state
stringlengths 0
159k
| srcUpToTactic
stringlengths 387
167k
| nextTactic
stringlengths 3
9k
| declUpToTactic
stringlengths 22
11.5k
| declId
stringlengths 38
95
| decl
stringlengths 16
1.89k
| file_tag
stringlengths 17
73
|
|---|---|---|---|---|---|---|
case pos
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
hf : ¬Integrable f
hm : m ≤ m0
hμm : SigmaFinite (Measure.trim μ hm)
⊢ μ[f|m] = 0
case neg
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
hf : ¬Integrable f
hm : m ≤ m0
hμm : ¬SigmaFinite (Measure.trim μ hm)
⊢ μ[f|m] = 0
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
|
swap
|
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.159_0.yd50cWAuCo6hlry
|
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case neg
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
hf : ¬Integrable f
hm : m ≤ m0
hμm : ¬SigmaFinite (Measure.trim μ hm)
⊢ μ[f|m] = 0
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; ·
|
rw [condexp_of_not_sigmaFinite hm hμm]
|
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; ·
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.159_0.yd50cWAuCo6hlry
|
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case pos
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
hf : ¬Integrable f
hm : m ≤ m0
hμm : SigmaFinite (Measure.trim μ hm)
⊢ μ[f|m] = 0
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
|
haveI : SigmaFinite (μ.trim hm) := hμm
|
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.159_0.yd50cWAuCo6hlry
|
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case pos
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
hf : ¬Integrable f
hm : m ≤ m0
hμm this : SigmaFinite (Measure.trim μ hm)
⊢ μ[f|m] = 0
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
|
rw [condexp_of_sigmaFinite, if_neg hf]
|
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.159_0.yd50cWAuCo6hlry
|
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
⊢ μ[0|m] = 0
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
|
by_cases hm : m ≤ m0
|
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.168_0.yd50cWAuCo6hlry
|
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case pos
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
hm : m ≤ m0
⊢ μ[0|m] = 0
case neg
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
hm : ¬m ≤ m0
⊢ μ[0|m] = 0
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
|
swap
|
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.168_0.yd50cWAuCo6hlry
|
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case neg
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
hm : ¬m ≤ m0
⊢ μ[0|m] = 0
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; ·
|
rw [condexp_of_not_le hm]
|
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; ·
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.168_0.yd50cWAuCo6hlry
|
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case pos
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
hm : m ≤ m0
⊢ μ[0|m] = 0
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
|
by_cases hμm : SigmaFinite (μ.trim hm)
|
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.168_0.yd50cWAuCo6hlry
|
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case pos
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
hm : m ≤ m0
hμm : SigmaFinite (Measure.trim μ hm)
⊢ μ[0|m] = 0
case neg
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
hm : m ≤ m0
hμm : ¬SigmaFinite (Measure.trim μ hm)
⊢ μ[0|m] = 0
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
|
swap
|
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.168_0.yd50cWAuCo6hlry
|
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case neg
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
hm : m ≤ m0
hμm : ¬SigmaFinite (Measure.trim μ hm)
⊢ μ[0|m] = 0
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; ·
|
rw [condexp_of_not_sigmaFinite hm hμm]
|
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; ·
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.168_0.yd50cWAuCo6hlry
|
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case pos
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
hm : m ≤ m0
hμm : SigmaFinite (Measure.trim μ hm)
⊢ μ[0|m] = 0
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
|
haveI : SigmaFinite (μ.trim hm) := hμm
|
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.168_0.yd50cWAuCo6hlry
|
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case pos
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
hm : m ≤ m0
hμm this : SigmaFinite (Measure.trim μ hm)
⊢ μ[0|m] = 0
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
|
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
|
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.168_0.yd50cWAuCo6hlry
|
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
⊢ StronglyMeasurable (μ[f|m])
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
|
by_cases hm : m ≤ m0
|
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.179_0.yd50cWAuCo6hlry
|
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m])
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case pos
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
hm : m ≤ m0
⊢ StronglyMeasurable (μ[f|m])
case neg
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
hm : ¬m ≤ m0
⊢ StronglyMeasurable (μ[f|m])
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
|
swap
|
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.179_0.yd50cWAuCo6hlry
|
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m])
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case neg
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
hm : ¬m ≤ m0
⊢ StronglyMeasurable (μ[f|m])
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; ·
|
rw [condexp_of_not_le hm]
|
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; ·
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.179_0.yd50cWAuCo6hlry
|
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m])
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case neg
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
hm : ¬m ≤ m0
⊢ StronglyMeasurable 0
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm];
|
exact stronglyMeasurable_zero
|
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm];
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.179_0.yd50cWAuCo6hlry
|
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m])
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case pos
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
hm : m ≤ m0
⊢ StronglyMeasurable (μ[f|m])
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
|
by_cases hμm : SigmaFinite (μ.trim hm)
|
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.179_0.yd50cWAuCo6hlry
