_Upcrossing
|
case pos.h_mono
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a✝ b✝ : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
inst✝ : IsFiniteMeasure μ
a b : ℝ
hf : Submartingale f ℱ μ
hab : a < b
this : ∀ (N : ℕ), ∫⁻ (ω : Ω), ENNReal.ofReal (f N ω - a)⁺ ∂μ = ENNReal.ofReal (∫ (ω : Ω), (f N ω - a)⁺ ∂μ)
⊢ ∀ᵐ (x : Ω) ∂μ, Monotone fun n => ↑(upcrossingsBefore a b f n x)
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
· rfl
#align measure_theory.crossing_pos_eq MeasureTheory.crossing_pos_eq
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
simp_rw [upcrossingsBefore, (crossing_pos_eq hab).1]
#align measure_theory.upcrossings_before_pos_eq MeasureTheory.upcrossingsBefore_pos_eq
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
simp_rw [sub_zero, ← upcrossingsBefore_pos_eq hab]
rfl
#align measure_theory.mul_integral_upcrossings_before_le_integral_pos_part_aux MeasureTheory.mul_integral_upcrossingsBefore_le_integral_pos_part_aux
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
by_cases hab : a < b
· exact mul_integral_upcrossingsBefore_le_integral_pos_part_aux hf hab
· rw [not_lt, ← sub_nonpos] at hab
exact le_trans (mul_nonpos_of_nonpos_of_nonneg hab (integral_nonneg fun ω => Nat.cast_nonneg _))
(integral_nonneg fun ω => LatticeOrderedGroup.pos_nonneg _)
#align measure_theory.submartingale.mul_integral_upcrossings_before_le_integral_pos_part MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part
/-!
### Variant of the upcrossing estimate
Now, we would like to prove a variant of the upcrossing estimate obtained by taking the supremum
over $N$ of the original upcrossing estimate. Namely, we want the inequality
$$
(b - a) \sup_N \mathbb{E}[U_N(a, b)] \le \sup_N \mathbb{E}[f_N].
$$
This inequality is central for the martingale convergence theorem as it provides a uniform bound
for the upcrossings.
We note that on top of taking the supremum on both sides of the inequality, we had also used
the monotone convergence theorem on the left hand side to take the supremum outside of the
integral. To do this, we need to make sure $U_N(a, b)$ is measurable and integrable. Integrability
is easy to check as $U_N(a, b) ≤ N$ and so it suffices to show measurability. Indeed, by
noting that
$$
U_N(a, b) = \sum_{i = 1}^N \mathbf{1}_{\{U_N(a, b) < N\}}
$$
$U_N(a, b)$ is measurable as $\{U_N(a, b) < N\}$ is a measurable set since $U_N(a, b)$ is a
stopping time.
-/
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
rintro k hk
rw [Finset.mem_Ico] at hk
rw [Set.indicator_of_mem]
· rfl
· exact upperCrossingTime_lt_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab
(Nat.lt_succ_iff.1 hk.2)
have h₂ : ∀ k ∈ Finset.Ico (upcrossingsBefore a b f N ω + 1) (N + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 0 := by
rintro k hk
rw [Finset.mem_Ico, Nat.succ_le_iff] at hk
rw [Set.indicator_of_not_mem]
simp only [Set.mem_setOf_eq, not_lt]
exact (upperCrossingTime_eq_of_upcrossingsBefore_lt hab hk.1).symm.le
rw [Finset.sum_congr rfl h₁, Finset.sum_congr rfl h₂, Finset.sum_const, Finset.sum_const,
smul_eq_mul, mul_one, smul_eq_mul, mul_zero, Nat.card_Ico, Nat.add_succ_sub_one,
add_zero, add_zero]
#align measure_theory.upcrossings_before_eq_sum MeasureTheory.upcrossingsBefore_eq_sum
theorem Adapted.measurable_upcrossingsBefore (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossingsBefore a b f N) := by
have : upcrossingsBefore a b f N = fun ω =>
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
ext ω
exact upcrossingsBefore_eq_sum hab
rw [this]
exact Finset.measurable_sum _ fun i _ => Measurable.indicator measurable_const <|
ℱ.le N _ (hf.isStoppingTime_upperCrossingTime.measurableSet_lt_of_pred N)
#align measure_theory.adapted.measurable_upcrossings_before MeasureTheory.Adapted.measurable_upcrossingsBefore
theorem Adapted.integrable_upcrossingsBefore [IsFiniteMeasure μ] (hf : Adapted ℱ f) (hab : a < b) :
Integrable (fun ω => (upcrossingsBefore a b f N ω : ℝ)) μ :=
haveI : ∀ᵐ ω ∂μ, ‖(upcrossingsBefore a b f N ω : ℝ)‖ ≤ N := by
refine' eventually_of_forall fun ω => _
rw [Real.norm_eq_abs, Nat.abs_cast, Nat.cast_le]
refine' upcrossingsBefore_le _ _ hab
⟨Measurable.aestronglyMeasurable (measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)),
hasFiniteIntegral_of_bounded this⟩
#align measure_theory.adapted.integrable_upcrossings_before MeasureTheory.Adapted.integrable_upcrossingsBefore
/-- The number of upcrossings of a realization of a stochastic process (`upcrossings` takes value
in `ℝ≥0∞` and so is allowed to be `∞`). -/
noncomputable def upcrossings [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(ω : Ω) : ℝ≥0∞ :=
⨆ N, (upcrossingsBefore a b f N ω : ℝ≥0∞)
#align measure_theory.upcrossings MeasureTheory.upcrossings
theorem Adapted.measurable_upcrossings (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossings a b f) :=
measurable_iSup fun _ => measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)
#align measure_theory.adapted.measurable_upcrossings MeasureTheory.Adapted.measurable_upcrossings
theorem upcrossings_lt_top_iff :
upcrossings a b f ω < ∞ ↔ ∃ k, ∀ N, upcrossingsBefore a b f N ω ≤ k := by
have : upcrossings a b f ω < ∞ ↔ ∃ k : ℝ≥0, upcrossings a b f ω ≤ k := by
constructor
· intro h
lift upcrossings a b f ω to ℝ≥0 using h.ne with r hr
exact ⟨r, le_rfl⟩
· rintro ⟨k, hk⟩
exact lt_of_le_of_lt hk ENNReal.coe_lt_top
simp_rw [this, upcrossings, iSup_le_iff]
constructor <;> rintro ⟨k, hk⟩
· obtain ⟨m, hm⟩ := exists_nat_ge k
refine' ⟨m, fun N => Nat.cast_le.1 ((hk N).trans _)⟩
rwa [← ENNReal.coe_nat, ENNReal.coe_le_coe]
· refine' ⟨k, fun N => _⟩
simp only [ENNReal.coe_nat, Nat.cast_le, hk N]
#align measure_theory.upcrossings_lt_top_iff MeasureTheory.upcrossings_lt_top_iff
/-- A variant of Doob's upcrossing estimate obtained by taking the supremum on both sides. -/
theorem Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part [IsFiniteMeasure μ] (a b : ℝ)
(hf : Submartingale f ℱ μ) : ENNReal.ofReal (b - a) * ∫⁻ ω, upcrossings a b f ω ∂μ ≤
⨆ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ := by
by_cases hab : a < b
· simp_rw [upcrossings]
have : ∀ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ = ENNReal.ofReal (∫ ω, (f N ω - a)⁺ ∂μ) := by
intro N
rw [ofReal_integral_eq_lintegral_ofReal]
· exact (hf.sub_martingale (martingale_const _ _ _)).pos.integrable _
· exact eventually_of_forall fun ω => LatticeOrderedGroup.pos_nonneg _
rw [lintegral_iSup']
· simp_rw [this, ENNReal.mul_iSup, iSup_le_iff]
intro N
rw [(by simp :
∫⁻ ω, upcrossingsBefore a b f N ω ∂μ = ∫⁻ ω, ↑(upcrossingsBefore a b f N ω : ℝ≥0) ∂μ),
lintegral_coe_eq_integral, ← ENNReal.ofReal_mul (sub_pos.2 hab).le]
· simp_rw [NNReal.coe_nat_cast]
exact (ENNReal.ofReal_le_ofReal
(hf.mul_integral_upcrossingsBefore_le_integral_pos_part a b N)).trans
(le_iSup (α := ℝ≥0∞) _ N)
· simp only [NNReal.coe_nat_cast, hf.adapted.integrable_upcrossingsBefore hab]
· exact fun n => measurable_from_top.comp_aemeasurable
(hf.adapted.measurable_upcrossingsBefore hab).aemeasurable
·
|
refine' eventually_of_forall fun ω N M hNM => _
|
/-- A variant of Doob's upcrossing estimate obtained by taking the supremum on both sides. -/
theorem Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part [IsFiniteMeasure μ] (a b : ℝ)
(hf : Submartingale f ℱ μ) : ENNReal.ofReal (b - a) * ∫⁻ ω, upcrossings a b f ω ∂μ ≤
⨆ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ := by
by_cases hab : a < b
· simp_rw [upcrossings]
have : ∀ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ = ENNReal.ofReal (∫ ω, (f N ω - a)⁺ ∂μ) := by
intro N
rw [ofReal_integral_eq_lintegral_ofReal]
· exact (hf.sub_martingale (martingale_const _ _ _)).pos.integrable _
· exact eventually_of_forall fun ω => LatticeOrderedGroup.pos_nonneg _
rw [lintegral_iSup']
· simp_rw [this, ENNReal.mul_iSup, iSup_le_iff]
intro N
rw [(by simp :
∫⁻ ω, upcrossingsBefore a b f N ω ∂μ = ∫⁻ ω, ↑(upcrossingsBefore a b f N ω : ℝ≥0) ∂μ),
lintegral_coe_eq_integral, ← ENNReal.ofReal_mul (sub_pos.2 hab).le]
· simp_rw [NNReal.coe_nat_cast]
exact (ENNReal.ofReal_le_ofReal
(hf.mul_integral_upcrossingsBefore_le_integral_pos_part a b N)).trans
(le_iSup (α := ℝ≥0∞) _ N)
· simp only [NNReal.coe_nat_cast, hf.adapted.integrable_upcrossingsBefore hab]
· exact fun n => measurable_from_top.comp_aemeasurable
(hf.adapted.measurable_upcrossingsBefore hab).aemeasurable
·
|
Mathlib.Probability.Martingale.Upcrossing.852_0.80Cpy4Qgm9i1y9y
|
/-- A variant of Doob's upcrossing estimate obtained by taking the supremum on both sides. -/
theorem Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part [IsFiniteMeasure μ] (a b : ℝ)
(hf : Submartingale f ℱ μ) : ENNReal.ofReal (b - a) * ∫⁻ ω, upcrossings a b f ω ∂μ ≤
⨆ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ
|
Mathlib_Probability_Martingale_Upcrossing
|
case pos.h_mono
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a✝ b✝ : ℝ
f : ℕ → Ω → ℝ
N✝ n m : ℕ
ω✝ : Ω
ℱ : Filtration ℕ m0
inst✝ : IsFiniteMeasure μ
a b : ℝ
hf : Submartingale f ℱ μ
hab : a < b
this : ∀ (N : ℕ), ∫⁻ (ω : Ω), ENNReal.ofReal (f N ω - a)⁺ ∂μ = ENNReal.ofReal (∫ (ω : Ω), (f N ω - a)⁺ ∂μ)
ω : Ω
N M : ℕ
hNM : N ≤ M
⊢ (fun n => ↑(upcrossingsBefore a b f n ω)) N ≤ (fun n => ↑(upcrossingsBefore a b f n ω)) M
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
· rfl
#align measure_theory.crossing_pos_eq MeasureTheory.crossing_pos_eq
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
simp_rw [upcrossingsBefore, (crossing_pos_eq hab).1]
#align measure_theory.upcrossings_before_pos_eq MeasureTheory.upcrossingsBefore_pos_eq
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
simp_rw [sub_zero, ← upcrossingsBefore_pos_eq hab]
rfl
#align measure_theory.mul_integral_upcrossings_before_le_integral_pos_part_aux MeasureTheory.mul_integral_upcrossingsBefore_le_integral_pos_part_aux
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
by_cases hab : a < b
· exact mul_integral_upcrossingsBefore_le_integral_pos_part_aux hf hab
· rw [not_lt, ← sub_nonpos] at hab
exact le_trans (mul_nonpos_of_nonpos_of_nonneg hab (integral_nonneg fun ω => Nat.cast_nonneg _))
(integral_nonneg fun ω => LatticeOrderedGroup.pos_nonneg _)
#align measure_theory.submartingale.mul_integral_upcrossings_before_le_integral_pos_part MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part
/-!
### Variant of the upcrossing estimate
Now, we would like to prove a variant of the upcrossing estimate obtained by taking the supremum
over $N$ of the original upcrossing estimate. Namely, we want the inequality
$$
(b - a) \sup_N \mathbb{E}[U_N(a, b)] \le \sup_N \mathbb{E}[f_N].
$$
This inequality is central for the martingale convergence theorem as it provides a uniform bound
for the upcrossings.
We note that on top of taking the supremum on both sides of the inequality, we had also used
the monotone convergence theorem on the left hand side to take the supremum outside of the
integral. To do this, we need to make sure $U_N(a, b)$ is measurable and integrable. Integrability
is easy to check as $U_N(a, b) ≤ N$ and so it suffices to show measurability. Indeed, by
noting that
$$
U_N(a, b) = \sum_{i = 1}^N \mathbf{1}_{\{U_N(a, b) < N\}}
$$
$U_N(a, b)$ is measurable as $\{U_N(a, b) < N\}$ is a measurable set since $U_N(a, b)$ is a
stopping time.
-/
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
rintro k hk
rw [Finset.mem_Ico] at hk
rw [Set.indicator_of_mem]
· rfl
· exact upperCrossingTime_lt_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab
(Nat.lt_succ_iff.1 hk.2)
have h₂ : ∀ k ∈ Finset.Ico (upcrossingsBefore a b f N ω + 1) (N + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 0 := by
rintro k hk
rw [Finset.mem_Ico, Nat.succ_le_iff] at hk
rw [Set.indicator_of_not_mem]
simp only [Set.mem_setOf_eq, not_lt]
exact (upperCrossingTime_eq_of_upcrossingsBefore_lt hab hk.1).symm.le
rw [Finset.sum_congr rfl h₁, Finset.sum_congr rfl h₂, Finset.sum_const, Finset.sum_const,
smul_eq_mul, mul_one, smul_eq_mul, mul_zero, Nat.card_Ico, Nat.add_succ_sub_one,
add_zero, add_zero]
#align measure_theory.upcrossings_before_eq_sum MeasureTheory.upcrossingsBefore_eq_sum
theorem Adapted.measurable_upcrossingsBefore (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossingsBefore a b f N) := by
have : upcrossingsBefore a b f N = fun ω =>
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
ext ω
exact upcrossingsBefore_eq_sum hab
rw [this]
exact Finset.measurable_sum _ fun i _ => Measurable.indicator measurable_const <|
ℱ.le N _ (hf.isStoppingTime_upperCrossingTime.measurableSet_lt_of_pred N)
#align measure_theory.adapted.measurable_upcrossings_before MeasureTheory.Adapted.measurable_upcrossingsBefore
theorem Adapted.integrable_upcrossingsBefore [IsFiniteMeasure μ] (hf : Adapted ℱ f) (hab : a < b) :
Integrable (fun ω => (upcrossingsBefore a b f N ω : ℝ)) μ :=
haveI : ∀ᵐ ω ∂μ, ‖(upcrossingsBefore a b f N ω : ℝ)‖ ≤ N := by
refine' eventually_of_forall fun ω => _
rw [Real.norm_eq_abs, Nat.abs_cast, Nat.cast_le]
refine' upcrossingsBefore_le _ _ hab
⟨Measurable.aestronglyMeasurable (measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)),
hasFiniteIntegral_of_bounded this⟩
#align measure_theory.adapted.integrable_upcrossings_before MeasureTheory.Adapted.integrable_upcrossingsBefore
/-- The number of upcrossings of a realization of a stochastic process (`upcrossings` takes value
in `ℝ≥0∞` and so is allowed to be `∞`). -/
noncomputable def upcrossings [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(ω : Ω) : ℝ≥0∞ :=
⨆ N, (upcrossingsBefore a b f N ω : ℝ≥0∞)
#align measure_theory.upcrossings MeasureTheory.upcrossings
theorem Adapted.measurable_upcrossings (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossings a b f) :=
measurable_iSup fun _ => measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)
#align measure_theory.adapted.measurable_upcrossings MeasureTheory.Adapted.measurable_upcrossings
theorem upcrossings_lt_top_iff :
upcrossings a b f ω < ∞ ↔ ∃ k, ∀ N, upcrossingsBefore a b f N ω ≤ k := by
have : upcrossings a b f ω < ∞ ↔ ∃ k : ℝ≥0, upcrossings a b f ω ≤ k := by
constructor
· intro h
lift upcrossings a b f ω to ℝ≥0 using h.ne with r hr
exact ⟨r, le_rfl⟩
· rintro ⟨k, hk⟩
exact lt_of_le_of_lt hk ENNReal.coe_lt_top
simp_rw [this, upcrossings, iSup_le_iff]
constructor <;> rintro ⟨k, hk⟩
· obtain ⟨m, hm⟩ := exists_nat_ge k
refine' ⟨m, fun N => Nat.cast_le.1 ((hk N).trans _)⟩
rwa [← ENNReal.coe_nat, ENNReal.coe_le_coe]
· refine' ⟨k, fun N => _⟩
simp only [ENNReal.coe_nat, Nat.cast_le, hk N]
#align measure_theory.upcrossings_lt_top_iff MeasureTheory.upcrossings_lt_top_iff
/-- A variant of Doob's upcrossing estimate obtained by taking the supremum on both sides. -/
theorem Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part [IsFiniteMeasure μ] (a b : ℝ)
(hf : Submartingale f ℱ μ) : ENNReal.ofReal (b - a) * ∫⁻ ω, upcrossings a b f ω ∂μ ≤
⨆ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ := by
by_cases hab : a < b
· simp_rw [upcrossings]
have : ∀ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ = ENNReal.ofReal (∫ ω, (f N ω - a)⁺ ∂μ) := by
intro N
rw [ofReal_integral_eq_lintegral_ofReal]
· exact (hf.sub_martingale (martingale_const _ _ _)).pos.integrable _
· exact eventually_of_forall fun ω => LatticeOrderedGroup.pos_nonneg _
rw [lintegral_iSup']
· simp_rw [this, ENNReal.mul_iSup, iSup_le_iff]
intro N
rw [(by simp :
∫⁻ ω, upcrossingsBefore a b f N ω ∂μ = ∫⁻ ω, ↑(upcrossingsBefore a b f N ω : ℝ≥0) ∂μ),
lintegral_coe_eq_integral, ← ENNReal.ofReal_mul (sub_pos.2 hab).le]
· simp_rw [NNReal.coe_nat_cast]
exact (ENNReal.ofReal_le_ofReal
(hf.mul_integral_upcrossingsBefore_le_integral_pos_part a b N)).trans
(le_iSup (α := ℝ≥0∞) _ N)
· simp only [NNReal.coe_nat_cast, hf.adapted.integrable_upcrossingsBefore hab]
· exact fun n => measurable_from_top.comp_aemeasurable
(hf.adapted.measurable_upcrossingsBefore hab).aemeasurable
· refine' eventually_of_forall fun ω N M hNM => _
|
rw [Nat.cast_le]
|
/-- A variant of Doob's upcrossing estimate obtained by taking the supremum on both sides. -/
theorem Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part [IsFiniteMeasure μ] (a b : ℝ)
(hf : Submartingale f ℱ μ) : ENNReal.ofReal (b - a) * ∫⁻ ω, upcrossings a b f ω ∂μ ≤
⨆ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ := by
by_cases hab : a < b
· simp_rw [upcrossings]
have : ∀ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ = ENNReal.ofReal (∫ ω, (f N ω - a)⁺ ∂μ) := by
intro N
rw [ofReal_integral_eq_lintegral_ofReal]
· exact (hf.sub_martingale (martingale_const _ _ _)).pos.integrable _
· exact eventually_of_forall fun ω => LatticeOrderedGroup.pos_nonneg _
rw [lintegral_iSup']
· simp_rw [this, ENNReal.mul_iSup, iSup_le_iff]
intro N
rw [(by simp :
∫⁻ ω, upcrossingsBefore a b f N ω ∂μ = ∫⁻ ω, ↑(upcrossingsBefore a b f N ω : ℝ≥0) ∂μ),
lintegral_coe_eq_integral, ← ENNReal.ofReal_mul (sub_pos.2 hab).le]
· simp_rw [NNReal.coe_nat_cast]
exact (ENNReal.ofReal_le_ofReal
(hf.mul_integral_upcrossingsBefore_le_integral_pos_part a b N)).trans
(le_iSup (α := ℝ≥0∞) _ N)
· simp only [NNReal.coe_nat_cast, hf.adapted.integrable_upcrossingsBefore hab]
· exact fun n => measurable_from_top.comp_aemeasurable
(hf.adapted.measurable_upcrossingsBefore hab).aemeasurable
· refine' eventually_of_forall fun ω N M hNM => _
|
Mathlib.Probability.Martingale.Upcrossing.852_0.80Cpy4Qgm9i1y9y
|
/-- A variant of Doob's upcrossing estimate obtained by taking the supremum on both sides. -/
theorem Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part [IsFiniteMeasure μ] (a b : ℝ)
(hf : Submartingale f ℱ μ) : ENNReal.ofReal (b - a) * ∫⁻ ω, upcrossings a b f ω ∂μ ≤
⨆ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ
|
Mathlib_Probability_Martingale_Upcrossing
|
case pos.h_mono
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a✝ b✝ : ℝ
f : ℕ → Ω → ℝ
N✝ n m : ℕ
ω✝ : Ω
ℱ : Filtration ℕ m0
inst✝ : IsFiniteMeasure μ
a b : ℝ
hf : Submartingale f ℱ μ
hab : a < b
this : ∀ (N : ℕ), ∫⁻ (ω : Ω), ENNReal.ofReal (f N ω - a)⁺ ∂μ = ENNReal.ofReal (∫ (ω : Ω), (f N ω - a)⁺ ∂μ)
ω : Ω
N M : ℕ
hNM : N ≤ M
⊢ upcrossingsBefore a b f N ω ≤ upcrossingsBefore a b f M ω
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
· rfl
#align measure_theory.crossing_pos_eq MeasureTheory.crossing_pos_eq
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
simp_rw [upcrossingsBefore, (crossing_pos_eq hab).1]
#align measure_theory.upcrossings_before_pos_eq MeasureTheory.upcrossingsBefore_pos_eq
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
simp_rw [sub_zero, ← upcrossingsBefore_pos_eq hab]
rfl
#align measure_theory.mul_integral_upcrossings_before_le_integral_pos_part_aux MeasureTheory.mul_integral_upcrossingsBefore_le_integral_pos_part_aux
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
by_cases hab : a < b
· exact mul_integral_upcrossingsBefore_le_integral_pos_part_aux hf hab
· rw [not_lt, ← sub_nonpos] at hab
exact le_trans (mul_nonpos_of_nonpos_of_nonneg hab (integral_nonneg fun ω => Nat.cast_nonneg _))
(integral_nonneg fun ω => LatticeOrderedGroup.pos_nonneg _)
#align measure_theory.submartingale.mul_integral_upcrossings_before_le_integral_pos_part MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part
/-!