|
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m])
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case pos
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
hm : m ≤ m0
hμm : SigmaFinite (Measure.trim μ hm)
⊢ StronglyMeasurable (μ[f|m])
case neg
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
hm : m ≤ m0
hμm : ¬SigmaFinite (Measure.trim μ hm)
⊢ StronglyMeasurable (μ[f|m])
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
|
swap
|
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.179_0.yd50cWAuCo6hlry
|
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m])
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case neg
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
hm : m ≤ m0
hμm : ¬SigmaFinite (Measure.trim μ hm)
⊢ StronglyMeasurable (μ[f|m])
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; ·
|
rw [condexp_of_not_sigmaFinite hm hμm]
|
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; ·
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.179_0.yd50cWAuCo6hlry
|
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m])
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case neg
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
hm : m ≤ m0
hμm : ¬SigmaFinite (Measure.trim μ hm)
⊢ StronglyMeasurable 0
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm];
|
exact stronglyMeasurable_zero
|
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm];
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.179_0.yd50cWAuCo6hlry
|
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m])
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case pos
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
hm : m ≤ m0
hμm : SigmaFinite (Measure.trim μ hm)
⊢ StronglyMeasurable (μ[f|m])
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
|
haveI : SigmaFinite (μ.trim hm) := hμm
|
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.179_0.yd50cWAuCo6hlry
|
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m])
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case pos
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
hm : m ≤ m0
hμm this : SigmaFinite (Measure.trim μ hm)
⊢ StronglyMeasurable (μ[f|m])
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
|
rw [condexp_of_sigmaFinite hm]
|
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.179_0.yd50cWAuCo6hlry
|
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m])
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case pos
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
hm : m ≤ m0
hμm this : SigmaFinite (Measure.trim μ hm)
⊢ StronglyMeasurable
(if Integrable f then
if StronglyMeasurable f then f
else AEStronglyMeasurable'.mk ↑↑(condexpL1 hm μ f) (_ : AEStronglyMeasurable' m (↑↑(condexpL1 hm μ f)) μ)
else 0)
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
|
split_ifs with hfi hfm
|
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.179_0.yd50cWAuCo6hlry
|
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m])
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case pos
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
hm : m ≤ m0
hμm this : SigmaFinite (Measure.trim μ hm)
hfi : Integrable f
hfm : StronglyMeasurable f
⊢ StronglyMeasurable f
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
·
|
exact hfm
|
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
·
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.179_0.yd50cWAuCo6hlry
|
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m])
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case neg
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
hm : m ≤ m0
hμm this : SigmaFinite (Measure.trim μ hm)
hfi : Integrable f
hfm : ¬StronglyMeasurable f
⊢ StronglyMeasurable
(AEStronglyMeasurable'.mk ↑↑(condexpL1 hm μ f) (_ : AEStronglyMeasurable' m (↑↑(condexpL1 hm μ f)) μ))
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
·
|
exact AEStronglyMeasurable'.stronglyMeasurable_mk _
|
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
·
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.179_0.yd50cWAuCo6hlry
|
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m])
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case neg
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
hm : m ≤ m0
hμm this : SigmaFinite (Measure.trim μ hm)
hfi : ¬Integrable f
⊢ StronglyMeasurable 0
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
·
|
exact stronglyMeasurable_zero
|
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
·
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.179_0.yd50cWAuCo6hlry
|
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m])
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
h : f =ᵐ[μ] g
⊢ μ[f|m] =ᵐ[μ] μ[g|m]
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
|
by_cases hm : m ≤ m0
|
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.192_0.yd50cWAuCo6hlry
|
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m]
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case pos
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
h : f =ᵐ[μ] g
hm : m ≤ m0
⊢ μ[f|m] =ᵐ[μ] μ[g|m]
case neg
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
h : f =ᵐ[μ] g
hm : ¬m ≤ m0
⊢ μ[f|m] =ᵐ[μ] μ[g|m]
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
|
swap
|
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.192_0.yd50cWAuCo6hlry
|
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m]
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case neg
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
h : f =ᵐ[μ] g
hm : ¬m ≤ m0
⊢ μ[f|m] =ᵐ[μ] μ[g|m]
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; ·
|
simp_rw [condexp_of_not_le hm]
|
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; ·
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.192_0.yd50cWAuCo6hlry
|
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m]
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case neg
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
h : f =ᵐ[μ] g
hm : ¬m ≤ m0
⊢ 0 =ᵐ[μ] 0
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm];
|
rfl
|
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm];
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.192_0.yd50cWAuCo6hlry
|
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m]
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case pos
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
h : f =ᵐ[μ] g
hm : m ≤ m0
⊢ μ[f|m] =ᵐ[μ] μ[g|m]
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
|
by_cases hμm : SigmaFinite (μ.trim hm)
|
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.192_0.yd50cWAuCo6hlry
|
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m]
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case pos
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
h : f =ᵐ[μ] g
hm : m ≤ m0
hμm : SigmaFinite (Measure.trim μ hm)
⊢ μ[f|m] =ᵐ[μ] μ[g|m]
case neg
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
h : f =ᵐ[μ] g
hm : m ≤ m0
hμm : ¬SigmaFinite (Measure.trim μ hm)
⊢ μ[f|m] =ᵐ[μ] μ[g|m]
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
|
swap
|
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.192_0.yd50cWAuCo6hlry
|
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m]
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case neg
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
h : f =ᵐ[μ] g
hm : m ≤ m0
hμm : ¬SigmaFinite (Measure.trim μ hm)
⊢ μ[f|m] =ᵐ[μ] μ[g|m]
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; ·
|
simp_rw [condexp_of_not_sigmaFinite hm hμm]
|
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; ·
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.192_0.yd50cWAuCo6hlry
|
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m]
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case neg
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
h : f =ᵐ[μ] g
hm : m ≤ m0
hμm : ¬SigmaFinite (Measure.trim μ hm)
⊢ 0 =ᵐ[μ] 0
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm];
|
rfl
|
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm];
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.192_0.yd50cWAuCo6hlry
|
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m]
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case pos
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
h : f =ᵐ[μ] g
hm : m ≤ m0
hμm : SigmaFinite (Measure.trim μ hm)
⊢ μ[f|m] =ᵐ[μ] μ[g|m]
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; rfl
|
haveI : SigmaFinite (μ.trim hm) := hμm
|
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; rfl
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.192_0.yd50cWAuCo6hlry
|
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m]
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case pos
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
h : f =ᵐ[μ] g
hm : m ≤ m0
hμm this : SigmaFinite (Measure.trim μ hm)
⊢ μ[f|m] =ᵐ[μ] μ[g|m]
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
|
exact (condexp_ae_eq_condexpL1 hm f).trans
(Filter.EventuallyEq.trans (by rw [condexpL1_congr_ae hm h])
(condexp_ae_eq_condexpL1 hm g).symm)
|
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.192_0.yd50cWAuCo6hlry
|
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m]
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
h : f =ᵐ[μ] g
hm : m ≤ m0
hμm this : SigmaFinite (Measure.trim μ hm)
⊢ ↑↑(condexpL1 hm μ f) =ᵐ[μ] ↑↑(condexpL1 hm μ g)
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
exact (condexp_ae_eq_condexpL1 hm f).trans
(Filter.EventuallyEq.trans (by
|
rw [condexpL1_congr_ae hm h]
|
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
exact (condexp_ae_eq_condexpL1 hm f).trans
(Filter.EventuallyEq.trans (by
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.192_0.yd50cWAuCo6hlry
|
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m]
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f✝ g : α → F'
s : Set α
hm : m ≤ m0
hμm : SigmaFinite (Measure.trim μ hm)
f : α → F'
hf : AEStronglyMeasurable' m f μ
hfi : Integrable f
⊢ μ[f|m] =ᵐ[μ] f
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
exact (condexp_ae_eq_condexpL1 hm f).trans
(Filter.EventuallyEq.trans (by rw [condexpL1_congr_ae hm h])
(condexp_ae_eq_condexpL1 hm g).symm)
#align measure_theory.condexp_congr_ae MeasureTheory.condexp_congr_ae
theorem condexp_of_aestronglyMeasurable' (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : AEStronglyMeasurable' m f μ) (hfi : Integrable f μ) : μ[f|m] =ᵐ[μ] f := by
|
refine' ((condexp_congr_ae hf.ae_eq_mk).trans _).trans hf.ae_eq_mk.symm
|
theorem condexp_of_aestronglyMeasurable' (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : AEStronglyMeasurable' m f μ) (hfi : Integrable f μ) : μ[f|m] =ᵐ[μ] f := by
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.203_0.yd50cWAuCo6hlry
|
theorem condexp_of_aestronglyMeasurable' (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : AEStronglyMeasurable' m f μ) (hfi : Integrable f μ) : μ[f|m] =ᵐ[μ] f
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f✝ g : α → F'
s : Set α
hm : m ≤ m0
hμm : SigmaFinite (Measure.trim μ hm)
f : α → F'
hf : AEStronglyMeasurable' m f μ
hfi : Integrable f
⊢ μ[AEStronglyMeasurable'.mk f hf|m] =ᵐ[μ] AEStronglyMeasurable'.mk f hf
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
exact (condexp_ae_eq_condexpL1 hm f).trans
(Filter.EventuallyEq.trans (by rw [condexpL1_congr_ae hm h])
(condexp_ae_eq_condexpL1 hm g).symm)
#align measure_theory.condexp_congr_ae MeasureTheory.condexp_congr_ae
theorem condexp_of_aestronglyMeasurable' (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : AEStronglyMeasurable' m f μ) (hfi : Integrable f μ) : μ[f|m] =ᵐ[μ] f := by
refine' ((condexp_congr_ae hf.ae_eq_mk).trans _).trans hf.ae_eq_mk.symm
|
rw [condexp_of_stronglyMeasurable hm hf.stronglyMeasurable_mk
((integrable_congr hf.ae_eq_mk).mp hfi)]
|
theorem condexp_of_aestronglyMeasurable' (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : AEStronglyMeasurable' m f μ) (hfi : Integrable f μ) : μ[f|m] =ᵐ[μ] f := by
refine' ((condexp_congr_ae hf.ae_eq_mk).trans _).trans hf.ae_eq_mk.symm
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.203_0.yd50cWAuCo6hlry
|
theorem condexp_of_aestronglyMeasurable' (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : AEStronglyMeasurable' m f μ) (hfi : Integrable f μ) : μ[f|m] =ᵐ[μ] f
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
⊢ Integrable (μ[f|m])
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
exact (condexp_ae_eq_condexpL1 hm f).trans
(Filter.EventuallyEq.trans (by rw [condexpL1_congr_ae hm h])
(condexp_ae_eq_condexpL1 hm g).symm)
#align measure_theory.condexp_congr_ae MeasureTheory.condexp_congr_ae
theorem condexp_of_aestronglyMeasurable' (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : AEStronglyMeasurable' m f μ) (hfi : Integrable f μ) : μ[f|m] =ᵐ[μ] f := by
refine' ((condexp_congr_ae hf.ae_eq_mk).trans _).trans hf.ae_eq_mk.symm
rw [condexp_of_stronglyMeasurable hm hf.stronglyMeasurable_mk
((integrable_congr hf.ae_eq_mk).mp hfi)]
#align measure_theory.condexp_of_ae_strongly_measurable' MeasureTheory.condexp_of_aestronglyMeasurable'
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
|
by_cases hm : m ≤ m0
|
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.210_0.yd50cWAuCo6hlry
|
theorem integrable_condexp : Integrable (μ[f|m]) μ
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case pos