### Variant of the upcrossing estimate
Now, we would like to prove a variant of the upcrossing estimate obtained by taking the supremum
over $N$ of the original upcrossing estimate. Namely, we want the inequality
$$
(b - a) \sup_N \mathbb{E}[U_N(a, b)] \le \sup_N \mathbb{E}[f_N].
$$
This inequality is central for the martingale convergence theorem as it provides a uniform bound
for the upcrossings.
We note that on top of taking the supremum on both sides of the inequality, we had also used
the monotone convergence theorem on the left hand side to take the supremum outside of the
integral. To do this, we need to make sure $U_N(a, b)$ is measurable and integrable. Integrability
is easy to check as $U_N(a, b) ≤ N$ and so it suffices to show measurability. Indeed, by
noting that
$$
U_N(a, b) = \sum_{i = 1}^N \mathbf{1}_{\{U_N(a, b) < N\}}
$$
$U_N(a, b)$ is measurable as $\{U_N(a, b) < N\}$ is a measurable set since $U_N(a, b)$ is a
stopping time.
-/
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
rintro k hk
rw [Finset.mem_Ico] at hk
rw [Set.indicator_of_mem]
· rfl
· exact upperCrossingTime_lt_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab
(Nat.lt_succ_iff.1 hk.2)
have h₂ : ∀ k ∈ Finset.Ico (upcrossingsBefore a b f N ω + 1) (N + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 0 := by
rintro k hk
rw [Finset.mem_Ico, Nat.succ_le_iff] at hk
rw [Set.indicator_of_not_mem]
simp only [Set.mem_setOf_eq, not_lt]
exact (upperCrossingTime_eq_of_upcrossingsBefore_lt hab hk.1).symm.le
rw [Finset.sum_congr rfl h₁, Finset.sum_congr rfl h₂, Finset.sum_const, Finset.sum_const,
smul_eq_mul, mul_one, smul_eq_mul, mul_zero, Nat.card_Ico, Nat.add_succ_sub_one,
add_zero, add_zero]
#align measure_theory.upcrossings_before_eq_sum MeasureTheory.upcrossingsBefore_eq_sum
theorem Adapted.measurable_upcrossingsBefore (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossingsBefore a b f N) := by
have : upcrossingsBefore a b f N = fun ω =>
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
ext ω
exact upcrossingsBefore_eq_sum hab
rw [this]
exact Finset.measurable_sum _ fun i _ => Measurable.indicator measurable_const <|
ℱ.le N _ (hf.isStoppingTime_upperCrossingTime.measurableSet_lt_of_pred N)
#align measure_theory.adapted.measurable_upcrossings_before MeasureTheory.Adapted.measurable_upcrossingsBefore
theorem Adapted.integrable_upcrossingsBefore [IsFiniteMeasure μ] (hf : Adapted ℱ f) (hab : a < b) :
Integrable (fun ω => (upcrossingsBefore a b f N ω : ℝ)) μ :=
haveI : ∀ᵐ ω ∂μ, ‖(upcrossingsBefore a b f N ω : ℝ)‖ ≤ N := by
refine' eventually_of_forall fun ω => _
rw [Real.norm_eq_abs, Nat.abs_cast, Nat.cast_le]
refine' upcrossingsBefore_le _ _ hab
⟨Measurable.aestronglyMeasurable (measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)),
hasFiniteIntegral_of_bounded this⟩
#align measure_theory.adapted.integrable_upcrossings_before MeasureTheory.Adapted.integrable_upcrossingsBefore
/-- The number of upcrossings of a realization of a stochastic process (`upcrossings` takes value
in `ℝ≥0∞` and so is allowed to be `∞`). -/
noncomputable def upcrossings [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(ω : Ω) : ℝ≥0∞ :=
⨆ N, (upcrossingsBefore a b f N ω : ℝ≥0∞)
#align measure_theory.upcrossings MeasureTheory.upcrossings
theorem Adapted.measurable_upcrossings (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossings a b f) :=
measurable_iSup fun _ => measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)
#align measure_theory.adapted.measurable_upcrossings MeasureTheory.Adapted.measurable_upcrossings
theorem upcrossings_lt_top_iff :
upcrossings a b f ω < ∞ ↔ ∃ k, ∀ N, upcrossingsBefore a b f N ω ≤ k := by
have : upcrossings a b f ω < ∞ ↔ ∃ k : ℝ≥0, upcrossings a b f ω ≤ k := by
constructor
· intro h
lift upcrossings a b f ω to ℝ≥0 using h.ne with r hr
exact ⟨r, le_rfl⟩
· rintro ⟨k, hk⟩
exact lt_of_le_of_lt hk ENNReal.coe_lt_top
simp_rw [this, upcrossings, iSup_le_iff]
constructor <;> rintro ⟨k, hk⟩
· obtain ⟨m, hm⟩ := exists_nat_ge k
refine' ⟨m, fun N => Nat.cast_le.1 ((hk N).trans _)⟩
rwa [← ENNReal.coe_nat, ENNReal.coe_le_coe]
· refine' ⟨k, fun N => _⟩
simp only [ENNReal.coe_nat, Nat.cast_le, hk N]
#align measure_theory.upcrossings_lt_top_iff MeasureTheory.upcrossings_lt_top_iff
/-- A variant of Doob's upcrossing estimate obtained by taking the supremum on both sides. -/
theorem Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part [IsFiniteMeasure μ] (a b : ℝ)
(hf : Submartingale f ℱ μ) : ENNReal.ofReal (b - a) * ∫⁻ ω, upcrossings a b f ω ∂μ ≤
⨆ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ := by
by_cases hab : a < b
· simp_rw [upcrossings]
have : ∀ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ = ENNReal.ofReal (∫ ω, (f N ω - a)⁺ ∂μ) := by
intro N
rw [ofReal_integral_eq_lintegral_ofReal]
· exact (hf.sub_martingale (martingale_const _ _ _)).pos.integrable _
· exact eventually_of_forall fun ω => LatticeOrderedGroup.pos_nonneg _
rw [lintegral_iSup']
· simp_rw [this, ENNReal.mul_iSup, iSup_le_iff]
intro N
rw [(by simp :
∫⁻ ω, upcrossingsBefore a b f N ω ∂μ = ∫⁻ ω, ↑(upcrossingsBefore a b f N ω : ℝ≥0) ∂μ),
lintegral_coe_eq_integral, ← ENNReal.ofReal_mul (sub_pos.2 hab).le]
· simp_rw [NNReal.coe_nat_cast]
exact (ENNReal.ofReal_le_ofReal
(hf.mul_integral_upcrossingsBefore_le_integral_pos_part a b N)).trans
(le_iSup (α := ℝ≥0∞) _ N)
· simp only [NNReal.coe_nat_cast, hf.adapted.integrable_upcrossingsBefore hab]
· exact fun n => measurable_from_top.comp_aemeasurable
(hf.adapted.measurable_upcrossingsBefore hab).aemeasurable
· refine' eventually_of_forall fun ω N M hNM => _
rw [Nat.cast_le]
|
exact upcrossingsBefore_mono hab hNM ω
|
/-- A variant of Doob's upcrossing estimate obtained by taking the supremum on both sides. -/
theorem Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part [IsFiniteMeasure μ] (a b : ℝ)
(hf : Submartingale f ℱ μ) : ENNReal.ofReal (b - a) * ∫⁻ ω, upcrossings a b f ω ∂μ ≤
⨆ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ := by
by_cases hab : a < b
· simp_rw [upcrossings]
have : ∀ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ = ENNReal.ofReal (∫ ω, (f N ω - a)⁺ ∂μ) := by
intro N
rw [ofReal_integral_eq_lintegral_ofReal]
· exact (hf.sub_martingale (martingale_const _ _ _)).pos.integrable _
· exact eventually_of_forall fun ω => LatticeOrderedGroup.pos_nonneg _
rw [lintegral_iSup']
· simp_rw [this, ENNReal.mul_iSup, iSup_le_iff]
intro N
rw [(by simp :
∫⁻ ω, upcrossingsBefore a b f N ω ∂μ = ∫⁻ ω, ↑(upcrossingsBefore a b f N ω : ℝ≥0) ∂μ),
lintegral_coe_eq_integral, ← ENNReal.ofReal_mul (sub_pos.2 hab).le]
· simp_rw [NNReal.coe_nat_cast]
exact (ENNReal.ofReal_le_ofReal
(hf.mul_integral_upcrossingsBefore_le_integral_pos_part a b N)).trans
(le_iSup (α := ℝ≥0∞) _ N)
· simp only [NNReal.coe_nat_cast, hf.adapted.integrable_upcrossingsBefore hab]
· exact fun n => measurable_from_top.comp_aemeasurable
(hf.adapted.measurable_upcrossingsBefore hab).aemeasurable
· refine' eventually_of_forall fun ω N M hNM => _
rw [Nat.cast_le]
|
Mathlib.Probability.Martingale.Upcrossing.852_0.80Cpy4Qgm9i1y9y
|
/-- A variant of Doob's upcrossing estimate obtained by taking the supremum on both sides. -/
theorem Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part [IsFiniteMeasure μ] (a b : ℝ)
(hf : Submartingale f ℱ μ) : ENNReal.ofReal (b - a) * ∫⁻ ω, upcrossings a b f ω ∂μ ≤
⨆ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ
|
Mathlib_Probability_Martingale_Upcrossing
|
case neg
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a✝ b✝ : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
inst✝ : IsFiniteMeasure μ
a b : ℝ
hf : Submartingale f ℱ μ
hab : ¬a < b
⊢ ENNReal.ofReal (b - a) * ∫⁻ (ω : Ω), upcrossings a b f ω ∂μ ≤ ⨆ N, ∫⁻ (ω : Ω), ENNReal.ofReal (f N ω - a)⁺ ∂μ
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
· rfl
#align measure_theory.crossing_pos_eq MeasureTheory.crossing_pos_eq
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
simp_rw [upcrossingsBefore, (crossing_pos_eq hab).1]
#align measure_theory.upcrossings_before_pos_eq MeasureTheory.upcrossingsBefore_pos_eq
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
simp_rw [sub_zero, ← upcrossingsBefore_pos_eq hab]
rfl
#align measure_theory.mul_integral_upcrossings_before_le_integral_pos_part_aux MeasureTheory.mul_integral_upcrossingsBefore_le_integral_pos_part_aux
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
by_cases hab : a < b
· exact mul_integral_upcrossingsBefore_le_integral_pos_part_aux hf hab
· rw [not_lt, ← sub_nonpos] at hab
exact le_trans (mul_nonpos_of_nonpos_of_nonneg hab (integral_nonneg fun ω => Nat.cast_nonneg _))
(integral_nonneg fun ω => LatticeOrderedGroup.pos_nonneg _)
#align measure_theory.submartingale.mul_integral_upcrossings_before_le_integral_pos_part MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part
/-!
### Variant of the upcrossing estimate
Now, we would like to prove a variant of the upcrossing estimate obtained by taking the supremum
over $N$ of the original upcrossing estimate. Namely, we want the inequality
$$
(b - a) \sup_N \mathbb{E}[U_N(a, b)] \le \sup_N \mathbb{E}[f_N].
$$
This inequality is central for the martingale convergence theorem as it provides a uniform bound
for the upcrossings.
We note that on top of taking the supremum on both sides of the inequality, we had also used
the monotone convergence theorem on the left hand side to take the supremum outside of the
integral. To do this, we need to make sure $U_N(a, b)$ is measurable and integrable. Integrability
is easy to check as $U_N(a, b) ≤ N$ and so it suffices to show measurability. Indeed, by
noting that
$$
U_N(a, b) = \sum_{i = 1}^N \mathbf{1}_{\{U_N(a, b) < N\}}
$$
$U_N(a, b)$ is measurable as $\{U_N(a, b) < N\}$ is a measurable set since $U_N(a, b)$ is a
stopping time.