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
hm : m ≤ m0
⊢ Integrable (μ[f|m])
case neg
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
hm : ¬m ≤ m0
⊢ Integrable (μ[f|m])
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
exact (condexp_ae_eq_condexpL1 hm f).trans
(Filter.EventuallyEq.trans (by rw [condexpL1_congr_ae hm h])
(condexp_ae_eq_condexpL1 hm g).symm)
#align measure_theory.condexp_congr_ae MeasureTheory.condexp_congr_ae
theorem condexp_of_aestronglyMeasurable' (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : AEStronglyMeasurable' m f μ) (hfi : Integrable f μ) : μ[f|m] =ᵐ[μ] f := by
refine' ((condexp_congr_ae hf.ae_eq_mk).trans _).trans hf.ae_eq_mk.symm
rw [condexp_of_stronglyMeasurable hm hf.stronglyMeasurable_mk
((integrable_congr hf.ae_eq_mk).mp hfi)]
#align measure_theory.condexp_of_ae_strongly_measurable' MeasureTheory.condexp_of_aestronglyMeasurable'
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
by_cases hm : m ≤ m0
|
swap
|
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
by_cases hm : m ≤ m0
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.210_0.yd50cWAuCo6hlry
|
theorem integrable_condexp : Integrable (μ[f|m]) μ
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case neg
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
hm : ¬m ≤ m0
⊢ Integrable (μ[f|m])
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
exact (condexp_ae_eq_condexpL1 hm f).trans
(Filter.EventuallyEq.trans (by rw [condexpL1_congr_ae hm h])
(condexp_ae_eq_condexpL1 hm g).symm)
#align measure_theory.condexp_congr_ae MeasureTheory.condexp_congr_ae
theorem condexp_of_aestronglyMeasurable' (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : AEStronglyMeasurable' m f μ) (hfi : Integrable f μ) : μ[f|m] =ᵐ[μ] f := by
refine' ((condexp_congr_ae hf.ae_eq_mk).trans _).trans hf.ae_eq_mk.symm
rw [condexp_of_stronglyMeasurable hm hf.stronglyMeasurable_mk
((integrable_congr hf.ae_eq_mk).mp hfi)]
#align measure_theory.condexp_of_ae_strongly_measurable' MeasureTheory.condexp_of_aestronglyMeasurable'
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
by_cases hm : m ≤ m0
swap; ·
|
rw [condexp_of_not_le hm]
|
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
by_cases hm : m ≤ m0
swap; ·
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.210_0.yd50cWAuCo6hlry
|
theorem integrable_condexp : Integrable (μ[f|m]) μ
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case neg
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
hm : ¬m ≤ m0
⊢ Integrable 0
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
exact (condexp_ae_eq_condexpL1 hm f).trans
(Filter.EventuallyEq.trans (by rw [condexpL1_congr_ae hm h])
(condexp_ae_eq_condexpL1 hm g).symm)
#align measure_theory.condexp_congr_ae MeasureTheory.condexp_congr_ae
theorem condexp_of_aestronglyMeasurable' (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : AEStronglyMeasurable' m f μ) (hfi : Integrable f μ) : μ[f|m] =ᵐ[μ] f := by
refine' ((condexp_congr_ae hf.ae_eq_mk).trans _).trans hf.ae_eq_mk.symm
rw [condexp_of_stronglyMeasurable hm hf.stronglyMeasurable_mk
((integrable_congr hf.ae_eq_mk).mp hfi)]
#align measure_theory.condexp_of_ae_strongly_measurable' MeasureTheory.condexp_of_aestronglyMeasurable'
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm];
|
exact integrable_zero _ _ _
|
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm];
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.210_0.yd50cWAuCo6hlry
|
theorem integrable_condexp : Integrable (μ[f|m]) μ
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case pos
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
hm : m ≤ m0
⊢ Integrable (μ[f|m])
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
exact (condexp_ae_eq_condexpL1 hm f).trans
(Filter.EventuallyEq.trans (by rw [condexpL1_congr_ae hm h])
(condexp_ae_eq_condexpL1 hm g).symm)
#align measure_theory.condexp_congr_ae MeasureTheory.condexp_congr_ae
theorem condexp_of_aestronglyMeasurable' (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : AEStronglyMeasurable' m f μ) (hfi : Integrable f μ) : μ[f|m] =ᵐ[μ] f := by
refine' ((condexp_congr_ae hf.ae_eq_mk).trans _).trans hf.ae_eq_mk.symm
rw [condexp_of_stronglyMeasurable hm hf.stronglyMeasurable_mk
((integrable_congr hf.ae_eq_mk).mp hfi)]
#align measure_theory.condexp_of_ae_strongly_measurable' MeasureTheory.condexp_of_aestronglyMeasurable'
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact integrable_zero _ _ _
|
by_cases hμm : SigmaFinite (μ.trim hm)
|
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact integrable_zero _ _ _
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.210_0.yd50cWAuCo6hlry
|
theorem integrable_condexp : Integrable (μ[f|m]) μ
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case pos
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
hm : m ≤ m0
hμm : SigmaFinite (Measure.trim μ hm)
⊢ Integrable (μ[f|m])
case neg
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
hm : m ≤ m0
hμm : ¬SigmaFinite (Measure.trim μ hm)
⊢ Integrable (μ[f|m])
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
exact (condexp_ae_eq_condexpL1 hm f).trans
(Filter.EventuallyEq.trans (by rw [condexpL1_congr_ae hm h])
(condexp_ae_eq_condexpL1 hm g).symm)
#align measure_theory.condexp_congr_ae MeasureTheory.condexp_congr_ae
theorem condexp_of_aestronglyMeasurable' (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : AEStronglyMeasurable' m f μ) (hfi : Integrable f μ) : μ[f|m] =ᵐ[μ] f := by
refine' ((condexp_congr_ae hf.ae_eq_mk).trans _).trans hf.ae_eq_mk.symm
rw [condexp_of_stronglyMeasurable hm hf.stronglyMeasurable_mk
((integrable_congr hf.ae_eq_mk).mp hfi)]
#align measure_theory.condexp_of_ae_strongly_measurable' MeasureTheory.condexp_of_aestronglyMeasurable'
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact integrable_zero _ _ _
by_cases hμm : SigmaFinite (μ.trim hm)
|
swap
|
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact integrable_zero _ _ _
by_cases hμm : SigmaFinite (μ.trim hm)
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.210_0.yd50cWAuCo6hlry
|
theorem integrable_condexp : Integrable (μ[f|m]) μ
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case neg
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
hm : m ≤ m0
hμm : ¬SigmaFinite (Measure.trim μ hm)
⊢ Integrable (μ[f|m])
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
exact (condexp_ae_eq_condexpL1 hm f).trans
(Filter.EventuallyEq.trans (by rw [condexpL1_congr_ae hm h])
(condexp_ae_eq_condexpL1 hm g).symm)
#align measure_theory.condexp_congr_ae MeasureTheory.condexp_congr_ae
theorem condexp_of_aestronglyMeasurable' (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : AEStronglyMeasurable' m f μ) (hfi : Integrable f μ) : μ[f|m] =ᵐ[μ] f := by
refine' ((condexp_congr_ae hf.ae_eq_mk).trans _).trans hf.ae_eq_mk.symm
rw [condexp_of_stronglyMeasurable hm hf.stronglyMeasurable_mk
((integrable_congr hf.ae_eq_mk).mp hfi)]
#align measure_theory.condexp_of_ae_strongly_measurable' MeasureTheory.condexp_of_aestronglyMeasurable'
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact integrable_zero _ _ _
by_cases hμm : SigmaFinite (μ.trim hm)
swap; ·
|
rw [condexp_of_not_sigmaFinite hm hμm]
|
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact integrable_zero _ _ _
by_cases hμm : SigmaFinite (μ.trim hm)
swap; ·
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.210_0.yd50cWAuCo6hlry
|
theorem integrable_condexp : Integrable (μ[f|m]) μ
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case neg
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
hm : m ≤ m0
hμm : ¬SigmaFinite (Measure.trim μ hm)
⊢ Integrable 0
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
exact (condexp_ae_eq_condexpL1 hm f).trans
(Filter.EventuallyEq.trans (by rw [condexpL1_congr_ae hm h])
(condexp_ae_eq_condexpL1 hm g).symm)
#align measure_theory.condexp_congr_ae MeasureTheory.condexp_congr_ae
theorem condexp_of_aestronglyMeasurable' (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : AEStronglyMeasurable' m f μ) (hfi : Integrable f μ) : μ[f|m] =ᵐ[μ] f := by
refine' ((condexp_congr_ae hf.ae_eq_mk).trans _).trans hf.ae_eq_mk.symm
rw [condexp_of_stronglyMeasurable hm hf.stronglyMeasurable_mk
((integrable_congr hf.ae_eq_mk).mp hfi)]
#align measure_theory.condexp_of_ae_strongly_measurable' MeasureTheory.condexp_of_aestronglyMeasurable'
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact integrable_zero _ _ _
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm];
|
exact integrable_zero _ _ _
|
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact integrable_zero _ _ _
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm];
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.210_0.yd50cWAuCo6hlry
|
theorem integrable_condexp : Integrable (μ[f|m]) μ
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case pos
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
hm : m ≤ m0
hμm : SigmaFinite (Measure.trim μ hm)
⊢ Integrable (μ[f|m])
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
exact (condexp_ae_eq_condexpL1 hm f).trans
(Filter.EventuallyEq.trans (by rw [condexpL1_congr_ae hm h])
(condexp_ae_eq_condexpL1 hm g).symm)
#align measure_theory.condexp_congr_ae MeasureTheory.condexp_congr_ae
theorem condexp_of_aestronglyMeasurable' (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : AEStronglyMeasurable' m f μ) (hfi : Integrable f μ) : μ[f|m] =ᵐ[μ] f := by
refine' ((condexp_congr_ae hf.ae_eq_mk).trans _).trans hf.ae_eq_mk.symm
rw [condexp_of_stronglyMeasurable hm hf.stronglyMeasurable_mk
((integrable_congr hf.ae_eq_mk).mp hfi)]
#align measure_theory.condexp_of_ae_strongly_measurable' MeasureTheory.condexp_of_aestronglyMeasurable'
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact integrable_zero _ _ _
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact integrable_zero _ _ _
|
haveI : SigmaFinite (μ.trim hm) := hμm
|
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact integrable_zero _ _ _
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact integrable_zero _ _ _
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.210_0.yd50cWAuCo6hlry
|
theorem integrable_condexp : Integrable (μ[f|m]) μ
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case pos
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
hm : m ≤ m0
hμm this : SigmaFinite (Measure.trim μ hm)
⊢ Integrable (μ[f|m])
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
exact (condexp_ae_eq_condexpL1 hm f).trans
(Filter.EventuallyEq.trans (by rw [condexpL1_congr_ae hm h])
(condexp_ae_eq_condexpL1 hm g).symm)
#align measure_theory.condexp_congr_ae MeasureTheory.condexp_congr_ae
theorem condexp_of_aestronglyMeasurable' (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : AEStronglyMeasurable' m f μ) (hfi : Integrable f μ) : μ[f|m] =ᵐ[μ] f := by
refine' ((condexp_congr_ae hf.ae_eq_mk).trans _).trans hf.ae_eq_mk.symm
rw [condexp_of_stronglyMeasurable hm hf.stronglyMeasurable_mk
((integrable_congr hf.ae_eq_mk).mp hfi)]
#align measure_theory.condexp_of_ae_strongly_measurable' MeasureTheory.condexp_of_aestronglyMeasurable'
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact integrable_zero _ _ _
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact integrable_zero _ _ _
haveI : SigmaFinite (μ.trim hm) := hμm
|
exact (integrable_condexpL1 f).congr (condexp_ae_eq_condexpL1 hm f).symm
|
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact integrable_zero _ _ _
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact integrable_zero _ _ _
haveI : SigmaFinite (μ.trim hm) := hμm
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.210_0.yd50cWAuCo6hlry
|
theorem integrable_condexp : Integrable (μ[f|m]) μ
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁷ : IsROrC 𝕜
inst✝⁶ : NormedAddCommGroup F
inst✝⁵ : NormedSpace 𝕜 F
inst✝⁴ : NormedAddCommGroup F'
inst✝³ : NormedSpace 𝕜 F'
inst✝² : NormedSpace ℝ F'
inst✝¹ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
hm : m ≤ m0
inst✝ : SigmaFinite (Measure.trim μ hm)
hf : Integrable f
hs : MeasurableSet s
⊢ ∫ (x : α) in s, (μ[f|m]) x ∂μ = ∫ (x : α) in s, f x ∂μ
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
exact (condexp_ae_eq_condexpL1 hm f).trans
(Filter.EventuallyEq.trans (by rw [condexpL1_congr_ae hm h])
(condexp_ae_eq_condexpL1 hm g).symm)
#align measure_theory.condexp_congr_ae MeasureTheory.condexp_congr_ae
theorem condexp_of_aestronglyMeasurable' (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : AEStronglyMeasurable' m f μ) (hfi : Integrable f μ) : μ[f|m] =ᵐ[μ] f := by
refine' ((condexp_congr_ae hf.ae_eq_mk).trans _).trans hf.ae_eq_mk.symm
rw [condexp_of_stronglyMeasurable hm hf.stronglyMeasurable_mk
((integrable_congr hf.ae_eq_mk).mp hfi)]
#align measure_theory.condexp_of_ae_strongly_measurable' MeasureTheory.condexp_of_aestronglyMeasurable'
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact integrable_zero _ _ _
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact integrable_zero _ _ _
haveI : SigmaFinite (μ.trim hm) := hμm
exact (integrable_condexpL1 f).congr (condexp_ae_eq_condexpL1 hm f).symm
#align measure_theory.integrable_condexp MeasureTheory.integrable_condexp
/-- The integral of the conditional expectation `μ[f|hm]` over an `m`-measurable set is equal to
the integral of `f` on that set. -/
theorem set_integral_condexp (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ)