-/
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
rintro k hk
rw [Finset.mem_Ico] at hk
rw [Set.indicator_of_mem]
· rfl
· exact upperCrossingTime_lt_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab
(Nat.lt_succ_iff.1 hk.2)
have h₂ : ∀ k ∈ Finset.Ico (upcrossingsBefore a b f N ω + 1) (N + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 0 := by
rintro k hk
rw [Finset.mem_Ico, Nat.succ_le_iff] at hk
rw [Set.indicator_of_not_mem]
simp only [Set.mem_setOf_eq, not_lt]
exact (upperCrossingTime_eq_of_upcrossingsBefore_lt hab hk.1).symm.le
rw [Finset.sum_congr rfl h₁, Finset.sum_congr rfl h₂, Finset.sum_const, Finset.sum_const,
smul_eq_mul, mul_one, smul_eq_mul, mul_zero, Nat.card_Ico, Nat.add_succ_sub_one,
add_zero, add_zero]
#align measure_theory.upcrossings_before_eq_sum MeasureTheory.upcrossingsBefore_eq_sum
theorem Adapted.measurable_upcrossingsBefore (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossingsBefore a b f N) := by
have : upcrossingsBefore a b f N = fun ω =>
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
ext ω
exact upcrossingsBefore_eq_sum hab
rw [this]
exact Finset.measurable_sum _ fun i _ => Measurable.indicator measurable_const <|
ℱ.le N _ (hf.isStoppingTime_upperCrossingTime.measurableSet_lt_of_pred N)
#align measure_theory.adapted.measurable_upcrossings_before MeasureTheory.Adapted.measurable_upcrossingsBefore
theorem Adapted.integrable_upcrossingsBefore [IsFiniteMeasure μ] (hf : Adapted ℱ f) (hab : a < b) :
Integrable (fun ω => (upcrossingsBefore a b f N ω : ℝ)) μ :=
haveI : ∀ᵐ ω ∂μ, ‖(upcrossingsBefore a b f N ω : ℝ)‖ ≤ N := by
refine' eventually_of_forall fun ω => _
rw [Real.norm_eq_abs, Nat.abs_cast, Nat.cast_le]
refine' upcrossingsBefore_le _ _ hab
⟨Measurable.aestronglyMeasurable (measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)),
hasFiniteIntegral_of_bounded this⟩
#align measure_theory.adapted.integrable_upcrossings_before MeasureTheory.Adapted.integrable_upcrossingsBefore
/-- The number of upcrossings of a realization of a stochastic process (`upcrossings` takes value
in `ℝ≥0∞` and so is allowed to be `∞`). -/
noncomputable def upcrossings [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(ω : Ω) : ℝ≥0∞ :=
⨆ N, (upcrossingsBefore a b f N ω : ℝ≥0∞)
#align measure_theory.upcrossings MeasureTheory.upcrossings
theorem Adapted.measurable_upcrossings (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossings a b f) :=
measurable_iSup fun _ => measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)
#align measure_theory.adapted.measurable_upcrossings MeasureTheory.Adapted.measurable_upcrossings
theorem upcrossings_lt_top_iff :
upcrossings a b f ω < ∞ ↔ ∃ k, ∀ N, upcrossingsBefore a b f N ω ≤ k := by
have : upcrossings a b f ω < ∞ ↔ ∃ k : ℝ≥0, upcrossings a b f ω ≤ k := by
constructor
· intro h
lift upcrossings a b f ω to ℝ≥0 using h.ne with r hr
exact ⟨r, le_rfl⟩
· rintro ⟨k, hk⟩
exact lt_of_le_of_lt hk ENNReal.coe_lt_top
simp_rw [this, upcrossings, iSup_le_iff]
constructor <;> rintro ⟨k, hk⟩
· obtain ⟨m, hm⟩ := exists_nat_ge k
refine' ⟨m, fun N => Nat.cast_le.1 ((hk N).trans _)⟩
rwa [← ENNReal.coe_nat, ENNReal.coe_le_coe]
· refine' ⟨k, fun N => _⟩
simp only [ENNReal.coe_nat, Nat.cast_le, hk N]
#align measure_theory.upcrossings_lt_top_iff MeasureTheory.upcrossings_lt_top_iff
/-- A variant of Doob's upcrossing estimate obtained by taking the supremum on both sides. -/
theorem Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part [IsFiniteMeasure μ] (a b : ℝ)
(hf : Submartingale f ℱ μ) : ENNReal.ofReal (b - a) * ∫⁻ ω, upcrossings a b f ω ∂μ ≤
⨆ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ := by
by_cases hab : a < b
· simp_rw [upcrossings]
have : ∀ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ = ENNReal.ofReal (∫ ω, (f N ω - a)⁺ ∂μ) := by
intro N
rw [ofReal_integral_eq_lintegral_ofReal]
· exact (hf.sub_martingale (martingale_const _ _ _)).pos.integrable _
· exact eventually_of_forall fun ω => LatticeOrderedGroup.pos_nonneg _
rw [lintegral_iSup']
· simp_rw [this, ENNReal.mul_iSup, iSup_le_iff]
intro N
rw [(by simp :
∫⁻ ω, upcrossingsBefore a b f N ω ∂μ = ∫⁻ ω, ↑(upcrossingsBefore a b f N ω : ℝ≥0) ∂μ),
lintegral_coe_eq_integral, ← ENNReal.ofReal_mul (sub_pos.2 hab).le]
· simp_rw [NNReal.coe_nat_cast]
exact (ENNReal.ofReal_le_ofReal
(hf.mul_integral_upcrossingsBefore_le_integral_pos_part a b N)).trans
(le_iSup (α := ℝ≥0∞) _ N)
· simp only [NNReal.coe_nat_cast, hf.adapted.integrable_upcrossingsBefore hab]
· exact fun n => measurable_from_top.comp_aemeasurable
(hf.adapted.measurable_upcrossingsBefore hab).aemeasurable
· refine' eventually_of_forall fun ω N M hNM => _
rw [Nat.cast_le]
exact upcrossingsBefore_mono hab hNM ω
·
|
rw [not_lt, ← sub_nonpos] at hab
|
/-- A variant of Doob's upcrossing estimate obtained by taking the supremum on both sides. -/
theorem Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part [IsFiniteMeasure μ] (a b : ℝ)
(hf : Submartingale f ℱ μ) : ENNReal.ofReal (b - a) * ∫⁻ ω, upcrossings a b f ω ∂μ ≤
⨆ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ := by
by_cases hab : a < b
· simp_rw [upcrossings]
have : ∀ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ = ENNReal.ofReal (∫ ω, (f N ω - a)⁺ ∂μ) := by
intro N
rw [ofReal_integral_eq_lintegral_ofReal]
· exact (hf.sub_martingale (martingale_const _ _ _)).pos.integrable _
· exact eventually_of_forall fun ω => LatticeOrderedGroup.pos_nonneg _
rw [lintegral_iSup']
· simp_rw [this, ENNReal.mul_iSup, iSup_le_iff]
intro N
rw [(by simp :
∫⁻ ω, upcrossingsBefore a b f N ω ∂μ = ∫⁻ ω, ↑(upcrossingsBefore a b f N ω : ℝ≥0) ∂μ),
lintegral_coe_eq_integral, ← ENNReal.ofReal_mul (sub_pos.2 hab).le]
· simp_rw [NNReal.coe_nat_cast]
exact (ENNReal.ofReal_le_ofReal
(hf.mul_integral_upcrossingsBefore_le_integral_pos_part a b N)).trans
(le_iSup (α := ℝ≥0∞) _ N)
· simp only [NNReal.coe_nat_cast, hf.adapted.integrable_upcrossingsBefore hab]
· exact fun n => measurable_from_top.comp_aemeasurable
(hf.adapted.measurable_upcrossingsBefore hab).aemeasurable
· refine' eventually_of_forall fun ω N M hNM => _
rw [Nat.cast_le]
exact upcrossingsBefore_mono hab hNM ω
·
|
Mathlib.Probability.Martingale.Upcrossing.852_0.80Cpy4Qgm9i1y9y
|
/-- A variant of Doob's upcrossing estimate obtained by taking the supremum on both sides. -/
theorem Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part [IsFiniteMeasure μ] (a b : ℝ)
(hf : Submartingale f ℱ μ) : ENNReal.ofReal (b - a) * ∫⁻ ω, upcrossings a b f ω ∂μ ≤
⨆ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ
|
Mathlib_Probability_Martingale_Upcrossing
|
case neg
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a✝ b✝ : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
inst✝ : IsFiniteMeasure μ
a b : ℝ
hf : Submartingale f ℱ μ
hab : b - a ≤ 0
⊢ ENNReal.ofReal (b - a) * ∫⁻ (ω : Ω), upcrossings a b f ω ∂μ ≤ ⨆ N, ∫⁻ (ω : Ω), ENNReal.ofReal (f N ω - a)⁺ ∂μ
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
· rfl
#align measure_theory.crossing_pos_eq MeasureTheory.crossing_pos_eq
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
simp_rw [upcrossingsBefore, (crossing_pos_eq hab).1]
#align measure_theory.upcrossings_before_pos_eq MeasureTheory.upcrossingsBefore_pos_eq
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
simp_rw [sub_zero, ← upcrossingsBefore_pos_eq hab]
rfl
#align measure_theory.mul_integral_upcrossings_before_le_integral_pos_part_aux MeasureTheory.mul_integral_upcrossingsBefore_le_integral_pos_part_aux
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
by_cases hab : a < b
· exact mul_integral_upcrossingsBefore_le_integral_pos_part_aux hf hab
· rw [not_lt, ← sub_nonpos] at hab
exact le_trans (mul_nonpos_of_nonpos_of_nonneg hab (integral_nonneg fun ω => Nat.cast_nonneg _))
(integral_nonneg fun ω => LatticeOrderedGroup.pos_nonneg _)
#align measure_theory.submartingale.mul_integral_upcrossings_before_le_integral_pos_part MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part
/-!
### Variant of the upcrossing estimate
Now, we would like to prove a variant of the upcrossing estimate obtained by taking the supremum
over $N$ of the original upcrossing estimate. Namely, we want the inequality
$$
(b - a) \sup_N \mathbb{E}[U_N(a, b)] \le \sup_N \mathbb{E}[f_N].
$$
This inequality is central for the martingale convergence theorem as it provides a uniform bound
for the upcrossings.
We note that on top of taking the supremum on both sides of the inequality, we had also used
the monotone convergence theorem on the left hand side to take the supremum outside of the
integral. To do this, we need to make sure $U_N(a, b)$ is measurable and integrable. Integrability
is easy to check as $U_N(a, b) ≤ N$ and so it suffices to show measurability. Indeed, by
noting that
$$
U_N(a, b) = \sum_{i = 1}^N \mathbf{1}_{\{U_N(a, b) < N\}}
$$
$U_N(a, b)$ is measurable as $\{U_N(a, b) < N\}$ is a measurable set since $U_N(a, b)$ is a
stopping time.
-/
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
rintro k hk
rw [Finset.mem_Ico] at hk
rw [Set.indicator_of_mem]
· rfl
· exact upperCrossingTime_lt_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab
(Nat.lt_succ_iff.1 hk.2)
have h₂ : ∀ k ∈ Finset.Ico (upcrossingsBefore a b f N ω + 1) (N + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 0 := by
rintro k hk
rw [Finset.mem_Ico, Nat.succ_le_iff] at hk
rw [Set.indicator_of_not_mem]
simp only [Set.mem_setOf_eq, not_lt]
exact (upperCrossingTime_eq_of_upcrossingsBefore_lt hab hk.1).symm.le
rw [Finset.sum_congr rfl h₁, Finset.sum_congr rfl h₂, Finset.sum_const, Finset.sum_const,
smul_eq_mul, mul_one, smul_eq_mul, mul_zero, Nat.card_Ico, Nat.add_succ_sub_one,
add_zero, add_zero]
#align measure_theory.upcrossings_before_eq_sum MeasureTheory.upcrossingsBefore_eq_sum
theorem Adapted.measurable_upcrossingsBefore (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossingsBefore a b f N) := by
have : upcrossingsBefore a b f N = fun ω =>
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
ext ω
exact upcrossingsBefore_eq_sum hab
rw [this]
exact Finset.measurable_sum _ fun i _ => Measurable.indicator measurable_const <|
ℱ.le N _ (hf.isStoppingTime_upperCrossingTime.measurableSet_lt_of_pred N)
#align measure_theory.adapted.measurable_upcrossings_before MeasureTheory.Adapted.measurable_upcrossingsBefore
theorem Adapted.integrable_upcrossingsBefore [IsFiniteMeasure μ] (hf : Adapted ℱ f) (hab : a < b) :
Integrable (fun ω => (upcrossingsBefore a b f N ω : ℝ)) μ :=
haveI : ∀ᵐ ω ∂μ, ‖(upcrossingsBefore a b f N ω : ℝ)‖ ≤ N := by
refine' eventually_of_forall fun ω => _
rw [Real.norm_eq_abs, Nat.abs_cast, Nat.cast_le]
refine' upcrossingsBefore_le _ _ hab
⟨Measurable.aestronglyMeasurable (measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)),
hasFiniteIntegral_of_bounded this⟩
#align measure_theory.adapted.integrable_upcrossings_before MeasureTheory.Adapted.integrable_upcrossingsBefore
/-- The number of upcrossings of a realization of a stochastic process (`upcrossings` takes value
in `ℝ≥0∞` and so is allowed to be `∞`). -/
noncomputable def upcrossings [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(ω : Ω) : ℝ≥0∞ :=
⨆ N, (upcrossingsBefore a b f N ω : ℝ≥0∞)
#align measure_theory.upcrossings MeasureTheory.upcrossings
theorem Adapted.measurable_upcrossings (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossings a b f) :=
measurable_iSup fun _ => measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)
#align measure_theory.adapted.measurable_upcrossings MeasureTheory.Adapted.measurable_upcrossings
theorem upcrossings_lt_top_iff :
upcrossings a b f ω < ∞ ↔ ∃ k, ∀ N, upcrossingsBefore a b f N ω ≤ k := by
have : upcrossings a b f ω < ∞ ↔ ∃ k : ℝ≥0, upcrossings a b f ω ≤ k := by
constructor
· intro h
lift upcrossings a b f ω to ℝ≥0 using h.ne with r hr
exact ⟨r, le_rfl⟩
· rintro ⟨k, hk⟩
exact lt_of_le_of_lt hk ENNReal.coe_lt_top
simp_rw [this, upcrossings, iSup_le_iff]
constructor <;> rintro ⟨k, hk⟩
· obtain ⟨m, hm⟩ := exists_nat_ge k
refine' ⟨m, fun N => Nat.cast_le.1 ((hk N).trans _)⟩
rwa [← ENNReal.coe_nat, ENNReal.coe_le_coe]
· refine' ⟨k, fun N => _⟩
simp only [ENNReal.coe_nat, Nat.cast_le, hk N]
#align measure_theory.upcrossings_lt_top_iff MeasureTheory.upcrossings_lt_top_iff
/-- A variant of Doob's upcrossing estimate obtained by taking the supremum on both sides. -/
theorem Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part [IsFiniteMeasure μ] (a b : ℝ)
(hf : Submartingale f ℱ μ) : ENNReal.ofReal (b - a) * ∫⁻ ω, upcrossings a b f ω ∂μ ≤
⨆ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ := by
by_cases hab : a < b
· simp_rw [upcrossings]
have : ∀ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ = ENNReal.ofReal (∫ ω, (f N ω - a)⁺ ∂μ) := by
intro N
rw [ofReal_integral_eq_lintegral_ofReal]
· exact (hf.sub_martingale (martingale_const _ _ _)).pos.integrable _
· exact eventually_of_forall fun ω => LatticeOrderedGroup.pos_nonneg _
rw [lintegral_iSup']
· simp_rw [this, ENNReal.mul_iSup, iSup_le_iff]
intro N
rw [(by simp :
∫⁻ ω, upcrossingsBefore a b f N ω ∂μ = ∫⁻ ω, ↑(upcrossingsBefore a b f N ω : ℝ≥0) ∂μ),
lintegral_coe_eq_integral, ← ENNReal.ofReal_mul (sub_pos.2 hab).le]
· simp_rw [NNReal.coe_nat_cast]
exact (ENNReal.ofReal_le_ofReal
(hf.mul_integral_upcrossingsBefore_le_integral_pos_part a b N)).trans
(le_iSup (α := ℝ≥0∞) _ N)
· simp only [NNReal.coe_nat_cast, hf.adapted.integrable_upcrossingsBefore hab]
· exact fun n => measurable_from_top.comp_aemeasurable
(hf.adapted.measurable_upcrossingsBefore hab).aemeasurable
· refine' eventually_of_forall fun ω N M hNM => _
rw [Nat.cast_le]
exact upcrossingsBefore_mono hab hNM ω
· rw [not_lt, ← sub_nonpos] at hab
|
rw [ENNReal.ofReal_of_nonpos hab, zero_mul]
|
/-- A variant of Doob's upcrossing estimate obtained by taking the supremum on both sides. -/
theorem Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part [IsFiniteMeasure μ] (a b : ℝ)
(hf : Submartingale f ℱ μ) : ENNReal.ofReal (b - a) * ∫⁻ ω, upcrossings a b f ω ∂μ ≤
⨆ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ := by
by_cases hab : a < b
· simp_rw [upcrossings]
have : ∀ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ = ENNReal.ofReal (∫ ω, (f N ω - a)⁺ ∂μ) := by
intro N
rw [ofReal_integral_eq_lintegral_ofReal]
· exact (hf.sub_martingale (martingale_const _ _ _)).pos.integrable _
· exact eventually_of_forall fun ω => LatticeOrderedGroup.pos_nonneg _
rw [lintegral_iSup']
· simp_rw [this, ENNReal.mul_iSup, iSup_le_iff]
intro N
rw [(by simp :
∫⁻ ω, upcrossingsBefore a b f N ω ∂μ = ∫⁻ ω, ↑(upcrossingsBefore a b f N ω : ℝ≥0) ∂μ),
lintegral_coe_eq_integral, ← ENNReal.ofReal_mul (sub_pos.2 hab).le]
· simp_rw [NNReal.coe_nat_cast]
exact (ENNReal.ofReal_le_ofReal
(hf.mul_integral_upcrossingsBefore_le_integral_pos_part a b N)).trans
(le_iSup (α := ℝ≥0∞) _ N)
· simp only [NNReal.coe_nat_cast, hf.adapted.integrable_upcrossingsBefore hab]
· exact fun n => measurable_from_top.comp_aemeasurable
(hf.adapted.measurable_upcrossingsBefore hab).aemeasurable
· refine' eventually_of_forall fun ω N M hNM => _
rw [Nat.cast_le]
exact upcrossingsBefore_mono hab hNM ω
· rw [not_lt, ← sub_nonpos] at hab
|
Mathlib.Probability.Martingale.Upcrossing.852_0.80Cpy4Qgm9i1y9y
|
/-- A variant of Doob's upcrossing estimate obtained by taking the supremum on both sides. -/
theorem Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part [IsFiniteMeasure μ] (a b : ℝ)
(hf : Submartingale f ℱ μ) : ENNReal.ofReal (b - a) * ∫⁻ ω, upcrossings a b f ω ∂μ ≤
⨆ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ
|
Mathlib_Probability_Martingale_Upcrossing
|
case neg
Ω : Type u_1
ι : Type u_2
m0 : MeasurableSpace Ω
μ : Measure Ω
a✝ b✝ : ℝ
f : ℕ → Ω → ℝ
N n m : ℕ
ω : Ω
ℱ : Filtration ℕ m0
inst✝ : IsFiniteMeasure μ
a b : ℝ
hf : Submartingale f ℱ μ
hab : b - a ≤ 0
⊢ 0 ≤ ⨆ N, ∫⁻ (ω : Ω), ENNReal.ofReal (f N ω - a)⁺ ∂μ
|
/-
Copyright (c) 2022 Kexing Ying. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Kexing Ying
-/
import Mathlib.Data.Set.Intervals.Monotone
import Mathlib.Probability.Process.HittingTime
import Mathlib.Probability.Martingale.Basic
#align_import probability.martingale.upcrossing from "leanprover-community/mathlib"@"2c1d8ca2812b64f88992a5294ea3dba144755cd1"
/-!
# Doob's upcrossing estimate
Given a discrete real-valued submartingale $(f_n)_{n \in \mathbb{N}}$, denoting by $U_N(a, b)$ the
number of times $f_n$ crossed from below $a$ to above $b$ before time $N$, Doob's upcrossing
estimate (also known as Doob's inequality) states that
$$(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(f_N - a)^+].$$
Doob's upcrossing estimate is an important inequality and is central in proving the martingale
convergence theorems.
## Main definitions
* `MeasureTheory.upperCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing above `b` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.lowerCrossingTime a b f N n`: is the stopping time corresponding to `f`
crossing below `a` the `n`-th time before time `N` (if this does not occur then the value is
taken to be `N`).
* `MeasureTheory.upcrossingStrat a b f N`: is the predictable process which is 1 if `n` is
between a consecutive pair of lower and upper crossings and is 0 otherwise. Intuitively
one might think of the `upcrossingStrat` as the strategy of buying 1 share whenever the process
crosses below `a` for the first time after selling and selling 1 share whenever the process
crosses above `b` for the first time after buying.
* `MeasureTheory.upcrossingsBefore a b f N`: is the number of times `f` crosses from below `a` to
above `b` before time `N`.
* `MeasureTheory.upcrossings a b f`: is the number of times `f` crosses from below `a` to above
`b`. This takes value in `ℝ≥0∞` and so is allowed to be `∞`.
## Main results
* `MeasureTheory.Adapted.isStoppingTime_upperCrossingTime`: `upperCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime`: `lowerCrossingTime` is a
stopping time whenever the process it is associated to is adapted.
* `MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part`: Doob's
upcrossing estimate.
* `MeasureTheory.Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part`: the inequality
obtained by taking the supremum on both sides of Doob's upcrossing estimate.
### References
We mostly follow the proof from [Kallenberg, *Foundations of modern probability*][kallenberg2021]
-/
open TopologicalSpace Filter
open scoped NNReal ENNReal MeasureTheory ProbabilityTheory BigOperators Topology
namespace MeasureTheory
variable {Ω ι : Type*} {m0 : MeasurableSpace Ω} {μ : Measure Ω}
/-!
## Proof outline
In this section, we will denote by $U_N(a, b)$ the number of upcrossings of $(f_n)$ from below $a$
to above $b$ before time $N$.
To define $U_N(a, b)$, we will construct two stopping times corresponding to when $(f_n)$ crosses
below $a$ and above $b$. Namely, we define
$$
\sigma_n := \inf \{n \ge \tau_n \mid f_n \le a\} \wedge N;
$$
$$
\tau_{n + 1} := \inf \{n \ge \sigma_n \mid f_n \ge b\} \wedge N.
$$
These are `lowerCrossingTime` and `upperCrossingTime` in our formalization which are defined
using `MeasureTheory.hitting` allowing us to specify a starting and ending time.
Then, we may simply define $U_N(a, b) := \sup \{n \mid \tau_n < N\}$.
Fixing $a < b \in \mathbb{R}$, we will first prove the theorem in the special case that
$0 \le f_0$ and $a \le f_N$. In particular, we will show
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[f_N].
$$
This is `MeasureTheory.integral_mul_upcrossingsBefore_le_integral` in our formalization.
To prove this, we use the fact that given a non-negative, bounded, predictable process $(C_n)$
(i.e. $(C_{n + 1})$ is adapted), $(C \bullet f)_n := \sum_{k \le n} C_{k + 1}(f_{k + 1} - f_k)$ is
a submartingale if $(f_n)$ is.
Define $C_n := \sum_{k \le n} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)$. It is easy to see that
$(1 - C_n)$ is non-negative, bounded and predictable, and hence, given a submartingale $(f_n)$,
$(1 - C) \bullet f$ is also a submartingale. Thus, by the submartingale property,
$0 \le \mathbb{E}[((1 - C) \bullet f)_0] \le \mathbb{E}[((1 - C) \bullet f)_N]$ implying
$$
\mathbb{E}[(C \bullet f)_N] \le \mathbb{E}[(1 \bullet f)_N] = \mathbb{E}[f_N] - \mathbb{E}[f_0].
$$
Furthermore,
\begin{align}
(C \bullet f)_N & =
\sum_{n \le N} \sum_{k \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} \sum_{n \le N} \mathbf{1}_{[\sigma_k, \tau_{k + 1})}(n)(f_{n + 1} - f_n)\\
& = \sum_{k \le N} (f_{\sigma_k + 1} - f_{\sigma_k} + f_{\sigma_k + 2} - f_{\sigma_k + 1}
+ \cdots + f_{\tau_{k + 1}} - f_{\tau_{k + 1} - 1})\\
& = \sum_{k \le N} (f_{\tau_{k + 1}} - f_{\sigma_k})
\ge \sum_{k < U_N(a, b)} (b - a) = (b - a) U_N(a, b)
\end{align}
where the inequality follows since for all $k < U_N(a, b)$,
$f_{\tau_{k + 1}} - f_{\sigma_k} \ge b - a$ while for all $k > U_N(a, b)$,
$f_{\tau_{k + 1}} = f_{\sigma_k} = f_N$ and
$f_{\tau_{U_N(a, b) + 1}} - f_{\sigma_{U_N(a, b)}} = f_N - a \ge 0$. Hence, we have
$$
(b - a) \mathbb{E}[U_N(a, b)] \le \mathbb{E}[(C \bullet f)_N]
\le \mathbb{E}[f_N] - \mathbb{E}[f_0] \le \mathbb{E}[f_N],
$$
as required.
To obtain the general case, we simply apply the above to $((f_n - a)^+)_n$.
-/
/-- `lowerCrossingTimeAux a f c N` is the first time `f` reached below `a` after time `c` before
time `N`. -/
noncomputable def lowerCrossingTimeAux [Preorder ι] [InfSet ι] (a : ℝ) (f : ι → Ω → ℝ) (c N : ι) :
Ω → ι :=
hitting f (Set.Iic a) c N
#align measure_theory.lower_crossing_time_aux MeasureTheory.lowerCrossingTimeAux
/-- `upperCrossingTime a b f N n` is the first time before time `N`, `f` reaches
above `b` after `f` reached below `a` for the `n - 1`-th time. -/
noncomputable def upperCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) : ℕ → Ω → ι
| 0 => ⊥
| n + 1 => fun ω =>
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω
#align measure_theory.upper_crossing_time MeasureTheory.upperCrossingTime
/-- `lowerCrossingTime a b f N n` is the first time before time `N`, `f` reaches
below `a` after `f` reached above `b` for the `n`-th time. -/
noncomputable def lowerCrossingTime [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (n : ℕ) : Ω → ι := fun ω => hitting f (Set.Iic a) (upperCrossingTime a b f N n ω) N ω
#align measure_theory.lower_crossing_time MeasureTheory.lowerCrossingTime
section
variable [Preorder ι] [OrderBot ι] [InfSet ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
@[simp]
theorem upperCrossingTime_zero : upperCrossingTime a b f N 0 = ⊥ :=
rfl
#align measure_theory.upper_crossing_time_zero MeasureTheory.upperCrossingTime_zero
@[simp]
theorem lowerCrossingTime_zero : lowerCrossingTime a b f N 0 = hitting f (Set.Iic a) ⊥ N :=
rfl
#align measure_theory.lower_crossing_time_zero MeasureTheory.lowerCrossingTime_zero
theorem upperCrossingTime_succ : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTimeAux a f (upperCrossingTime a b f N n ω) N ω) N ω := by
rw [upperCrossingTime]
#align measure_theory.upper_crossing_time_succ MeasureTheory.upperCrossingTime_succ
theorem upperCrossingTime_succ_eq (ω : Ω) : upperCrossingTime a b f N (n + 1) ω =
hitting f (Set.Ici b) (lowerCrossingTime a b f N n ω) N ω := by
simp only [upperCrossingTime_succ]
rfl
#align measure_theory.upper_crossing_time_succ_eq MeasureTheory.upperCrossingTime_succ_eq
end
section ConditionallyCompleteLinearOrderBot
variable [ConditionallyCompleteLinearOrderBot ι]
variable {a b : ℝ} {f : ι → Ω → ℝ} {N : ι} {n m : ℕ} {ω : Ω}
theorem upperCrossingTime_le : upperCrossingTime a b f N n ω ≤ N := by
cases n
· simp only [upperCrossingTime_zero, Pi.bot_apply, bot_le, Nat.zero_eq]
· simp only [upperCrossingTime_succ, hitting_le]
#align measure_theory.upper_crossing_time_le MeasureTheory.upperCrossingTime_le
@[simp]
theorem upperCrossingTime_zero' : upperCrossingTime a b f ⊥ n ω = ⊥ :=
eq_bot_iff.2 upperCrossingTime_le
#align measure_theory.upper_crossing_time_zero' MeasureTheory.upperCrossingTime_zero'
theorem lowerCrossingTime_le : lowerCrossingTime a b f N n ω ≤ N := by
simp only [lowerCrossingTime, hitting_le ω]
#align measure_theory.lower_crossing_time_le MeasureTheory.lowerCrossingTime_le
theorem upperCrossingTime_le_lowerCrossingTime :
upperCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N n ω := by
simp only [lowerCrossingTime, le_hitting upperCrossingTime_le ω]
#align measure_theory.upper_crossing_time_le_lower_crossing_time MeasureTheory.upperCrossingTime_le_lowerCrossingTime
theorem lowerCrossingTime_le_upperCrossingTime_succ :
lowerCrossingTime a b f N n ω ≤ upperCrossingTime a b f N (n + 1) ω := by
rw [upperCrossingTime_succ]
exact le_hitting lowerCrossingTime_le ω
#align measure_theory.lower_crossing_time_le_upper_crossing_time_succ MeasureTheory.lowerCrossingTime_le_upperCrossingTime_succ
theorem lowerCrossingTime_mono (hnm : n ≤ m) :
lowerCrossingTime a b f N n ω ≤ lowerCrossingTime a b f N m ω := by
suffices Monotone fun n => lowerCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans lowerCrossingTime_le_upperCrossingTime_succ upperCrossingTime_le_lowerCrossingTime
#align measure_theory.lower_crossing_time_mono MeasureTheory.lowerCrossingTime_mono
theorem upperCrossingTime_mono (hnm : n ≤ m) :
upperCrossingTime a b f N n ω ≤ upperCrossingTime a b f N m ω := by
suffices Monotone fun n => upperCrossingTime a b f N n ω by exact this hnm
exact monotone_nat_of_le_succ fun n =>
le_trans upperCrossingTime_le_lowerCrossingTime lowerCrossingTime_le_upperCrossingTime_succ
#align measure_theory.upper_crossing_time_mono MeasureTheory.upperCrossingTime_mono
end ConditionallyCompleteLinearOrderBot
variable {a b : ℝ} {f : ℕ → Ω → ℝ} {N : ℕ} {n m : ℕ} {ω : Ω}
theorem stoppedValue_lowerCrossingTime (h : lowerCrossingTime a b f N n ω ≠ N) :
stoppedValue f (lowerCrossingTime a b f N n) ω ≤ a := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne lowerCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 lowerCrossingTime_le⟩, hj₂⟩
#align measure_theory.stopped_value_lower_crossing_time MeasureTheory.stoppedValue_lowerCrossingTime
theorem stoppedValue_upperCrossingTime (h : upperCrossingTime a b f N (n + 1) ω ≠ N) :
b ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω := by
obtain ⟨j, hj₁, hj₂⟩ := (hitting_le_iff_of_lt _ (lt_of_le_of_ne upperCrossingTime_le h)).1 le_rfl
exact stoppedValue_hitting_mem ⟨j, ⟨hj₁.1, le_trans hj₁.2 (hitting_le _)⟩, hj₂⟩
#align measure_theory.stopped_value_upper_crossing_time MeasureTheory.stoppedValue_upperCrossingTime
theorem upperCrossingTime_lt_lowerCrossingTime (hab : a < b)
(hn : lowerCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N (n + 1) ω < lowerCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne upperCrossingTime_le_lowerCrossingTime fun h =>
not_le.2 hab <| le_trans _ (stoppedValue_lowerCrossingTime hn)
simp only [stoppedValue]
rw [← h]
exact stoppedValue_upperCrossingTime (h.symm ▸ hn)
#align measure_theory.upper_crossing_time_lt_lower_crossing_time MeasureTheory.upperCrossingTime_lt_lowerCrossingTime
theorem lowerCrossingTime_lt_upperCrossingTime (hab : a < b)
(hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
lowerCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω := by
refine' lt_of_le_of_ne lowerCrossingTime_le_upperCrossingTime_succ fun h =>
not_le.2 hab <| le_trans (stoppedValue_upperCrossingTime hn) _
simp only [stoppedValue]
rw [← h]
exact stoppedValue_lowerCrossingTime (h.symm ▸ hn)
#align measure_theory.lower_crossing_time_lt_upper_crossing_time MeasureTheory.lowerCrossingTime_lt_upperCrossingTime
theorem upperCrossingTime_lt_succ (hab : a < b) (hn : upperCrossingTime a b f N (n + 1) ω ≠ N) :
upperCrossingTime a b f N n ω < upperCrossingTime a b f N (n + 1) ω :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_lt_upperCrossingTime hab hn)
#align measure_theory.upper_crossing_time_lt_succ MeasureTheory.upperCrossingTime_lt_succ
theorem lowerCrossingTime_stabilize (hnm : n ≤ m) (hn : lowerCrossingTime a b f N n ω = N) :
lowerCrossingTime a b f N m ω = N :=
le_antisymm lowerCrossingTime_le (le_trans (le_of_eq hn.symm) (lowerCrossingTime_mono hnm))
#align measure_theory.lower_crossing_time_stabilize MeasureTheory.lowerCrossingTime_stabilize
theorem upperCrossingTime_stabilize (hnm : n ≤ m) (hn : upperCrossingTime a b f N n ω = N) :
upperCrossingTime a b f N m ω = N :=
le_antisymm upperCrossingTime_le (le_trans (le_of_eq hn.symm) (upperCrossingTime_mono hnm))
#align measure_theory.upper_crossing_time_stabilize MeasureTheory.upperCrossingTime_stabilize
theorem lowerCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ lowerCrossingTime a b f N n ω) :
lowerCrossingTime a b f N m ω = N :=
lowerCrossingTime_stabilize hnm (le_antisymm lowerCrossingTime_le hn)
#align measure_theory.lower_crossing_time_stabilize' MeasureTheory.lowerCrossingTime_stabilize'
theorem upperCrossingTime_stabilize' (hnm : n ≤ m) (hn : N ≤ upperCrossingTime a b f N n ω) :
upperCrossingTime a b f N m ω = N :=
upperCrossingTime_stabilize hnm (le_antisymm upperCrossingTime_le hn)
#align measure_theory.upper_crossing_time_stabilize' MeasureTheory.upperCrossingTime_stabilize'
-- `upperCrossingTime_bound_eq` provides an explicit bound
theorem exists_upperCrossingTime_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
∃ n, upperCrossingTime a b f N n ω = N := by
by_contra h; push_neg at h
have : StrictMono fun n => upperCrossingTime a b f N n ω :=
strictMono_nat_of_lt_succ fun n => upperCrossingTime_lt_succ hab (h _)
obtain ⟨_, ⟨k, rfl⟩, hk⟩ :
∃ (m : _) (_ : m ∈ Set.range fun n => upperCrossingTime a b f N n ω), N < m :=
⟨upperCrossingTime a b f N (N + 1) ω, ⟨N + 1, rfl⟩,
lt_of_lt_of_le N.lt_succ_self (StrictMono.id_le this (N + 1))⟩
exact not_le.2 hk upperCrossingTime_le
#align measure_theory.exists_upper_crossing_time_eq MeasureTheory.exists_upperCrossingTime_eq
theorem upperCrossingTime_lt_bddAbove (hab : a < b) :
BddAbove {n | upperCrossingTime a b f N n ω < N} := by
obtain ⟨k, hk⟩ := exists_upperCrossingTime_eq f N ω hab
refine' ⟨k, fun n (hn : upperCrossingTime a b f N n ω < N) => _⟩
by_contra hn'
exact hn.ne (upperCrossingTime_stabilize (not_le.1 hn').le hk)
#align measure_theory.upper_crossing_time_lt_bdd_above MeasureTheory.upperCrossingTime_lt_bddAbove
theorem upperCrossingTime_lt_nonempty (hN : 0 < N) :
{n | upperCrossingTime a b f N n ω < N}.Nonempty :=
⟨0, hN⟩
#align measure_theory.upper_crossing_time_lt_nonempty MeasureTheory.upperCrossingTime_lt_nonempty
theorem upperCrossingTime_bound_eq (f : ℕ → Ω → ℝ) (N : ℕ) (ω : Ω) (hab : a < b) :
upperCrossingTime a b f N N ω = N := by
by_cases hN' : N < Nat.find (exists_upperCrossingTime_eq f N ω hab)
· refine' le_antisymm upperCrossingTime_le _
have hmono : StrictMonoOn (fun n => upperCrossingTime a b f N n ω)
(Set.Iic (Nat.find (exists_upperCrossingTime_eq f N ω hab)).pred) := by
refine' strictMonoOn_Iic_of_lt_succ fun m hm => upperCrossingTime_lt_succ hab _
rw [Nat.lt_pred_iff] at hm
convert Nat.find_min _ hm
convert StrictMonoOn.Iic_id_le hmono N (Nat.le_sub_one_of_lt hN')
· rw [not_lt] at hN'
exact upperCrossingTime_stabilize hN' (Nat.find_spec (exists_upperCrossingTime_eq f N ω hab))
#align measure_theory.upper_crossing_time_bound_eq MeasureTheory.upperCrossingTime_bound_eq
theorem upperCrossingTime_eq_of_bound_le (hab : a < b) (hn : N ≤ n) :
upperCrossingTime a b f N n ω = N :=
le_antisymm upperCrossingTime_le
(le_trans (upperCrossingTime_bound_eq f N ω hab).symm.le (upperCrossingTime_mono hn))
#align measure_theory.upper_crossing_time_eq_of_bound_le MeasureTheory.upperCrossingTime_eq_of_bound_le
variable {ℱ : Filtration ℕ m0}
theorem Adapted.isStoppingTime_crossing (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) ∧
IsStoppingTime ℱ (lowerCrossingTime a b f N n) := by
induction' n with k ih
· refine' ⟨isStoppingTime_const _ 0, _⟩
simp [hitting_isStoppingTime hf measurableSet_Iic]
· obtain ⟨_, ih₂⟩ := ih
have : IsStoppingTime ℱ (upperCrossingTime a b f N (k + 1)) := by
intro n
simp_rw [upperCrossingTime_succ_eq]
exact isStoppingTime_hitting_isStoppingTime ih₂ (fun _ => lowerCrossingTime_le)
measurableSet_Ici hf _
refine' ⟨this, _⟩
· intro n
exact isStoppingTime_hitting_isStoppingTime this (fun _ => upperCrossingTime_le)
measurableSet_Iic hf _
#align measure_theory.adapted.is_stopping_time_crossing MeasureTheory.Adapted.isStoppingTime_crossing
theorem Adapted.isStoppingTime_upperCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (upperCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.1
#align measure_theory.adapted.is_stopping_time_upper_crossing_time MeasureTheory.Adapted.isStoppingTime_upperCrossingTime
theorem Adapted.isStoppingTime_lowerCrossingTime (hf : Adapted ℱ f) :
IsStoppingTime ℱ (lowerCrossingTime a b f N n) :=
hf.isStoppingTime_crossing.2
#align measure_theory.adapted.is_stopping_time_lower_crossing_time MeasureTheory.Adapted.isStoppingTime_lowerCrossingTime
/-- `upcrossingStrat a b f N n` is 1 if `n` is between a consecutive pair of lower and upper
crossings and is 0 otherwise. `upcrossingStrat` is shifted by one index so that it is adapted
rather than predictable. -/
noncomputable def upcrossingStrat (a b : ℝ) (f : ℕ → Ω → ℝ) (N n : ℕ) (ω : Ω) : ℝ :=
∑ k in Finset.range N,
(Set.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)).indicator 1 n
#align measure_theory.upcrossing_strat MeasureTheory.upcrossingStrat
theorem upcrossingStrat_nonneg : 0 ≤ upcrossingStrat a b f N n ω :=
Finset.sum_nonneg fun _ _ => Set.indicator_nonneg (fun _ _ => zero_le_one) _
#align measure_theory.upcrossing_strat_nonneg MeasureTheory.upcrossingStrat_nonneg
theorem upcrossingStrat_le_one : upcrossingStrat a b f N n ω ≤ 1 := by
rw [upcrossingStrat, ← Finset.indicator_biUnion_apply]
· exact Set.indicator_le_self' (fun _ _ => zero_le_one) _
intro i _ j _ hij
simp only [Set.Ico_disjoint_Ico]
obtain hij' | hij' := lt_or_gt_of_ne hij
· rw [min_eq_left (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_right (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
· rw [gt_iff_lt] at hij'
rw [min_eq_right (upperCrossingTime_mono (Nat.succ_le_succ hij'.le) :
upperCrossingTime a b f N _ ω ≤ upperCrossingTime a b f N _ ω),
max_eq_left (lowerCrossingTime_mono hij'.le :
lowerCrossingTime a b f N _ _ ≤ lowerCrossingTime _ _ _ _ _ _)]
refine' le_trans upperCrossingTime_le_lowerCrossingTime
(lowerCrossingTime_mono (Nat.succ_le_of_lt hij'))
#align measure_theory.upcrossing_strat_le_one MeasureTheory.upcrossingStrat_le_one
theorem Adapted.upcrossingStrat_adapted (hf : Adapted ℱ f) :
Adapted ℱ (upcrossingStrat a b f N) := by
intro n
change StronglyMeasurable[ℱ n] fun ω =>
∑ k in Finset.range N, ({n | lowerCrossingTime a b f N k ω ≤ n} ∩
{n | n < upperCrossingTime a b f N (k + 1) ω}).indicator 1 n
refine' Finset.stronglyMeasurable_sum _ fun i _ =>
stronglyMeasurable_const.indicator ((hf.isStoppingTime_lowerCrossingTime n).inter _)
simp_rw [← not_le]
exact (hf.isStoppingTime_upperCrossingTime n).compl