(hs : MeasurableSet[m] s) : ∫ x in s, (μ[f|m]) x ∂μ = ∫ x in s, f x ∂μ := by
|
rw [set_integral_congr_ae (hm s hs) ((condexp_ae_eq_condexpL1 hm f).mono fun x hx _ => hx)]
|
/-- The integral of the conditional expectation `μ[f|hm]` over an `m`-measurable set is equal to
the integral of `f` on that set. -/
theorem set_integral_condexp (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ)
(hs : MeasurableSet[m] s) : ∫ x in s, (μ[f|m]) x ∂μ = ∫ x in s, f x ∂μ := by
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.219_0.yd50cWAuCo6hlry
|
/-- The integral of the conditional expectation `μ[f|hm]` over an `m`-measurable set is equal to
the integral of `f` on that set. -/
theorem set_integral_condexp (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ)
(hs : MeasurableSet[m] s) : ∫ x in s, (μ[f|m]) x ∂μ = ∫ x in s, f x ∂μ
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁷ : IsROrC 𝕜
inst✝⁶ : NormedAddCommGroup F
inst✝⁵ : NormedSpace 𝕜 F
inst✝⁴ : NormedAddCommGroup F'
inst✝³ : NormedSpace 𝕜 F'
inst✝² : NormedSpace ℝ F'
inst✝¹ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
hm : m ≤ m0
inst✝ : SigmaFinite (Measure.trim μ hm)
hf : Integrable f
hs : MeasurableSet s
⊢ ∫ (x : α) in s, ↑↑(condexpL1 hm μ f) x ∂μ = ∫ (x : α) in s, f x ∂μ
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
exact (condexp_ae_eq_condexpL1 hm f).trans
(Filter.EventuallyEq.trans (by rw [condexpL1_congr_ae hm h])
(condexp_ae_eq_condexpL1 hm g).symm)
#align measure_theory.condexp_congr_ae MeasureTheory.condexp_congr_ae
theorem condexp_of_aestronglyMeasurable' (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : AEStronglyMeasurable' m f μ) (hfi : Integrable f μ) : μ[f|m] =ᵐ[μ] f := by
refine' ((condexp_congr_ae hf.ae_eq_mk).trans _).trans hf.ae_eq_mk.symm
rw [condexp_of_stronglyMeasurable hm hf.stronglyMeasurable_mk
((integrable_congr hf.ae_eq_mk).mp hfi)]
#align measure_theory.condexp_of_ae_strongly_measurable' MeasureTheory.condexp_of_aestronglyMeasurable'
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact integrable_zero _ _ _
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact integrable_zero _ _ _
haveI : SigmaFinite (μ.trim hm) := hμm
exact (integrable_condexpL1 f).congr (condexp_ae_eq_condexpL1 hm f).symm
#align measure_theory.integrable_condexp MeasureTheory.integrable_condexp
/-- The integral of the conditional expectation `μ[f|hm]` over an `m`-measurable set is equal to
the integral of `f` on that set. -/
theorem set_integral_condexp (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ)
(hs : MeasurableSet[m] s) : ∫ x in s, (μ[f|m]) x ∂μ = ∫ x in s, f x ∂μ := by
rw [set_integral_congr_ae (hm s hs) ((condexp_ae_eq_condexpL1 hm f).mono fun x hx _ => hx)]
|
exact set_integral_condexpL1 hf hs
|
/-- The integral of the conditional expectation `μ[f|hm]` over an `m`-measurable set is equal to
the integral of `f` on that set. -/
theorem set_integral_condexp (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ)
(hs : MeasurableSet[m] s) : ∫ x in s, (μ[f|m]) x ∂μ = ∫ x in s, f x ∂μ := by
rw [set_integral_congr_ae (hm s hs) ((condexp_ae_eq_condexpL1 hm f).mono fun x hx _ => hx)]
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.219_0.yd50cWAuCo6hlry
|
/-- The integral of the conditional expectation `μ[f|hm]` over an `m`-measurable set is equal to
the integral of `f` on that set. -/
theorem set_integral_condexp (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ)
(hs : MeasurableSet[m] s) : ∫ x in s, (μ[f|m]) x ∂μ = ∫ x in s, f x ∂μ
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
hm : m ≤ m0
hμm : SigmaFinite (Measure.trim μ hm)
hf : Integrable f
⊢ ∫ (x : α), (μ[f|m]) x ∂μ = ∫ (x : α), f x ∂μ
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
exact (condexp_ae_eq_condexpL1 hm f).trans
(Filter.EventuallyEq.trans (by rw [condexpL1_congr_ae hm h])
(condexp_ae_eq_condexpL1 hm g).symm)
#align measure_theory.condexp_congr_ae MeasureTheory.condexp_congr_ae
theorem condexp_of_aestronglyMeasurable' (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : AEStronglyMeasurable' m f μ) (hfi : Integrable f μ) : μ[f|m] =ᵐ[μ] f := by
refine' ((condexp_congr_ae hf.ae_eq_mk).trans _).trans hf.ae_eq_mk.symm
rw [condexp_of_stronglyMeasurable hm hf.stronglyMeasurable_mk
((integrable_congr hf.ae_eq_mk).mp hfi)]
#align measure_theory.condexp_of_ae_strongly_measurable' MeasureTheory.condexp_of_aestronglyMeasurable'
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact integrable_zero _ _ _
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact integrable_zero _ _ _
haveI : SigmaFinite (μ.trim hm) := hμm
exact (integrable_condexpL1 f).congr (condexp_ae_eq_condexpL1 hm f).symm
#align measure_theory.integrable_condexp MeasureTheory.integrable_condexp
/-- The integral of the conditional expectation `μ[f|hm]` over an `m`-measurable set is equal to
the integral of `f` on that set. -/
theorem set_integral_condexp (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ)
(hs : MeasurableSet[m] s) : ∫ x in s, (μ[f|m]) x ∂μ = ∫ x in s, f x ∂μ := by
rw [set_integral_congr_ae (hm s hs) ((condexp_ae_eq_condexpL1 hm f).mono fun x hx _ => hx)]
exact set_integral_condexpL1 hf hs
#align measure_theory.set_integral_condexp MeasureTheory.set_integral_condexp
theorem integral_condexp (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
∫ x, (μ[f|m]) x ∂μ = ∫ x, f x ∂μ := by
|
suffices ∫ x in Set.univ, (μ[f|m]) x ∂μ = ∫ x in Set.univ, f x ∂μ by
simp_rw [integral_univ] at this; exact this
|
theorem integral_condexp (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
∫ x, (μ[f|m]) x ∂μ = ∫ x, f x ∂μ := by
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.227_0.yd50cWAuCo6hlry
|
theorem integral_condexp (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
∫ x, (μ[f|m]) x ∂μ = ∫ x, f x ∂μ
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
hm : m ≤ m0
hμm : SigmaFinite (Measure.trim μ hm)
hf : Integrable f
this : ∫ (x : α) in Set.univ, (μ[f|m]) x ∂μ = ∫ (x : α) in Set.univ, f x ∂μ
⊢ ∫ (x : α), (μ[f|m]) x ∂μ = ∫ (x : α), f x ∂μ
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
exact (condexp_ae_eq_condexpL1 hm f).trans
(Filter.EventuallyEq.trans (by rw [condexpL1_congr_ae hm h])
(condexp_ae_eq_condexpL1 hm g).symm)
#align measure_theory.condexp_congr_ae MeasureTheory.condexp_congr_ae
theorem condexp_of_aestronglyMeasurable' (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : AEStronglyMeasurable' m f μ) (hfi : Integrable f μ) : μ[f|m] =ᵐ[μ] f := by
refine' ((condexp_congr_ae hf.ae_eq_mk).trans _).trans hf.ae_eq_mk.symm
rw [condexp_of_stronglyMeasurable hm hf.stronglyMeasurable_mk
((integrable_congr hf.ae_eq_mk).mp hfi)]