#align measure_theory.adapted.upcrossing_strat_adapted MeasureTheory.Adapted.upcrossingStrat_adapted
theorem Submartingale.sum_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)) ℱ μ :=
hf.sum_mul_sub hf.adapted.upcrossingStrat_adapted (fun _ _ => upcrossingStrat_le_one) fun _ _ =>
upcrossingStrat_nonneg
#align measure_theory.submartingale.sum_upcrossing_strat_mul MeasureTheory.Submartingale.sum_upcrossingStrat_mul
theorem Submartingale.sum_sub_upcrossingStrat_mul [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(a b : ℝ) (N : ℕ) : Submartingale (fun n : ℕ =>
∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)) ℱ μ := by
refine' hf.sum_mul_sub (fun n => (adapted_const ℱ 1 n).sub (hf.adapted.upcrossingStrat_adapted n))
(_ : ∀ n ω, (1 - upcrossingStrat a b f N n) ω ≤ 1) _
· exact fun n ω => sub_le_self _ upcrossingStrat_nonneg
· intro n ω
simp [upcrossingStrat_le_one]
#align measure_theory.submartingale.sum_sub_upcrossing_strat_mul MeasureTheory.Submartingale.sum_sub_upcrossingStrat_mul
theorem Submartingale.sum_mul_upcrossingStrat_le [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ) :
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] ≤ μ[f n] - μ[f 0] := by
have h₁ : (0 : ℝ) ≤
μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] := by
have := (hf.sum_sub_upcrossingStrat_mul a b N).set_integral_le (zero_le n) MeasurableSet.univ
rw [integral_univ, integral_univ] at this
refine' le_trans _ this
simp only [Finset.range_zero, Finset.sum_empty, integral_zero', le_refl]
have h₂ : μ[∑ k in Finset.range n, (1 - upcrossingStrat a b f N k) * (f (k + 1) - f k)] =
μ[∑ k in Finset.range n, (f (k + 1) - f k)] -
μ[∑ k in Finset.range n, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
simp only [sub_mul, one_mul, Finset.sum_sub_distrib, Pi.sub_apply, Finset.sum_apply,
Pi.mul_apply]
refine' integral_sub (Integrable.sub (integrable_finset_sum _ fun i _ => hf.integrable _)
(integrable_finset_sum _ fun i _ => hf.integrable _)) _
convert (hf.sum_upcrossingStrat_mul a b N).integrable n using 1
ext; simp
rw [h₂, sub_nonneg] at h₁
refine' le_trans h₁ _
simp_rw [Finset.sum_range_sub, integral_sub' (hf.integrable _) (hf.integrable _), le_refl]
#align measure_theory.submartingale.sum_mul_upcrossing_strat_le MeasureTheory.Submartingale.sum_mul_upcrossingStrat_le
/-- The number of upcrossings (strictly) before time `N`. -/
noncomputable def upcrossingsBefore [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(N : ι) (ω : Ω) : ℕ :=
sSup {n | upperCrossingTime a b f N n ω < N}
#align measure_theory.upcrossings_before MeasureTheory.upcrossingsBefore
@[simp]
theorem upcrossingsBefore_bot [Preorder ι] [OrderBot ι] [InfSet ι] {a b : ℝ} {f : ι → Ω → ℝ}
{ω : Ω} : upcrossingsBefore a b f ⊥ ω = ⊥ := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_bot MeasureTheory.upcrossingsBefore_bot
theorem upcrossingsBefore_zero : upcrossingsBefore a b f 0 ω = 0 := by simp [upcrossingsBefore]
#align measure_theory.upcrossings_before_zero MeasureTheory.upcrossingsBefore_zero
@[simp]
theorem upcrossingsBefore_zero' : upcrossingsBefore a b f 0 = 0 := by
ext ω; exact upcrossingsBefore_zero
#align measure_theory.upcrossings_before_zero' MeasureTheory.upcrossingsBefore_zero'
theorem upperCrossingTime_lt_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n ≤ upcrossingsBefore a b f N ω) : upperCrossingTime a b f N n ω < N :=
haveI : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
(upperCrossingTime_lt_nonempty hN).cSup_mem
((OrderBot.bddBelow _).finite_of_bddAbove (upperCrossingTime_lt_bddAbove hab))
lt_of_le_of_lt (upperCrossingTime_mono hn) this
#align measure_theory.upper_crossing_time_lt_of_le_upcrossings_before MeasureTheory.upperCrossingTime_lt_of_le_upcrossingsBefore
theorem upperCrossingTime_eq_of_upcrossingsBefore_lt (hab : a < b)
(hn : upcrossingsBefore a b f N ω < n) : upperCrossingTime a b f N n ω = N := by
refine' le_antisymm upperCrossingTime_le (not_lt.1 _)
convert not_mem_of_csSup_lt hn (upperCrossingTime_lt_bddAbove hab)
#align measure_theory.upper_crossing_time_eq_of_upcrossings_before_lt MeasureTheory.upperCrossingTime_eq_of_upcrossingsBefore_lt
theorem upcrossingsBefore_le (f : ℕ → Ω → ℝ) (ω : Ω) (hab : a < b) :
upcrossingsBefore a b f N ω ≤ N := by
by_cases hN : N = 0
· subst hN
rw [upcrossingsBefore_zero]
· refine' csSup_le ⟨0, zero_lt_iff.2 hN⟩ fun n (hn : _ < N) => _
by_contra hnN
exact hn.ne (upperCrossingTime_eq_of_bound_le hab (not_le.1 hnN).le)
#align measure_theory.upcrossings_before_le MeasureTheory.upcrossingsBefore_le
theorem crossing_eq_crossing_of_lowerCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : lowerCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have h' : upperCrossingTime a b f N n ω < N :=
lt_of_le_of_lt upperCrossingTime_le_lowerCrossingTime h
induction' n with k ih
· simp only [Nat.zero_eq, upperCrossingTime_zero, bot_eq_zero', eq_self_iff_true,
lowerCrossingTime_zero, true_and_iff, eq_comm]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
· specialize ih (lt_of_le_of_lt (lowerCrossingTime_mono (Nat.le_succ _)) h)
(lt_of_le_of_lt (upperCrossingTime_mono (Nat.le_succ _)) h')
have : upperCrossingTime a b f M k.succ ω = upperCrossingTime a b f N k.succ ω := by
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h'
simp only [upperCrossingTime_succ_eq]
obtain ⟨j, hj₁, hj₂⟩ := h'
rw [eq_comm, ih.2]
exacts [hitting_eq_hitting_of_exists hNM ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
refine' ⟨this, _⟩
simp only [lowerCrossingTime, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [lowerCrossingTime, hitting_lt_iff _ le_rfl] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exact ⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩
#align measure_theory.crossing_eq_crossing_of_lower_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_lowerCrossingTime_lt
theorem crossing_eq_crossing_of_upperCrossingTime_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N (n + 1) ω < N) :
upperCrossingTime a b f M (n + 1) ω = upperCrossingTime a b f N (n + 1) ω ∧
lowerCrossingTime a b f M n ω = lowerCrossingTime a b f N n ω := by
have := (crossing_eq_crossing_of_lowerCrossingTime_lt hNM
(lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ h)).2
refine' ⟨_, this⟩
rw [upperCrossingTime_succ_eq, upperCrossingTime_succ_eq, eq_comm, this]
refine' hitting_eq_hitting_of_exists hNM _
rw [upperCrossingTime_succ_eq, hitting_lt_iff] at h
obtain ⟨j, hj₁, hj₂⟩ := h
exacts [⟨j, ⟨hj₁.1, hj₁.2.le⟩, hj₂⟩, le_rfl]
#align measure_theory.crossing_eq_crossing_of_upper_crossing_time_lt MeasureTheory.crossing_eq_crossing_of_upperCrossingTime_lt
theorem upperCrossingTime_eq_upperCrossingTime_of_lt {M : ℕ} (hNM : N ≤ M)
(h : upperCrossingTime a b f N n ω < N) :
upperCrossingTime a b f M n ω = upperCrossingTime a b f N n ω := by
cases n
· simp
· exact (crossing_eq_crossing_of_upperCrossingTime_lt hNM h).1
#align measure_theory.upper_crossing_time_eq_upper_crossing_time_of_lt MeasureTheory.upperCrossingTime_eq_upperCrossingTime_of_lt
theorem upcrossingsBefore_mono (hab : a < b) : Monotone fun N ω => upcrossingsBefore a b f N ω := by
intro N M hNM ω
simp only [upcrossingsBefore]
by_cases hemp : {n : ℕ | upperCrossingTime a b f N n ω < N}.Nonempty
· refine' csSup_le_csSup (upperCrossingTime_lt_bddAbove hab) hemp fun n hn => _
rw [Set.mem_setOf_eq, upperCrossingTime_eq_upperCrossingTime_of_lt hNM hn]
exact lt_of_lt_of_le hn hNM
· rw [Set.not_nonempty_iff_eq_empty] at hemp
simp [hemp, csSup_empty, bot_eq_zero', zero_le']
#align measure_theory.upcrossings_before_mono MeasureTheory.upcrossingsBefore_mono
theorem upcrossingsBefore_lt_of_exists_upcrossing (hab : a < b) {N₁ N₂ : ℕ} (hN₁ : N ≤ N₁)
(hN₁' : f N₁ ω < a) (hN₂ : N₁ ≤ N₂) (hN₂' : b < f N₂ ω) :
upcrossingsBefore a b f N ω < upcrossingsBefore a b f (N₂ + 1) ω := by
refine' lt_of_lt_of_le (Nat.lt_succ_self _) (le_csSup (upperCrossingTime_lt_bddAbove hab) _)
rw [Set.mem_setOf_eq, upperCrossingTime_succ_eq, hitting_lt_iff _ le_rfl]
· refine' ⟨N₂, ⟨_, Nat.lt_succ_self _⟩, hN₂'.le⟩
rw [lowerCrossingTime, hitting_le_iff_of_lt _ (Nat.lt_succ_self _)]
refine' ⟨N₁, ⟨le_trans _ hN₁, hN₂⟩, hN₁'.le⟩
by_cases hN : 0 < N
· have : upperCrossingTime a b f N (upcrossingsBefore a b f N ω) ω < N :=
Nat.sSup_mem (upperCrossingTime_lt_nonempty hN) (upperCrossingTime_lt_bddAbove hab)
rw [upperCrossingTime_eq_upperCrossingTime_of_lt (hN₁.trans (hN₂.trans <| Nat.le_succ _))
this]
exact this.le
· rw [not_lt, le_zero_iff] at hN
rw [hN, upcrossingsBefore_zero, upperCrossingTime_zero]
rfl
#align measure_theory.upcrossings_before_lt_of_exists_upcrossing MeasureTheory.upcrossingsBefore_lt_of_exists_upcrossing
theorem lowerCrossingTime_lt_of_lt_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) : lowerCrossingTime a b f N n ω < N :=
lt_of_le_of_lt lowerCrossingTime_le_upperCrossingTime_succ
(upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn)
#align measure_theory.lower_crossing_time_lt_of_lt_upcrossings_before MeasureTheory.lowerCrossingTime_lt_of_lt_upcrossingsBefore
theorem le_sub_of_le_upcrossingsBefore (hN : 0 < N) (hab : a < b)
(hn : n < upcrossingsBefore a b f N ω) :
b - a ≤ stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω :=
sub_le_sub
(stoppedValue_upperCrossingTime (upperCrossingTime_lt_of_le_upcrossingsBefore hN hab hn).ne)
(stoppedValue_lowerCrossingTime (lowerCrossingTime_lt_of_lt_upcrossingsBefore hN hab hn).ne)
#align measure_theory.le_sub_of_le_upcrossings_before MeasureTheory.le_sub_of_le_upcrossingsBefore
theorem sub_eq_zero_of_upcrossingsBefore_lt (hab : a < b) (hn : upcrossingsBefore a b f N ω < n) :
stoppedValue f (upperCrossingTime a b f N (n + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N n) ω = 0 := by
have : N ≤ upperCrossingTime a b f N n ω := by
rw [upcrossingsBefore] at hn
rw [← not_lt]
exact fun h => not_le.2 hn (le_csSup (upperCrossingTime_lt_bddAbove hab) h)
simp [stoppedValue, upperCrossingTime_stabilize' (Nat.le_succ n) this,
lowerCrossingTime_stabilize' le_rfl (le_trans this upperCrossingTime_le_lowerCrossingTime)]
#align measure_theory.sub_eq_zero_of_upcrossings_before_lt MeasureTheory.sub_eq_zero_of_upcrossingsBefore_lt
theorem mul_upcrossingsBefore_le (hf : a ≤ f N ω) (hab : a < b) :
(b - a) * upcrossingsBefore a b f N ω ≤
∑ k in Finset.range N, upcrossingStrat a b f N k ω * (f (k + 1) - f k) ω := by
classical
by_cases hN : N = 0
· simp [hN]
simp_rw [upcrossingStrat, Finset.sum_mul, ←
Set.indicator_mul_left _ _ (fun x ↦ (f (x + 1) - f x) ω), Pi.one_apply, Pi.sub_apply, one_mul]
rw [Finset.sum_comm]
have h₁ : ∀ k, ∑ n in Finset.range N, (Set.Ico (lowerCrossingTime a b f N k ω)
(upperCrossingTime a b f N (k + 1) ω)).indicator (fun m => f (m + 1) ω - f m ω) n =
stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω := by
intro k
rw [Finset.sum_indicator_eq_sum_filter, (_ : Finset.filter (fun i => i ∈ Set.Ico
(lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)) (Finset.range N) =
Finset.Ico (lowerCrossingTime a b f N k ω) (upperCrossingTime a b f N (k + 1) ω)),
Finset.sum_Ico_eq_add_neg _ lowerCrossingTime_le_upperCrossingTime_succ,
Finset.sum_range_sub fun n => f n ω, Finset.sum_range_sub fun n => f n ω, neg_sub,
sub_add_sub_cancel]
· rfl
· ext i
simp only [Set.mem_Ico, Finset.mem_filter, Finset.mem_range, Finset.mem_Ico,
and_iff_right_iff_imp, and_imp]
exact fun _ h => lt_of_lt_of_le h upperCrossingTime_le
simp_rw [h₁]
have h₂ : ∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
calc
∑ _k in Finset.range (upcrossingsBefore a b f N ω), (b - a) ≤
∑ k in Finset.range (upcrossingsBefore a b f N ω),
(stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum fun i hi =>
le_sub_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab _
rwa [Finset.mem_range] at hi
_ ≤ ∑ k in Finset.range N, (stoppedValue f (upperCrossingTime a b f N (k + 1)) ω -
stoppedValue f (lowerCrossingTime a b f N k) ω) := by
refine' Finset.sum_le_sum_of_subset_of_nonneg
(Finset.range_subset.2 (upcrossingsBefore_le f ω hab)) fun i _ hi => _
by_cases hi' : i = upcrossingsBefore a b f N ω
· subst hi'
simp only [stoppedValue]
rw [upperCrossingTime_eq_of_upcrossingsBefore_lt hab (Nat.lt_succ_self _)]
by_cases heq : lowerCrossingTime a b f N (upcrossingsBefore a b f N ω) ω = N
· rw [heq, sub_self]
· rw [sub_nonneg]
exact le_trans (stoppedValue_lowerCrossingTime heq) hf
· rw [sub_eq_zero_of_upcrossingsBefore_lt hab]
rw [Finset.mem_range, not_lt] at hi
exact lt_of_le_of_ne hi (Ne.symm hi')
refine' le_trans _ h₂
rw [Finset.sum_const, Finset.card_range, nsmul_eq_mul, mul_comm]
#align measure_theory.mul_upcrossings_before_le MeasureTheory.mul_upcrossingsBefore_le
theorem integral_mul_upcrossingsBefore_le_integral [IsFiniteMeasure μ] (hf : Submartingale f ℱ μ)
(hfN : ∀ ω, a ≤ f N ω) (hfzero : 0 ≤ f 0) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[f N] :=
calc
(b - a) * μ[upcrossingsBefore a b f N] ≤
μ[∑ k in Finset.range N, upcrossingStrat a b f N k * (f (k + 1) - f k)] := by
rw [← integral_mul_left]
refine' integral_mono_of_nonneg _ ((hf.sum_upcrossingStrat_mul a b N).integrable N) _
· exact eventually_of_forall fun ω => mul_nonneg (sub_nonneg.2 hab.le) (Nat.cast_nonneg _)
· refine' eventually_of_forall fun ω => _
simpa using mul_upcrossingsBefore_le (hfN ω) hab
_ ≤ μ[f N] - μ[f 0] := hf.sum_mul_upcrossingStrat_le
_ ≤ μ[f N] := (sub_le_self_iff _).2 (integral_nonneg hfzero)
#align measure_theory.integral_mul_upcrossings_before_le_integral MeasureTheory.integral_mul_upcrossingsBefore_le_integral
theorem crossing_pos_eq (hab : a < b) :
upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = upperCrossingTime a b f N n ∧
lowerCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N n = lowerCrossingTime a b f N n := by
have hab' : 0 < b - a := sub_pos.2 hab
have hf : ∀ ω i, b - a ≤ (f i ω - a)⁺ ↔ b ≤ f i ω := by
intro i ω
refine' ⟨fun h => _, fun h => _⟩
· rwa [← sub_le_sub_iff_right a, ←
LatticeOrderedGroup.pos_eq_self_of_pos_pos (lt_of_lt_of_le hab' h)]
· rw [← sub_le_sub_iff_right a] at h
rwa [LatticeOrderedGroup.pos_of_nonneg _ (le_trans hab'.le h)]
have hf' : ∀ ω i, (f i ω - a)⁺ ≤ 0 ↔ f i ω ≤ a := by
intro ω i
rw [LatticeOrderedGroup.pos_nonpos_iff, sub_nonpos]
induction' n with k ih
· refine' ⟨rfl, _⟩
simp (config := { unfoldPartialApp := true }) only [lowerCrossingTime_zero, hitting,
Set.mem_Icc, Set.mem_Iic, Nat.zero_eq]
ext ω
split_ifs with h₁ h₂ h₂
· simp_rw [hf']
· simp_rw [Set.mem_Iic, ← hf' _ _] at h₂
exact False.elim (h₂ h₁)
· simp_rw [Set.mem_Iic, hf' _ _] at h₁
exact False.elim (h₁ h₂)
· rfl
· have : upperCrossingTime 0 (b - a) (fun n ω => (f n ω - a)⁺) N (k + 1) =
upperCrossingTime a b f N (k + 1) := by
ext ω
simp only [upperCrossingTime_succ_eq, ← ih.2, hitting, Set.mem_Ici, tsub_le_iff_right]
split_ifs with h₁ h₂ h₂
· simp_rw [← sub_le_iff_le_add, hf ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Ici, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Ici]
· rfl
refine' ⟨this, _⟩
ext ω
simp only [lowerCrossingTime, this, hitting, Set.mem_Iic]
split_ifs with h₁ h₂ h₂
· simp_rw [hf' ω]
· refine' False.elim (h₂ _)
simp_all only [Set.mem_Iic, not_true_eq_false]
· refine' False.elim (h₁ _)
simp_all only [Set.mem_Iic]
· rfl
#align measure_theory.crossing_pos_eq MeasureTheory.crossing_pos_eq
theorem upcrossingsBefore_pos_eq (hab : a < b) :
upcrossingsBefore 0 (b - a) (fun n ω => (f n ω - a)⁺) N ω = upcrossingsBefore a b f N ω := by
simp_rw [upcrossingsBefore, (crossing_pos_eq hab).1]
#align measure_theory.upcrossings_before_pos_eq MeasureTheory.upcrossingsBefore_pos_eq
theorem mul_integral_upcrossingsBefore_le_integral_pos_part_aux [IsFiniteMeasure μ]
(hf : Submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
refine' le_trans (le_of_eq _)
(integral_mul_upcrossingsBefore_le_integral (hf.sub_martingale (martingale_const _ _ _)).pos
(fun ω => LatticeOrderedGroup.pos_nonneg _)
(fun ω => LatticeOrderedGroup.pos_nonneg _) (sub_pos.2 hab))
simp_rw [sub_zero, ← upcrossingsBefore_pos_eq hab]
rfl
#align measure_theory.mul_integral_upcrossings_before_le_integral_pos_part_aux MeasureTheory.mul_integral_upcrossingsBefore_le_integral_pos_part_aux
/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossingsBefore a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossingsBefore a b f N` is the number of times the process `f` crossed from below `a` to above
`b` before the time `N`. -/
theorem Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part [IsFiniteMeasure μ]
(a b : ℝ) (hf : Submartingale f ℱ μ) (N : ℕ) :
(b - a) * μ[upcrossingsBefore a b f N] ≤ μ[fun ω => (f N ω - a)⁺] := by
by_cases hab : a < b
· exact mul_integral_upcrossingsBefore_le_integral_pos_part_aux hf hab
· rw [not_lt, ← sub_nonpos] at hab
exact le_trans (mul_nonpos_of_nonpos_of_nonneg hab (integral_nonneg fun ω => Nat.cast_nonneg _))
(integral_nonneg fun ω => LatticeOrderedGroup.pos_nonneg _)
#align measure_theory.submartingale.mul_integral_upcrossings_before_le_integral_pos_part MeasureTheory.Submartingale.mul_integral_upcrossingsBefore_le_integral_pos_part
/-!
### Variant of the upcrossing estimate
Now, we would like to prove a variant of the upcrossing estimate obtained by taking the supremum
over $N$ of the original upcrossing estimate. Namely, we want the inequality
$$
(b - a) \sup_N \mathbb{E}[U_N(a, b)] \le \sup_N \mathbb{E}[f_N].
$$
This inequality is central for the martingale convergence theorem as it provides a uniform bound
for the upcrossings.
We note that on top of taking the supremum on both sides of the inequality, we had also used
the monotone convergence theorem on the left hand side to take the supremum outside of the
integral. To do this, we need to make sure $U_N(a, b)$ is measurable and integrable. Integrability
is easy to check as $U_N(a, b) ≤ N$ and so it suffices to show measurability. Indeed, by
noting that
$$
U_N(a, b) = \sum_{i = 1}^N \mathbf{1}_{\{U_N(a, b) < N\}}
$$
$U_N(a, b)$ is measurable as $\{U_N(a, b) < N\}$ is a measurable set since $U_N(a, b)$ is a
stopping time.
-/
theorem upcrossingsBefore_eq_sum (hab : a < b) : upcrossingsBefore a b f N ω =
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
by_cases hN : N = 0
· simp [hN]
rw [← Finset.sum_Ico_consecutive _ (Nat.succ_le_succ zero_le')
(Nat.succ_le_succ (upcrossingsBefore_le f ω hab))]
have h₁ : ∀ k ∈ Finset.Ico 1 (upcrossingsBefore a b f N ω + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 1 := by
rintro k hk
rw [Finset.mem_Ico] at hk
rw [Set.indicator_of_mem]
· rfl
· exact upperCrossingTime_lt_of_le_upcrossingsBefore (zero_lt_iff.2 hN) hab
(Nat.lt_succ_iff.1 hk.2)
have h₂ : ∀ k ∈ Finset.Ico (upcrossingsBefore a b f N ω + 1) (N + 1),
{n : ℕ | upperCrossingTime a b f N n ω < N}.indicator 1 k = 0 := by
rintro k hk
rw [Finset.mem_Ico, Nat.succ_le_iff] at hk
rw [Set.indicator_of_not_mem]
simp only [Set.mem_setOf_eq, not_lt]
exact (upperCrossingTime_eq_of_upcrossingsBefore_lt hab hk.1).symm.le
rw [Finset.sum_congr rfl h₁, Finset.sum_congr rfl h₂, Finset.sum_const, Finset.sum_const,
smul_eq_mul, mul_one, smul_eq_mul, mul_zero, Nat.card_Ico, Nat.add_succ_sub_one,
add_zero, add_zero]
#align measure_theory.upcrossings_before_eq_sum MeasureTheory.upcrossingsBefore_eq_sum
theorem Adapted.measurable_upcrossingsBefore (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossingsBefore a b f N) := by
have : upcrossingsBefore a b f N = fun ω =>
∑ i in Finset.Ico 1 (N + 1), {n | upperCrossingTime a b f N n ω < N}.indicator 1 i := by
ext ω
exact upcrossingsBefore_eq_sum hab
rw [this]
exact Finset.measurable_sum _ fun i _ => Measurable.indicator measurable_const <|
ℱ.le N _ (hf.isStoppingTime_upperCrossingTime.measurableSet_lt_of_pred N)
#align measure_theory.adapted.measurable_upcrossings_before MeasureTheory.Adapted.measurable_upcrossingsBefore
theorem Adapted.integrable_upcrossingsBefore [IsFiniteMeasure μ] (hf : Adapted ℱ f) (hab : a < b) :
Integrable (fun ω => (upcrossingsBefore a b f N ω : ℝ)) μ :=
haveI : ∀ᵐ ω ∂μ, ‖(upcrossingsBefore a b f N ω : ℝ)‖ ≤ N := by
refine' eventually_of_forall fun ω => _
rw [Real.norm_eq_abs, Nat.abs_cast, Nat.cast_le]
refine' upcrossingsBefore_le _ _ hab
⟨Measurable.aestronglyMeasurable (measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)),
hasFiniteIntegral_of_bounded this⟩
#align measure_theory.adapted.integrable_upcrossings_before MeasureTheory.Adapted.integrable_upcrossingsBefore
/-- The number of upcrossings of a realization of a stochastic process (`upcrossings` takes value
in `ℝ≥0∞` and so is allowed to be `∞`). -/
noncomputable def upcrossings [Preorder ι] [OrderBot ι] [InfSet ι] (a b : ℝ) (f : ι → Ω → ℝ)
(ω : Ω) : ℝ≥0∞ :=
⨆ N, (upcrossingsBefore a b f N ω : ℝ≥0∞)
#align measure_theory.upcrossings MeasureTheory.upcrossings
theorem Adapted.measurable_upcrossings (hf : Adapted ℱ f) (hab : a < b) :
Measurable (upcrossings a b f) :=
measurable_iSup fun _ => measurable_from_top.comp (hf.measurable_upcrossingsBefore hab)
#align measure_theory.adapted.measurable_upcrossings MeasureTheory.Adapted.measurable_upcrossings
theorem upcrossings_lt_top_iff :
upcrossings a b f ω < ∞ ↔ ∃ k, ∀ N, upcrossingsBefore a b f N ω ≤ k := by
have : upcrossings a b f ω < ∞ ↔ ∃ k : ℝ≥0, upcrossings a b f ω ≤ k := by
constructor
· intro h
lift upcrossings a b f ω to ℝ≥0 using h.ne with r hr
exact ⟨r, le_rfl⟩
· rintro ⟨k, hk⟩
exact lt_of_le_of_lt hk ENNReal.coe_lt_top
simp_rw [this, upcrossings, iSup_le_iff]
constructor <;> rintro ⟨k, hk⟩
· obtain ⟨m, hm⟩ := exists_nat_ge k
refine' ⟨m, fun N => Nat.cast_le.1 ((hk N).trans _)⟩
rwa [← ENNReal.coe_nat, ENNReal.coe_le_coe]
· refine' ⟨k, fun N => _⟩
simp only [ENNReal.coe_nat, Nat.cast_le, hk N]
#align measure_theory.upcrossings_lt_top_iff MeasureTheory.upcrossings_lt_top_iff
/-- A variant of Doob's upcrossing estimate obtained by taking the supremum on both sides. -/
theorem Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part [IsFiniteMeasure μ] (a b : ℝ)
(hf : Submartingale f ℱ μ) : ENNReal.ofReal (b - a) * ∫⁻ ω, upcrossings a b f ω ∂μ ≤
⨆ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ := by
by_cases hab : a < b
· simp_rw [upcrossings]
have : ∀ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ = ENNReal.ofReal (∫ ω, (f N ω - a)⁺ ∂μ) := by
intro N
rw [ofReal_integral_eq_lintegral_ofReal]
· exact (hf.sub_martingale (martingale_const _ _ _)).pos.integrable _
· exact eventually_of_forall fun ω => LatticeOrderedGroup.pos_nonneg _
rw [lintegral_iSup']
· simp_rw [this, ENNReal.mul_iSup, iSup_le_iff]
intro N
rw [(by simp :
∫⁻ ω, upcrossingsBefore a b f N ω ∂μ = ∫⁻ ω, ↑(upcrossingsBefore a b f N ω : ℝ≥0) ∂μ),
lintegral_coe_eq_integral, ← ENNReal.ofReal_mul (sub_pos.2 hab).le]
· simp_rw [NNReal.coe_nat_cast]
exact (ENNReal.ofReal_le_ofReal
(hf.mul_integral_upcrossingsBefore_le_integral_pos_part a b N)).trans
(le_iSup (α := ℝ≥0∞) _ N)
· simp only [NNReal.coe_nat_cast, hf.adapted.integrable_upcrossingsBefore hab]
· exact fun n => measurable_from_top.comp_aemeasurable
(hf.adapted.measurable_upcrossingsBefore hab).aemeasurable
· refine' eventually_of_forall fun ω N M hNM => _
rw [Nat.cast_le]
exact upcrossingsBefore_mono hab hNM ω
· rw [not_lt, ← sub_nonpos] at hab
rw [ENNReal.ofReal_of_nonpos hab, zero_mul]
|
exact zero_le _
|
/-- A variant of Doob's upcrossing estimate obtained by taking the supremum on both sides. -/
theorem Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part [IsFiniteMeasure μ] (a b : ℝ)
(hf : Submartingale f ℱ μ) : ENNReal.ofReal (b - a) * ∫⁻ ω, upcrossings a b f ω ∂μ ≤
⨆ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ := by
by_cases hab : a < b
· simp_rw [upcrossings]
have : ∀ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ = ENNReal.ofReal (∫ ω, (f N ω - a)⁺ ∂μ) := by
intro N
rw [ofReal_integral_eq_lintegral_ofReal]
· exact (hf.sub_martingale (martingale_const _ _ _)).pos.integrable _
· exact eventually_of_forall fun ω => LatticeOrderedGroup.pos_nonneg _
rw [lintegral_iSup']
· simp_rw [this, ENNReal.mul_iSup, iSup_le_iff]
intro N
rw [(by simp :
∫⁻ ω, upcrossingsBefore a b f N ω ∂μ = ∫⁻ ω, ↑(upcrossingsBefore a b f N ω : ℝ≥0) ∂μ),
lintegral_coe_eq_integral, ← ENNReal.ofReal_mul (sub_pos.2 hab).le]
· simp_rw [NNReal.coe_nat_cast]
exact (ENNReal.ofReal_le_ofReal
(hf.mul_integral_upcrossingsBefore_le_integral_pos_part a b N)).trans
(le_iSup (α := ℝ≥0∞) _ N)
· simp only [NNReal.coe_nat_cast, hf.adapted.integrable_upcrossingsBefore hab]
· exact fun n => measurable_from_top.comp_aemeasurable
(hf.adapted.measurable_upcrossingsBefore hab).aemeasurable
· refine' eventually_of_forall fun ω N M hNM => _
rw [Nat.cast_le]
exact upcrossingsBefore_mono hab hNM ω
· rw [not_lt, ← sub_nonpos] at hab
rw [ENNReal.ofReal_of_nonpos hab, zero_mul]
|
Mathlib.Probability.Martingale.Upcrossing.852_0.80Cpy4Qgm9i1y9y
|
/-- A variant of Doob's upcrossing estimate obtained by taking the supremum on both sides. -/
theorem Submartingale.mul_lintegral_upcrossings_le_lintegral_pos_part [IsFiniteMeasure μ] (a b : ℝ)
(hf : Submartingale f ℱ μ) : ENNReal.ofReal (b - a) * ∫⁻ ω, upcrossings a b f ω ∂μ ≤
⨆ N, ∫⁻ ω, ENNReal.ofReal ((f N ω - a)⁺) ∂μ
|
Mathlib_Probability_Martingale_Upcrossing
|
C : Type u_1
D : Type u_2
inst✝² : Category.{?u.38, u_1} C
inst✝¹ : Category.{?u.42, u_2} D
inst✝ : Preadditive D
F G : C ⥤ D
⊢ ∀ (a b c : F ⟶ G), a + b + c = a + (b + c)
|
/-
Copyright (c) 2021 Johan Commelin. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Johan Commelin
-/
import Mathlib.CategoryTheory.Preadditive.Basic
#align_import category_theory.preadditive.functor_category from "leanprover-community/mathlib"@"829895f162a1f29d0133f4b3538f4cd1fb5bffd3"
/-!
# Preadditive structure on functor categories
If `C` and `D` are categories and `D` is preadditive,
then `C ⥤ D` is also preadditive.
-/
open BigOperators
namespace CategoryTheory
open CategoryTheory.Limits Preadditive
variable {C D : Type*} [Category C] [Category D] [Preadditive D]
instance functorCategoryPreadditive : Preadditive (C ⥤ D)
where
homGroup F G :=
{ add := fun α β => { app := fun X => α.app X + β.app X }
zero := { app := fun X => 0 }
neg := fun α => { app := fun X => -α.app X }
sub := fun α β => { app := fun X => α.app X - β.app X }
add_assoc := by
|
intros
|
instance functorCategoryPreadditive : Preadditive (C ⥤ D)
where
homGroup F G :=
{ add := fun α β => { app := fun X => α.app X + β.app X }
zero := { app := fun X => 0 }
neg := fun α => { app := fun X => -α.app X }
sub := fun α β => { app := fun X => α.app X - β.app X }
add_assoc := by
|
Mathlib.CategoryTheory.Preadditive.FunctorCategory.27_0.Nvs9V8Hq6lv6L8Y
|
instance functorCategoryPreadditive : Preadditive (C ⥤ D)
where
homGroup F G
|
Mathlib_CategoryTheory_Preadditive_FunctorCategory
|
C : Type u_1
D : Type u_2
inst✝² : Category.{?u.38, u_1} C
inst✝¹ : Category.{?u.42, u_2} D
inst✝ : Preadditive D
F G : C ⥤ D
a✝ b✝ c✝ : F ⟶ G
⊢ a✝ + b✝ + c✝ = a✝ + (b✝ + c✝)
|
/-
Copyright (c) 2021 Johan Commelin. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Johan Commelin
-/
import Mathlib.CategoryTheory.Preadditive.Basic
#align_import category_theory.preadditive.functor_category from "leanprover-community/mathlib"@"829895f162a1f29d0133f4b3538f4cd1fb5bffd3"
/-!
# Preadditive structure on functor categories
If `C` and `D` are categories and `D` is preadditive,
then `C ⥤ D` is also preadditive.
-/
open BigOperators
namespace CategoryTheory
open CategoryTheory.Limits Preadditive
variable {C D : Type*} [Category C] [Category D] [Preadditive D]
instance functorCategoryPreadditive : Preadditive (C ⥤ D)
where
homGroup F G :=
{ add := fun α β => { app := fun X => α.app X + β.app X }
zero := { app := fun X => 0 }
neg := fun α => { app := fun X => -α.app X }
sub := fun α β => { app := fun X => α.app X - β.app X }
add_assoc := by
intros
|
ext
|
instance functorCategoryPreadditive : Preadditive (C ⥤ D)
where
homGroup F G :=
{ add := fun α β => { app := fun X => α.app X + β.app X }
zero := { app := fun X => 0 }
neg := fun α => { app := fun X => -α.app X }
sub := fun α β => { app := fun X => α.app X - β.app X }
add_assoc := by
intros
|
Mathlib.CategoryTheory.Preadditive.FunctorCategory.27_0.Nvs9V8Hq6lv6L8Y
|
instance functorCategoryPreadditive : Preadditive (C ⥤ D)
where
homGroup F G
|
Mathlib_CategoryTheory_Preadditive_FunctorCategory
|
case w.h
C : Type u_1
D : Type u_2
inst✝² : Category.{?u.38, u_1} C
inst✝¹ : Category.{?u.42, u_2} D
inst✝ : Preadditive D
F G : C ⥤ D
a✝ b✝ c✝ : F ⟶ G
x✝ : C
⊢ (a✝ + b✝ + c✝).app x✝ = (a✝ + (b✝ + c✝)).app x✝
|
/-
Copyright (c) 2021 Johan Commelin. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Johan Commelin
-/
import Mathlib.CategoryTheory.Preadditive.Basic
#align_import category_theory.preadditive.functor_category from "leanprover-community/mathlib"@"829895f162a1f29d0133f4b3538f4cd1fb5bffd3"
/-!