#align measure_theory.condexp_of_ae_strongly_measurable' MeasureTheory.condexp_of_aestronglyMeasurable'
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact integrable_zero _ _ _
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact integrable_zero _ _ _
haveI : SigmaFinite (μ.trim hm) := hμm
exact (integrable_condexpL1 f).congr (condexp_ae_eq_condexpL1 hm f).symm
#align measure_theory.integrable_condexp MeasureTheory.integrable_condexp
/-- The integral of the conditional expectation `μ[f|hm]` over an `m`-measurable set is equal to
the integral of `f` on that set. -/
theorem set_integral_condexp (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ)
(hs : MeasurableSet[m] s) : ∫ x in s, (μ[f|m]) x ∂μ = ∫ x in s, f x ∂μ := by
rw [set_integral_congr_ae (hm s hs) ((condexp_ae_eq_condexpL1 hm f).mono fun x hx _ => hx)]
exact set_integral_condexpL1 hf hs
#align measure_theory.set_integral_condexp MeasureTheory.set_integral_condexp
theorem integral_condexp (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
∫ x, (μ[f|m]) x ∂μ = ∫ x, f x ∂μ := by
suffices ∫ x in Set.univ, (μ[f|m]) x ∂μ = ∫ x in Set.univ, f x ∂μ by
|
simp_rw [integral_univ] at this
|
theorem integral_condexp (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
∫ x, (μ[f|m]) x ∂μ = ∫ x, f x ∂μ := by
suffices ∫ x in Set.univ, (μ[f|m]) x ∂μ = ∫ x in Set.univ, f x ∂μ by
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.227_0.yd50cWAuCo6hlry
|
theorem integral_condexp (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
∫ x, (μ[f|m]) x ∂μ = ∫ x, f x ∂μ
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
hm : m ≤ m0
hμm : SigmaFinite (Measure.trim μ hm)
hf : Integrable f
this : ∫ (x : α), (μ[f|m]) x ∂μ = ∫ (x : α), f x ∂μ
⊢ ∫ (x : α), (μ[f|m]) x ∂μ = ∫ (x : α), f x ∂μ
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
exact (condexp_ae_eq_condexpL1 hm f).trans
(Filter.EventuallyEq.trans (by rw [condexpL1_congr_ae hm h])
(condexp_ae_eq_condexpL1 hm g).symm)
#align measure_theory.condexp_congr_ae MeasureTheory.condexp_congr_ae
theorem condexp_of_aestronglyMeasurable' (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : AEStronglyMeasurable' m f μ) (hfi : Integrable f μ) : μ[f|m] =ᵐ[μ] f := by
refine' ((condexp_congr_ae hf.ae_eq_mk).trans _).trans hf.ae_eq_mk.symm
rw [condexp_of_stronglyMeasurable hm hf.stronglyMeasurable_mk
((integrable_congr hf.ae_eq_mk).mp hfi)]
#align measure_theory.condexp_of_ae_strongly_measurable' MeasureTheory.condexp_of_aestronglyMeasurable'
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact integrable_zero _ _ _
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact integrable_zero _ _ _
haveI : SigmaFinite (μ.trim hm) := hμm
exact (integrable_condexpL1 f).congr (condexp_ae_eq_condexpL1 hm f).symm
#align measure_theory.integrable_condexp MeasureTheory.integrable_condexp
/-- The integral of the conditional expectation `μ[f|hm]` over an `m`-measurable set is equal to
the integral of `f` on that set. -/
theorem set_integral_condexp (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ)
(hs : MeasurableSet[m] s) : ∫ x in s, (μ[f|m]) x ∂μ = ∫ x in s, f x ∂μ := by
rw [set_integral_congr_ae (hm s hs) ((condexp_ae_eq_condexpL1 hm f).mono fun x hx _ => hx)]
exact set_integral_condexpL1 hf hs
#align measure_theory.set_integral_condexp MeasureTheory.set_integral_condexp
theorem integral_condexp (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
∫ x, (μ[f|m]) x ∂μ = ∫ x, f x ∂μ := by
suffices ∫ x in Set.univ, (μ[f|m]) x ∂μ = ∫ x in Set.univ, f x ∂μ by
simp_rw [integral_univ] at this;
|
exact this
|
theorem integral_condexp (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
∫ x, (μ[f|m]) x ∂μ = ∫ x, f x ∂μ := by
suffices ∫ x in Set.univ, (μ[f|m]) x ∂μ = ∫ x in Set.univ, f x ∂μ by
simp_rw [integral_univ] at this;
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.227_0.yd50cWAuCo6hlry
|
theorem integral_condexp (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
∫ x, (μ[f|m]) x ∂μ = ∫ x, f x ∂μ
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
hm : m ≤ m0
hμm : SigmaFinite (Measure.trim μ hm)
hf : Integrable f
⊢ ∫ (x : α) in Set.univ, (μ[f|m]) x ∂μ = ∫ (x : α) in Set.univ, f x ∂μ
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
exact (condexp_ae_eq_condexpL1 hm f).trans
(Filter.EventuallyEq.trans (by rw [condexpL1_congr_ae hm h])
(condexp_ae_eq_condexpL1 hm g).symm)
#align measure_theory.condexp_congr_ae MeasureTheory.condexp_congr_ae
theorem condexp_of_aestronglyMeasurable' (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : AEStronglyMeasurable' m f μ) (hfi : Integrable f μ) : μ[f|m] =ᵐ[μ] f := by
refine' ((condexp_congr_ae hf.ae_eq_mk).trans _).trans hf.ae_eq_mk.symm
rw [condexp_of_stronglyMeasurable hm hf.stronglyMeasurable_mk
((integrable_congr hf.ae_eq_mk).mp hfi)]
#align measure_theory.condexp_of_ae_strongly_measurable' MeasureTheory.condexp_of_aestronglyMeasurable'
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact integrable_zero _ _ _
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact integrable_zero _ _ _
haveI : SigmaFinite (μ.trim hm) := hμm
exact (integrable_condexpL1 f).congr (condexp_ae_eq_condexpL1 hm f).symm
#align measure_theory.integrable_condexp MeasureTheory.integrable_condexp
/-- The integral of the conditional expectation `μ[f|hm]` over an `m`-measurable set is equal to
the integral of `f` on that set. -/
theorem set_integral_condexp (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ)
(hs : MeasurableSet[m] s) : ∫ x in s, (μ[f|m]) x ∂μ = ∫ x in s, f x ∂μ := by
rw [set_integral_congr_ae (hm s hs) ((condexp_ae_eq_condexpL1 hm f).mono fun x hx _ => hx)]
exact set_integral_condexpL1 hf hs
#align measure_theory.set_integral_condexp MeasureTheory.set_integral_condexp
theorem integral_condexp (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
∫ x, (μ[f|m]) x ∂μ = ∫ x, f x ∂μ := by
suffices ∫ x in Set.univ, (μ[f|m]) x ∂μ = ∫ x in Set.univ, f x ∂μ by
simp_rw [integral_univ] at this; exact this
|
exact set_integral_condexp hm hf (@MeasurableSet.univ _ m)
|
theorem integral_condexp (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
∫ x, (μ[f|m]) x ∂μ = ∫ x, f x ∂μ := by
suffices ∫ x in Set.univ, (μ[f|m]) x ∂μ = ∫ x in Set.univ, f x ∂μ by
simp_rw [integral_univ] at this; exact this
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.227_0.yd50cWAuCo6hlry
|
theorem integral_condexp (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
∫ x, (μ[f|m]) x ∂μ = ∫ x, f x ∂μ
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁷ : IsROrC 𝕜
inst✝⁶ : NormedAddCommGroup F
inst✝⁵ : NormedSpace 𝕜 F
inst✝⁴ : NormedAddCommGroup F'
inst✝³ : NormedSpace 𝕜 F'
inst✝² : NormedSpace ℝ F'
inst✝¹ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f✝ g✝ : α → F'