# Preadditive structure on functor categories
If `C` and `D` are categories and `D` is preadditive,
then `C ⥤ D` is also preadditive.
-/
open BigOperators
namespace CategoryTheory
open CategoryTheory.Limits Preadditive
variable {C D : Type*} [Category C] [Category D] [Preadditive D]
instance functorCategoryPreadditive : Preadditive (C ⥤ D)
where
homGroup F G :=
{ add := fun α β => { app := fun X => α.app X + β.app X }
zero := { app := fun X => 0 }
neg := fun α => { app := fun X => -α.app X }
sub := fun α β => { app := fun X => α.app X - β.app X }
add_assoc := by
intros
ext
|
apply add_assoc
|
instance functorCategoryPreadditive : Preadditive (C ⥤ D)
where
homGroup F G :=
{ add := fun α β => { app := fun X => α.app X + β.app X }
zero := { app := fun X => 0 }
neg := fun α => { app := fun X => -α.app X }
sub := fun α β => { app := fun X => α.app X - β.app X }
add_assoc := by
intros
ext
|
Mathlib.CategoryTheory.Preadditive.FunctorCategory.27_0.Nvs9V8Hq6lv6L8Y
|
instance functorCategoryPreadditive : Preadditive (C ⥤ D)
where
homGroup F G
|
Mathlib_CategoryTheory_Preadditive_FunctorCategory
|
C : Type u_1
D : Type u_2
inst✝² : Category.{?u.38, u_1} C
inst✝¹ : Category.{?u.42, u_2} D
inst✝ : Preadditive D
F G : C ⥤ D
⊢ ∀ (a : F ⟶ G), 0 + a = a
|
/-
Copyright (c) 2021 Johan Commelin. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Johan Commelin
-/
import Mathlib.CategoryTheory.Preadditive.Basic
#align_import category_theory.preadditive.functor_category from "leanprover-community/mathlib"@"829895f162a1f29d0133f4b3538f4cd1fb5bffd3"
/-!
# Preadditive structure on functor categories
If `C` and `D` are categories and `D` is preadditive,
then `C ⥤ D` is also preadditive.
-/
open BigOperators
namespace CategoryTheory
open CategoryTheory.Limits Preadditive
variable {C D : Type*} [Category C] [Category D] [Preadditive D]
instance functorCategoryPreadditive : Preadditive (C ⥤ D)
where
homGroup F G :=
{ add := fun α β => { app := fun X => α.app X + β.app X }
zero := { app := fun X => 0 }
neg := fun α => { app := fun X => -α.app X }
sub := fun α β => { app := fun X => α.app X - β.app X }
add_assoc := by
intros
ext
apply add_assoc
zero_add := by
|
intros
|
instance functorCategoryPreadditive : Preadditive (C ⥤ D)
where
homGroup F G :=
{ add := fun α β => { app := fun X => α.app X + β.app X }
zero := { app := fun X => 0 }
neg := fun α => { app := fun X => -α.app X }
sub := fun α β => { app := fun X => α.app X - β.app X }
add_assoc := by
intros
ext
apply add_assoc
zero_add := by
|
Mathlib.CategoryTheory.Preadditive.FunctorCategory.27_0.Nvs9V8Hq6lv6L8Y
|
instance functorCategoryPreadditive : Preadditive (C ⥤ D)
where
homGroup F G
|
Mathlib_CategoryTheory_Preadditive_FunctorCategory
|
C : Type u_1
D : Type u_2
inst✝² : Category.{?u.38, u_1} C
inst✝¹ : Category.{?u.42, u_2} D
inst✝ : Preadditive D
F G : C ⥤ D
a✝ : F ⟶ G
⊢ 0 + a✝ = a✝
|
/-
Copyright (c) 2021 Johan Commelin. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Johan Commelin
-/
import Mathlib.CategoryTheory.Preadditive.Basic
#align_import category_theory.preadditive.functor_category from "leanprover-community/mathlib"@"829895f162a1f29d0133f4b3538f4cd1fb5bffd3"
/-!
# Preadditive structure on functor categories
If `C` and `D` are categories and `D` is preadditive,
then `C ⥤ D` is also preadditive.
-/
open BigOperators
namespace CategoryTheory
open CategoryTheory.Limits Preadditive
variable {C D : Type*} [Category C] [Category D] [Preadditive D]
instance functorCategoryPreadditive : Preadditive (C ⥤ D)
where
homGroup F G :=
{ add := fun α β => { app := fun X => α.app X + β.app X }
zero := { app := fun X => 0 }
neg := fun α => { app := fun X => -α.app X }
sub := fun α β => { app := fun X => α.app X - β.app X }
add_assoc := by
intros
ext
apply add_assoc
zero_add := by
intros
|
ext
|
instance functorCategoryPreadditive : Preadditive (C ⥤ D)
where
homGroup F G :=
{ add := fun α β => { app := fun X => α.app X + β.app X }
zero := { app := fun X => 0 }
neg := fun α => { app := fun X => -α.app X }
sub := fun α β => { app := fun X => α.app X - β.app X }
add_assoc := by
intros
ext
apply add_assoc
zero_add := by
intros
|
Mathlib.CategoryTheory.Preadditive.FunctorCategory.27_0.Nvs9V8Hq6lv6L8Y
|
instance functorCategoryPreadditive : Preadditive (C ⥤ D)
where
homGroup F G
|
Mathlib_CategoryTheory_Preadditive_FunctorCategory
|
case w.h
C : Type u_1
D : Type u_2
inst✝² : Category.{?u.38, u_1} C
inst✝¹ : Category.{?u.42, u_2} D
inst✝ : Preadditive D
F G : C ⥤ D
a✝ : F ⟶ G
x✝ : C
⊢ (0 + a✝).app x✝ = a✝.app x✝
|
/-
Copyright (c) 2021 Johan Commelin. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Johan Commelin
-/
import Mathlib.CategoryTheory.Preadditive.Basic
#align_import category_theory.preadditive.functor_category from "leanprover-community/mathlib"@"829895f162a1f29d0133f4b3538f4cd1fb5bffd3"
/-!
# Preadditive structure on functor categories
If `C` and `D` are categories and `D` is preadditive,
then `C ⥤ D` is also preadditive.
-/
open BigOperators
namespace CategoryTheory
open CategoryTheory.Limits Preadditive
variable {C D : Type*} [Category C] [Category D] [Preadditive D]
instance functorCategoryPreadditive : Preadditive (C ⥤ D)
where
homGroup F G :=
{ add := fun α β => { app := fun X => α.app X + β.app X }
zero := { app := fun X => 0 }
neg := fun α => { app := fun X => -α.app X }
sub := fun α β => { app := fun X => α.app X - β.app X }
add_assoc := by
intros
ext
apply add_assoc
zero_add := by
intros
ext
|
apply zero_add
|
instance functorCategoryPreadditive : Preadditive (C ⥤ D)
where
homGroup F G :=
{ add := fun α β => { app := fun X => α.app X + β.app X }
zero := { app := fun X => 0 }
neg := fun α => { app := fun X => -α.app X }
sub := fun α β => { app := fun X => α.app X - β.app X }
add_assoc := by
intros
ext
apply add_assoc
zero_add := by
intros
ext
|
Mathlib.CategoryTheory.Preadditive.FunctorCategory.27_0.Nvs9V8Hq6lv6L8Y
|
instance functorCategoryPreadditive : Preadditive (C ⥤ D)
where
homGroup F G
|
Mathlib_CategoryTheory_Preadditive_FunctorCategory
|
C : Type u_1
D : Type u_2
inst✝² : Category.{?u.38, u_1} C
inst✝¹ : Category.{?u.42, u_2} D
inst✝ : Preadditive D
F G : C ⥤ D
⊢ ∀ (a : F ⟶ G), a + 0 = a
|
/-
Copyright (c) 2021 Johan Commelin. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Johan Commelin
-/
import Mathlib.CategoryTheory.Preadditive.Basic
#align_import category_theory.preadditive.functor_category from "leanprover-community/mathlib"@"829895f162a1f29d0133f4b3538f4cd1fb5bffd3"
/-!
# Preadditive structure on functor categories
If `C` and `D` are categories and `D` is preadditive,
then `C ⥤ D` is also preadditive.
-/
open BigOperators
namespace CategoryTheory
open CategoryTheory.Limits Preadditive
variable {C D : Type*} [Category C] [Category D] [Preadditive D]
instance functorCategoryPreadditive : Preadditive (C ⥤ D)
where
homGroup F G :=
{ add := fun α β => { app := fun X => α.app X + β.app X }
zero := { app := fun X => 0 }
neg := fun α => { app := fun X => -α.app X }
sub := fun α β => { app := fun X => α.app X - β.app X }
add_assoc := by
intros
ext
apply add_assoc
zero_add := by
intros
ext
apply zero_add
add_zero := by
|
intros
|
instance functorCategoryPreadditive : Preadditive (C ⥤ D)
where
homGroup F G :=
{ add := fun α β => { app := fun X => α.app X + β.app X }
zero := { app := fun X => 0 }
neg := fun α => { app := fun X => -α.app X }
sub := fun α β => { app := fun X => α.app X - β.app X }
add_assoc := by
intros
ext
apply add_assoc
zero_add := by
intros
ext
apply zero_add
add_zero := by
|
Mathlib.CategoryTheory.Preadditive.FunctorCategory.27_0.Nvs9V8Hq6lv6L8Y
|
instance functorCategoryPreadditive : Preadditive (C ⥤ D)
where
homGroup F G
|
Mathlib_CategoryTheory_Preadditive_FunctorCategory
|
C : Type u_1
D : Type u_2
inst✝² : Category.{?u.38, u_1} C
inst✝¹ : Category.{?u.42, u_2} D
inst✝ : Preadditive D
F G : C ⥤ D
a✝ : F ⟶ G
⊢ a✝ + 0 = a✝
|
/-
Copyright (c) 2021 Johan Commelin. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Johan Commelin
-/
import Mathlib.CategoryTheory.Preadditive.Basic
#align_import category_theory.preadditive.functor_category from "leanprover-community/mathlib"@"829895f162a1f29d0133f4b3538f4cd1fb5bffd3"
/-!
# Preadditive structure on functor categories
If `C` and `D` are categories and `D` is preadditive,
then `C ⥤ D` is also preadditive.
-/
open BigOperators
namespace CategoryTheory
open CategoryTheory.Limits Preadditive
variable {C D : Type*} [Category C] [Category D] [Preadditive D]
instance functorCategoryPreadditive : Preadditive (C ⥤ D)
where
homGroup F G :=
{ add := fun α β => { app := fun X => α.app X + β.app X }
zero := { app := fun X => 0 }
neg := fun α => { app := fun X => -α.app X }
sub := fun α β => { app := fun X => α.app X - β.app X }
add_assoc := by
intros
ext
apply add_assoc
zero_add := by
intros
ext
apply zero_add
add_zero := by
intros
|
ext
|
instance functorCategoryPreadditive : Preadditive (C ⥤ D)
where
homGroup F G :=
{ add := fun α β => { app := fun X => α.app X + β.app X }
zero := { app := fun X => 0 }
neg := fun α => { app := fun X => -α.app X }
sub := fun α β => { app := fun X => α.app X - β.app X }
add_assoc := by
intros
ext
apply add_assoc
zero_add := by
intros
ext
apply zero_add
add_zero := by
intros
|
Mathlib.CategoryTheory.Preadditive.FunctorCategory.27_0.Nvs9V8Hq6lv6L8Y
|
instance functorCategoryPreadditive : Preadditive (C ⥤ D)
where
homGroup F G
|
Mathlib_CategoryTheory_Preadditive_FunctorCategory
|
case w.h
C : Type u_1
D : Type u_2
inst✝² : Category.{?u.38, u_1} C
inst✝¹ : Category.{?u.42, u_2} D
inst✝ : Preadditive D
F G : C ⥤ D
a✝ : F ⟶ G
x✝ : C
⊢ (a✝ + 0).app x✝ = a✝.app x✝
|
/-
Copyright (c) 2021 Johan Commelin. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Johan Commelin
-/
import Mathlib.CategoryTheory.Preadditive.Basic
#align_import category_theory.preadditive.functor_category from "leanprover-community/mathlib"@"829895f162a1f29d0133f4b3538f4cd1fb5bffd3"
/-!
# Preadditive structure on functor categories
If `C` and `D` are categories and `D` is preadditive,
then `C ⥤ D` is also preadditive.
-/
open BigOperators
namespace CategoryTheory
open CategoryTheory.Limits Preadditive
variable {C D : Type*} [Category C] [Category D] [Preadditive D]
instance functorCategoryPreadditive : Preadditive (C ⥤ D)
where
homGroup F G :=
{ add := fun α β => { app := fun X => α.app X + β.app X }
zero := { app := fun X => 0 }
neg := fun α => { app := fun X => -α.app X }
sub := fun α β => { app := fun X => α.app X - β.app X }
add_assoc := by
intros
ext
apply add_assoc
zero_add := by
intros
ext
apply zero_add
add_zero := by
intros
ext
|
apply add_zero
|
instance functorCategoryPreadditive : Preadditive (C ⥤ D)
where
homGroup F G :=
{ add := fun α β => { app := fun X => α.app X + β.app X }
zero := { app := fun X => 0 }
neg := fun α => { app := fun X => -α.app X }
sub := fun α β => { app := fun X => α.app X - β.app X }
add_assoc := by
intros
ext
apply add_assoc
zero_add := by
intros
ext
apply zero_add
add_zero := by
intros
ext
|
Mathlib.CategoryTheory.Preadditive.FunctorCategory.27_0.Nvs9V8Hq6lv6L8Y
|
instance functorCategoryPreadditive : Preadditive (C ⥤ D)
where
homGroup F G
|
Mathlib_CategoryTheory_Preadditive_FunctorCategory
|
C : Type u_1
D : Type u_2
inst✝² : Category.{?u.38, u_1} C
inst✝¹ : Category.{?u.42, u_2} D
inst✝ : Preadditive D
F G : C ⥤ D
⊢ ∀ (a b : F ⟶ G), a - b = a + -b
|
/-
Copyright (c) 2021 Johan Commelin. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Johan Commelin
-/
import Mathlib.CategoryTheory.Preadditive.Basic
#align_import category_theory.preadditive.functor_category from "leanprover-community/mathlib"@"829895f162a1f29d0133f4b3538f4cd1fb5bffd3"
/-!
# Preadditive structure on functor categories
If `C` and `D` are categories and `D` is preadditive,
then `C ⥤ D` is also preadditive.
-/
open BigOperators
namespace CategoryTheory
open CategoryTheory.Limits Preadditive
variable {C D : Type*} [Category C] [Category D] [Preadditive D]
instance functorCategoryPreadditive : Preadditive (C ⥤ D)
where
homGroup F G :=
{ add := fun α β => { app := fun X => α.app X + β.app X }
zero := { app := fun X => 0 }
neg := fun α => { app := fun X => -α.app X }
sub := fun α β => { app := fun X => α.app X - β.app X }
add_assoc := by
intros
ext
apply add_assoc
zero_add := by
intros
ext
apply zero_add
add_zero := by
intros
ext
apply add_zero
add_comm := by
intros
ext
apply add_comm
sub_eq_add_neg := by
|
intros
|
instance functorCategoryPreadditive : Preadditive (C ⥤ D)
where
homGroup F G :=
{ add := fun α β => { app := fun X => α.app X + β.app X }
zero := { app := fun X => 0 }
neg := fun α => { app := fun X => -α.app X }
sub := fun α β => { app := fun X => α.app X - β.app X }
add_assoc := by
intros
ext
apply add_assoc
zero_add := by
intros
ext
apply zero_add
add_zero := by
intros
ext
apply add_zero
add_comm := by
intros
ext
apply add_comm
sub_eq_add_neg := by
|
Mathlib.CategoryTheory.Preadditive.FunctorCategory.27_0.Nvs9V8Hq6lv6L8Y
|
instance functorCategoryPreadditive : Preadditive (C ⥤ D)
where
homGroup F G
|
Mathlib_CategoryTheory_Preadditive_FunctorCategory
|
C : Type u_1
D : Type u_2
inst✝² : Category.{?u.38, u_1} C
inst✝¹ : Category.{?u.42, u_2} D
inst✝ : Preadditive D
F G : C ⥤ D
a✝ b✝ : F ⟶ G
⊢ a✝ - b✝ = a✝ + -b✝
|
/-
Copyright (c) 2021 Johan Commelin. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Johan Commelin
-/
import Mathlib.CategoryTheory.Preadditive.Basic
#align_import category_theory.preadditive.functor_category from "leanprover-community/mathlib"@"829895f162a1f29d0133f4b3538f4cd1fb5bffd3"
/-!
# Preadditive structure on functor categories
If `C` and `D` are categories and `D` is preadditive,
then `C ⥤ D` is also preadditive.
-/
open BigOperators
namespace CategoryTheory
open CategoryTheory.Limits Preadditive
variable {C D : Type*} [Category C] [Category D] [Preadditive D]
instance functorCategoryPreadditive : Preadditive (C ⥤ D)
where
homGroup F G :=
{ add := fun α β => { app := fun X => α.app X + β.app X }
zero := { app := fun X => 0 }
neg := fun α => { app := fun X => -α.app X }
sub := fun α β => { app := fun X => α.app X - β.app X }
add_assoc := by
intros
ext
apply add_assoc
zero_add := by
intros
ext
apply zero_add
add_zero := by
intros
ext
apply add_zero
add_comm := by
intros
ext
apply add_comm
sub_eq_add_neg := by
intros
|
ext
|
instance functorCategoryPreadditive : Preadditive (C ⥤ D)
where
homGroup F G :=
{ add := fun α β => { app := fun X => α.app X + β.app X }
zero := { app := fun X => 0 }
neg := fun α => { app := fun X => -α.app X }
sub := fun α β => { app := fun X => α.app X - β.app X }
add_assoc := by
intros
ext
apply add_assoc
zero_add := by
intros
ext
apply zero_add
add_zero := by
intros
ext
apply add_zero
add_comm := by
intros
ext
apply add_comm
sub_eq_add_neg := by
intros
|
Mathlib.CategoryTheory.Preadditive.FunctorCategory.27_0.Nvs9V8Hq6lv6L8Y
|
instance functorCategoryPreadditive : Preadditive (C ⥤ D)
where
homGroup F G
|
Mathlib_CategoryTheory_Preadditive_FunctorCategory
|
case w.h
C : Type u_1
D : Type u_2
inst✝² : Category.{?u.38, u_1} C
inst✝¹ : Category.{?u.42, u_2} D
inst✝ : Preadditive D
F G : C ⥤ D
a✝ b✝ : F ⟶ G
x✝ : C
⊢ (a✝ - b✝).app x✝ = (a✝ + -b✝).app x✝
|
/-
Copyright (c) 2021 Johan Commelin. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Johan Commelin
-/
import Mathlib.CategoryTheory.Preadditive.Basic
#align_import category_theory.preadditive.functor_category from "leanprover-community/mathlib"@"829895f162a1f29d0133f4b3538f4cd1fb5bffd3"
/-!
# Preadditive structure on functor categories
If `C` and `D` are categories and `D` is preadditive,
then `C ⥤ D` is also preadditive.
-/
open BigOperators
namespace CategoryTheory
open CategoryTheory.Limits Preadditive
variable {C D : Type*} [Category C] [Category D] [Preadditive D]
instance functorCategoryPreadditive : Preadditive (C ⥤ D)
where
homGroup F G :=
{ add := fun α β => { app := fun X => α.app X + β.app X }
zero := { app := fun X => 0 }
neg := fun α => { app := fun X => -α.app X }
sub := fun α β => { app := fun X => α.app X - β.app X }
add_assoc := by
intros
ext
apply add_assoc
zero_add := by
intros
ext
apply zero_add
add_zero := by
intros
ext
apply add_zero
add_comm := by
intros
ext
apply add_comm
sub_eq_add_neg := by
intros
ext
|
apply sub_eq_add_neg
|
instance functorCategoryPreadditive : Preadditive (C ⥤ D)
where
homGroup F G :=
{ add := fun α β => { app := fun X => α.app X + β.app X }
zero := { app := fun X => 0 }
neg := fun α => { app := fun X => -α.app X }
sub := fun α β => { app := fun X => α.app X - β.app X }
add_assoc := by
intros
ext
apply add_assoc
zero_add := by
intros
ext
apply zero_add
add_zero := by
intros
ext
apply add_zero
add_comm := by
intros
ext
apply add_comm
sub_eq_add_neg := by
intros
ext
|
Mathlib.CategoryTheory.Preadditive.FunctorCategory.27_0.Nvs9V8Hq6lv6L8Y
|
instance functorCategoryPreadditive : Preadditive (C ⥤ D)
where
homGroup F G
|
Mathlib_CategoryTheory_Preadditive_FunctorCategory
|
C : Type u_1
D : Type u_2
inst✝² : Category.{?u.38, u_1} C
inst✝¹ : Category.{?u.42, u_2} D
inst✝ : Preadditive D
F G : C ⥤ D
⊢ ∀ (a : F ⟶ G), -a + a = 0
|
/-
Copyright (c) 2021 Johan Commelin. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Johan Commelin
-/
import Mathlib.CategoryTheory.Preadditive.Basic
#align_import category_theory.preadditive.functor_category from "leanprover-community/mathlib"@"829895f162a1f29d0133f4b3538f4cd1fb5bffd3"
/-!
# Preadditive structure on functor categories
If `C` and `D` are categories and `D` is preadditive,
then `C ⥤ D` is also preadditive.
-/
open BigOperators
namespace CategoryTheory
open CategoryTheory.Limits Preadditive
variable {C D : Type*} [Category C] [Category D] [Preadditive D]
instance functorCategoryPreadditive : Preadditive (C ⥤ D)
where
homGroup F G :=
{ add := fun α β => { app := fun X => α.app X + β.app X }
zero := { app := fun X => 0 }
neg := fun α => { app := fun X => -α.app X }
sub := fun α β => { app := fun X => α.app X - β.app X }
add_assoc := by
intros
ext
apply add_assoc
zero_add := by
intros
ext
apply zero_add
add_zero := by
intros
ext
apply add_zero
add_comm := by
intros
ext
apply add_comm
sub_eq_add_neg := by
intros
ext
apply sub_eq_add_neg
add_left_neg := by
|
intros
|
instance functorCategoryPreadditive : Preadditive (C ⥤ D)
where
homGroup F G :=
{ add := fun α β => { app := fun X => α.app X + β.app X }
zero := { app := fun X => 0 }
neg := fun α => { app := fun X => -α.app X }
sub := fun α β => { app := fun X => α.app X - β.app X }
add_assoc := by
intros
ext
apply add_assoc
zero_add := by
intros
ext
apply zero_add
add_zero := by
intros
ext
apply add_zero
add_comm := by
intros
ext
apply add_comm
sub_eq_add_neg := by
intros
ext
apply sub_eq_add_neg
add_left_neg := by
|
Mathlib.CategoryTheory.Preadditive.FunctorCategory.27_0.Nvs9V8Hq6lv6L8Y
|
instance functorCategoryPreadditive : Preadditive (C ⥤ D)
where
homGroup F G
|
Mathlib_CategoryTheory_Preadditive_FunctorCategory
|
C : Type u_1
D : Type u_2
inst✝² : Category.{?u.38, u_1} C
inst✝¹ : Category.{?u.42, u_2} D
inst✝ : Preadditive D
F G : C ⥤ D
a✝ : F ⟶ G
⊢ -a✝ + a✝ = 0
|
/-
Copyright (c) 2021 Johan Commelin. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Johan Commelin
-/
import Mathlib.CategoryTheory.Preadditive.Basic
#align_import category_theory.preadditive.functor_category from "leanprover-community/mathlib"@"829895f162a1f29d0133f4b3538f4cd1fb5bffd3"
/-!
# Preadditive structure on functor categories
If `C` and `D` are categories and `D` is preadditive,
then `C ⥤ D` is also preadditive.
-/
open BigOperators
namespace CategoryTheory
open CategoryTheory.Limits Preadditive
variable {C D : Type*} [Category C] [Category D] [Preadditive D]
instance functorCategoryPreadditive : Preadditive (C ⥤ D)
where
homGroup F G :=
{ add := fun α β => { app := fun X => α.app X + β.app X }
zero := { app := fun X => 0 }
neg := fun α => { app := fun X => -α.app X }
sub := fun α β => { app := fun X => α.app X - β.app X }
add_assoc := by
intros
ext
apply add_assoc
zero_add := by
intros
ext
apply zero_add
add_zero := by
intros
ext
apply add_zero
add_comm := by
intros
ext
apply add_comm
sub_eq_add_neg := by
intros
ext
apply sub_eq_add_neg
add_left_neg := by
intros
|
ext
|
instance functorCategoryPreadditive : Preadditive (C ⥤ D)
where
homGroup F G :=
{ add := fun α β => { app := fun X => α.app X + β.app X }
zero := { app := fun X => 0 }
neg := fun α => { app := fun X => -α.app X }
sub := fun α β => { app := fun X => α.app X - β.app X }
add_assoc := by
intros
ext
apply add_assoc
zero_add := by
intros
ext
apply zero_add
add_zero := by
intros
ext
apply add_zero
add_comm := by
intros
ext
apply add_comm
sub_eq_add_neg := by
intros
ext
apply sub_eq_add_neg
add_left_neg := by
intros
|
Mathlib.CategoryTheory.Preadditive.FunctorCategory.27_0.Nvs9V8Hq6lv6L8Y
|
instance functorCategoryPreadditive : Preadditive (C ⥤ D)
where
homGroup F G
|
Mathlib_CategoryTheory_Preadditive_FunctorCategory
|
case w.h
C : Type u_1
D : Type u_2
inst✝² : Category.{?u.38, u_1} C
inst✝¹ : Category.{?u.42, u_2} D
inst✝ : Preadditive D
F G : C ⥤ D
a✝ : F ⟶ G
x✝ : C
⊢ (-a✝ + a✝).app x✝ = 0.app x✝
|
/-
Copyright (c) 2021 Johan Commelin. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Johan Commelin
-/
import Mathlib.CategoryTheory.Preadditive.Basic
#align_import category_theory.preadditive.functor_category from "leanprover-community/mathlib"@"829895f162a1f29d0133f4b3538f4cd1fb5bffd3"
/-!
# Preadditive structure on functor categories
If `C` and `D` are categories and `D` is preadditive,
then `C ⥤ D` is also preadditive.
-/
open BigOperators
namespace CategoryTheory
open CategoryTheory.Limits Preadditive
variable {C D : Type*} [Category C] [Category D] [Preadditive D]
instance functorCategoryPreadditive : Preadditive (C ⥤ D)
where
homGroup F G :=
{ add := fun α β => { app := fun X => α.app X + β.app X }
zero := { app := fun X => 0 }
neg := fun α => { app := fun X => -α.app X }
sub := fun α β => { app := fun X => α.app X - β.app X }
add_assoc := by
intros
ext
apply add_assoc
zero_add := by
intros
ext
apply zero_add
add_zero := by
intros
ext
apply add_zero
add_comm := by
intros
ext
apply add_comm
sub_eq_add_neg := by
intros
ext
apply sub_eq_add_neg
add_left_neg := by
intros
ext
|
apply add_left_neg
|
instance functorCategoryPreadditive : Preadditive (C ⥤ D)
where
homGroup F G :=
{ add := fun α β => { app := fun X => α.app X + β.app X }
zero := { app := fun X => 0 }
neg := fun α => { app := fun X => -α.app X }
sub := fun α β => { app := fun X => α.app X - β.app X }
add_assoc := by
intros
ext
apply add_assoc
zero_add := by
intros
ext
apply zero_add
add_zero := by
intros
ext
apply add_zero
add_comm := by
intros
ext
apply add_comm
sub_eq_add_neg := by
intros
ext
apply sub_eq_add_neg
add_left_neg := by
intros
ext
|
Mathlib.CategoryTheory.Preadditive.FunctorCategory.27_0.Nvs9V8Hq6lv6L8Y
|
instance functorCategoryPreadditive : Preadditive (C ⥤ D)
where
homGroup F G
|
Mathlib_CategoryTheory_Preadditive_FunctorCategory
|
C : Type u_1
D : Type u_2
inst✝² : Category.{?u.38, u_1} C
inst✝¹ : Category.{?u.42, u_2} D
inst✝ : Preadditive D
F G : C ⥤ D
⊢ ∀ (a b : F ⟶ G), a + b = b + a
|
/-
Copyright (c) 2021 Johan Commelin. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Johan Commelin
-/
import Mathlib.CategoryTheory.Preadditive.Basic
#align_import category_theory.preadditive.functor_category from "leanprover-community/mathlib"@"829895f162a1f29d0133f4b3538f4cd1fb5bffd3"
/-!
# Preadditive structure on functor categories
If `C` and `D` are categories and `D` is preadditive,
then `C ⥤ D` is also preadditive.
-/
open BigOperators
namespace CategoryTheory
open CategoryTheory.Limits Preadditive
variable {C D : Type*} [Category C] [Category D] [Preadditive D]
instance functorCategoryPreadditive : Preadditive (C ⥤ D)
where
homGroup F G :=
{ add := fun α β => { app := fun X => α.app X + β.app X }
zero := { app := fun X => 0 }
neg := fun α => { app := fun X => -α.app X }
sub := fun α β => { app := fun X => α.app X - β.app X }
add_assoc := by
intros
ext
apply add_assoc
zero_add := by
intros
ext
apply zero_add
add_zero := by
intros
ext
apply add_zero
add_comm := by
|
intros
|
instance functorCategoryPreadditive : Preadditive (C ⥤ D)
where
homGroup F G :=
{ add := fun α β => { app := fun X => α.app X + β.app X }
zero := { app := fun X => 0 }
neg := fun α => { app := fun X => -α.app X }
sub := fun α β => { app := fun X => α.app X - β.app X }
add_assoc := by
intros
ext
apply add_assoc
zero_add := by
intros
ext
apply zero_add
add_zero := by
intros
ext
apply add_zero
add_comm := by
|
Mathlib.CategoryTheory.Preadditive.FunctorCategory.27_0.Nvs9V8Hq6lv6L8Y
|
instance functorCategoryPreadditive : Preadditive (C ⥤ D)
where
homGroup F G
|
Mathlib_CategoryTheory_Preadditive_FunctorCategory
|
C : Type u_1
D : Type u_2
inst✝² : Category.{?u.38, u_1} C
inst✝¹ : Category.{?u.42, u_2} D
inst✝ : Preadditive D
F G : C ⥤ D
a✝ b✝ : F ⟶ G
⊢ a✝ + b✝ = b✝ + a✝
|
/-
Copyright (c) 2021 Johan Commelin. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Johan Commelin
-/
import Mathlib.CategoryTheory.Preadditive.Basic
#align_import category_theory.preadditive.functor_category from "leanprover-community/mathlib"@"829895f162a1f29d0133f4b3538f4cd1fb5bffd3"
/-!
# Preadditive structure on functor categories
If `C` and `D` are categories and `D` is preadditive,
then `C ⥤ D` is also preadditive.
-/
open BigOperators
namespace CategoryTheory
open CategoryTheory.Limits Preadditive
variable {C D : Type*} [Category C] [Category D] [Preadditive D]
instance functorCategoryPreadditive : Preadditive (C ⥤ D)
where
homGroup F G :=
{ add := fun α β => { app := fun X => α.app X + β.app X }
zero := { app := fun X => 0 }
neg := fun α => { app := fun X => -α.app X }
sub := fun α β => { app := fun X => α.app X - β.app X }
add_assoc := by
intros
ext
apply add_assoc
zero_add := by
intros
ext
apply zero_add
add_zero := by
intros
ext
apply add_zero
add_comm := by
intros
|
ext
|
instance functorCategoryPreadditive : Preadditive (C ⥤ D)
where
homGroup F G :=
{ add := fun α β => { app := fun X => α.app X + β.app X }
zero := { app := fun X => 0 }
neg := fun α => { app := fun X => -α.app X }
sub := fun α β => { app := fun X => α.app X - β.app X }
add_assoc := by
intros
ext
apply add_assoc
zero_add := by
intros
ext
apply zero_add
add_zero := by
intros
ext
apply add_zero
add_comm := by
intros
|
Mathlib.CategoryTheory.Preadditive.FunctorCategory.27_0.Nvs9V8Hq6lv6L8Y
|
instance functorCategoryPreadditive : Preadditive (C ⥤ D)
where
homGroup F G
|
Mathlib_CategoryTheory_Preadditive_FunctorCategory
|
case w.h
C : Type u_1
D : Type u_2
inst✝² : Category.{?u.38, u_1} C
inst✝¹ : Category.{?u.42, u_2} D
inst✝ : Preadditive D
F G : C ⥤ D
a✝ b✝ : F ⟶ G
x✝ : C
⊢ (a✝ + b✝).app x✝ = (b✝ + a✝).app x✝
|
/-
Copyright (c) 2021 Johan Commelin. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Johan Commelin
-/
import Mathlib.CategoryTheory.Preadditive.Basic
#align_import category_theory.preadditive.functor_category from "leanprover-community/mathlib"@"829895f162a1f29d0133f4b3538f4cd1fb5bffd3"
/-!
# Preadditive structure on functor categories
If `C` and `D` are categories and `D` is preadditive,
then `C ⥤ D` is also preadditive.
-/
open BigOperators
namespace CategoryTheory
open CategoryTheory.Limits Preadditive
variable {C D : Type*} [Category C] [Category D] [Preadditive D]
instance functorCategoryPreadditive : Preadditive (C ⥤ D)
where
homGroup F G :=
{ add := fun α β => { app := fun X => α.app X + β.app X }
zero := { app := fun X => 0 }
neg := fun α => { app := fun X => -α.app X }
sub := fun α β => { app := fun X => α.app X - β.app X }
add_assoc := by
intros
ext
apply add_assoc
zero_add := by
intros
ext
apply zero_add
add_zero := by
intros
ext
apply add_zero
add_comm := by
intros
ext
|
apply add_comm
|
instance functorCategoryPreadditive : Preadditive (C ⥤ D)
where
homGroup F G :=
{ add := fun α β => { app := fun X => α.app X + β.app X }
zero := { app := fun X => 0 }
neg := fun α => { app := fun X => -α.app X }
sub := fun α β => { app := fun X => α.app X - β.app X }
add_assoc := by
intros
ext
apply add_assoc
zero_add := by
intros
ext
apply zero_add
add_zero := by
intros
ext
apply add_zero
add_comm := by
intros
ext
|
Mathlib.CategoryTheory.Preadditive.FunctorCategory.27_0.Nvs9V8Hq6lv6L8Y
|
instance functorCategoryPreadditive : Preadditive (C ⥤ D)
where
homGroup F G
|
Mathlib_CategoryTheory_Preadditive_FunctorCategory
|
C : Type u_1
D : Type u_2
inst✝² : Category.{?u.38, u_1} C
inst✝¹ : Category.{?u.42, u_2} D
inst✝ : Preadditive D
⊢ ∀ (P Q R : C ⥤ D) (f f' : P ⟶ Q) (g : Q ⟶ R), (f + f') ≫ g = f ≫ g + f' ≫ g
|
/-
Copyright (c) 2021 Johan Commelin. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Johan Commelin
-/
import Mathlib.CategoryTheory.Preadditive.Basic
#align_import category_theory.preadditive.functor_category from "leanprover-community/mathlib"@"829895f162a1f29d0133f4b3538f4cd1fb5bffd3"
/-!
# Preadditive structure on functor categories
If `C` and `D` are categories and `D` is preadditive,
then `C ⥤ D` is also preadditive.
-/
open BigOperators
namespace CategoryTheory
open CategoryTheory.Limits Preadditive
variable {C D : Type*} [Category C] [Category D] [Preadditive D]
instance functorCategoryPreadditive : Preadditive (C ⥤ D)
where
homGroup F G :=
{ add := fun α β => { app := fun X => α.app X + β.app X }
zero := { app := fun X => 0 }
neg := fun α => { app := fun X => -α.app X }
sub := fun α β => { app := fun X => α.app X - β.app X }
add_assoc := by
intros
ext
apply add_assoc
zero_add := by
intros
ext
apply zero_add
add_zero := by
intros
ext
apply add_zero
add_comm := by
intros
ext
apply add_comm
sub_eq_add_neg := by
intros
ext
apply sub_eq_add_neg
add_left_neg := by
intros
ext
apply add_left_neg }
add_comp := by
|
intros
|
instance functorCategoryPreadditive : Preadditive (C ⥤ D)
where
homGroup F G :=
{ add := fun α β => { app := fun X => α.app X + β.app X }
zero := { app := fun X => 0 }
neg := fun α => { app := fun X => -α.app X }
sub := fun α β => { app := fun X => α.app X - β.app X }
add_assoc := by
intros
ext
apply add_assoc
zero_add := by
intros
ext
apply zero_add
add_zero := by
intros
ext
apply add_zero
add_comm := by
intros
ext
apply add_comm
sub_eq_add_neg := by
intros
ext
apply sub_eq_add_neg
add_left_neg := by
intros
ext
apply add_left_neg }
add_comp := by
|
Mathlib.CategoryTheory.Preadditive.FunctorCategory.27_0.Nvs9V8Hq6lv6L8Y
|
instance functorCategoryPreadditive : Preadditive (C ⥤ D)
where
homGroup F G
|
Mathlib_CategoryTheory_Preadditive_FunctorCategory
|
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