s : Set α
hm : m ≤ m0
inst✝ : SigmaFinite (Measure.trim μ hm)
f g : α → F'
hf : Integrable f
hg_int_finite : ∀ (s : Set α), MeasurableSet s → ↑↑μ s < ⊤ → IntegrableOn g s
hg_eq : ∀ (s : Set α), MeasurableSet s → ↑↑μ s < ⊤ → ∫ (x : α) in s, g x ∂μ = ∫ (x : α) in s, f x ∂μ
hgm : AEStronglyMeasurable' m g μ
⊢ g =ᵐ[μ] μ[f|m]
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
exact (condexp_ae_eq_condexpL1 hm f).trans
(Filter.EventuallyEq.trans (by rw [condexpL1_congr_ae hm h])
(condexp_ae_eq_condexpL1 hm g).symm)
#align measure_theory.condexp_congr_ae MeasureTheory.condexp_congr_ae
theorem condexp_of_aestronglyMeasurable' (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : AEStronglyMeasurable' m f μ) (hfi : Integrable f μ) : μ[f|m] =ᵐ[μ] f := by
refine' ((condexp_congr_ae hf.ae_eq_mk).trans _).trans hf.ae_eq_mk.symm
rw [condexp_of_stronglyMeasurable hm hf.stronglyMeasurable_mk
((integrable_congr hf.ae_eq_mk).mp hfi)]
#align measure_theory.condexp_of_ae_strongly_measurable' MeasureTheory.condexp_of_aestronglyMeasurable'
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact integrable_zero _ _ _
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact integrable_zero _ _ _
haveI : SigmaFinite (μ.trim hm) := hμm
exact (integrable_condexpL1 f).congr (condexp_ae_eq_condexpL1 hm f).symm
#align measure_theory.integrable_condexp MeasureTheory.integrable_condexp
/-- The integral of the conditional expectation `μ[f|hm]` over an `m`-measurable set is equal to
the integral of `f` on that set. -/
theorem set_integral_condexp (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ)
(hs : MeasurableSet[m] s) : ∫ x in s, (μ[f|m]) x ∂μ = ∫ x in s, f x ∂μ := by
rw [set_integral_congr_ae (hm s hs) ((condexp_ae_eq_condexpL1 hm f).mono fun x hx _ => hx)]
exact set_integral_condexpL1 hf hs
#align measure_theory.set_integral_condexp MeasureTheory.set_integral_condexp
theorem integral_condexp (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
∫ x, (μ[f|m]) x ∂μ = ∫ x, f x ∂μ := by
suffices ∫ x in Set.univ, (μ[f|m]) x ∂μ = ∫ x in Set.univ, f x ∂μ by
simp_rw [integral_univ] at this; exact this
exact set_integral_condexp hm hf (@MeasurableSet.univ _ m)
#align measure_theory.integral_condexp MeasureTheory.integral_condexp
/-- **Uniqueness of the conditional expectation**
If a function is a.e. `m`-measurable, verifies an integrability condition and has same integral
as `f` on all `m`-measurable sets, then it is a.e. equal to `μ[f|hm]`. -/
theorem ae_eq_condexp_of_forall_set_integral_eq (hm : m ≤ m0) [SigmaFinite (μ.trim hm)]
{f g : α → F'} (hf : Integrable f μ)
(hg_int_finite : ∀ s, MeasurableSet[m] s → μ s < ∞ → IntegrableOn g s μ)
(hg_eq : ∀ s : Set α, MeasurableSet[m] s → μ s < ∞ → ∫ x in s, g x ∂μ = ∫ x in s, f x ∂μ)
(hgm : AEStronglyMeasurable' m g μ) : g =ᵐ[μ] μ[f|m] := by
|
refine' ae_eq_of_forall_set_integral_eq_of_sigmaFinite' hm hg_int_finite
(fun s _ _ => integrable_condexp.integrableOn) (fun s hs hμs => _) hgm
(StronglyMeasurable.aeStronglyMeasurable' stronglyMeasurable_condexp)
|
/-- **Uniqueness of the conditional expectation**
If a function is a.e. `m`-measurable, verifies an integrability condition and has same integral
as `f` on all `m`-measurable sets, then it is a.e. equal to `μ[f|hm]`. -/
theorem ae_eq_condexp_of_forall_set_integral_eq (hm : m ≤ m0) [SigmaFinite (μ.trim hm)]
{f g : α → F'} (hf : Integrable f μ)
(hg_int_finite : ∀ s, MeasurableSet[m] s → μ s < ∞ → IntegrableOn g s μ)
(hg_eq : ∀ s : Set α, MeasurableSet[m] s → μ s < ∞ → ∫ x in s, g x ∂μ = ∫ x in s, f x ∂μ)
(hgm : AEStronglyMeasurable' m g μ) : g =ᵐ[μ] μ[f|m] := by
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.234_0.yd50cWAuCo6hlry
|
/-- **Uniqueness of the conditional expectation**
If a function is a.e. `m`-measurable, verifies an integrability condition and has same integral
as `f` on all `m`-measurable sets, then it is a.e. equal to `μ[f|hm]`. -/
theorem ae_eq_condexp_of_forall_set_integral_eq (hm : m ≤ m0) [SigmaFinite (μ.trim hm)]
{f g : α → F'} (hf : Integrable f μ)
(hg_int_finite : ∀ s, MeasurableSet[m] s → μ s < ∞ → IntegrableOn g s μ)
(hg_eq : ∀ s : Set α, MeasurableSet[m] s → μ s < ∞ → ∫ x in s, g x ∂μ = ∫ x in s, f x ∂μ)
(hgm : AEStronglyMeasurable' m g μ) : g =ᵐ[μ] μ[f|m]
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁷ : IsROrC 𝕜
inst✝⁶ : NormedAddCommGroup F
inst✝⁵ : NormedSpace 𝕜 F
inst✝⁴ : NormedAddCommGroup F'
inst✝³ : NormedSpace 𝕜 F'
inst✝² : NormedSpace ℝ F'
inst✝¹ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f✝ g✝ : α → F'
s✝ : Set α
hm : m ≤ m0
inst✝ : SigmaFinite (Measure.trim μ hm)
f g : α → F'
hf : Integrable f
hg_int_finite : ∀ (s : Set α), MeasurableSet s → ↑↑μ s < ⊤ → IntegrableOn g s
hg_eq : ∀ (s : Set α), MeasurableSet s → ↑↑μ s < ⊤ → ∫ (x : α) in s, g x ∂μ = ∫ (x : α) in s, f x ∂μ
hgm : AEStronglyMeasurable' m g μ
s : Set α
hs : MeasurableSet s
hμs : ↑↑μ s < ⊤
⊢ ∫ (x : α) in s, g x ∂μ = ∫ (x : α) in s, (μ[f|m]) x ∂μ
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
exact (condexp_ae_eq_condexpL1 hm f).trans
(Filter.EventuallyEq.trans (by rw [condexpL1_congr_ae hm h])
(condexp_ae_eq_condexpL1 hm g).symm)
#align measure_theory.condexp_congr_ae MeasureTheory.condexp_congr_ae
theorem condexp_of_aestronglyMeasurable' (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : AEStronglyMeasurable' m f μ) (hfi : Integrable f μ) : μ[f|m] =ᵐ[μ] f := by
refine' ((condexp_congr_ae hf.ae_eq_mk).trans _).trans hf.ae_eq_mk.symm
rw [condexp_of_stronglyMeasurable hm hf.stronglyMeasurable_mk
((integrable_congr hf.ae_eq_mk).mp hfi)]
#align measure_theory.condexp_of_ae_strongly_measurable' MeasureTheory.condexp_of_aestronglyMeasurable'
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact integrable_zero _ _ _
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact integrable_zero _ _ _
haveI : SigmaFinite (μ.trim hm) := hμm
exact (integrable_condexpL1 f).congr (condexp_ae_eq_condexpL1 hm f).symm
#align measure_theory.integrable_condexp MeasureTheory.integrable_condexp
/-- The integral of the conditional expectation `μ[f|hm]` over an `m`-measurable set is equal to
the integral of `f` on that set. -/
theorem set_integral_condexp (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ)
(hs : MeasurableSet[m] s) : ∫ x in s, (μ[f|m]) x ∂μ = ∫ x in s, f x ∂μ := by
rw [set_integral_congr_ae (hm s hs) ((condexp_ae_eq_condexpL1 hm f).mono fun x hx _ => hx)]
exact set_integral_condexpL1 hf hs
#align measure_theory.set_integral_condexp MeasureTheory.set_integral_condexp
theorem integral_condexp (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
∫ x, (μ[f|m]) x ∂μ = ∫ x, f x ∂μ := by
suffices ∫ x in Set.univ, (μ[f|m]) x ∂μ = ∫ x in Set.univ, f x ∂μ by
simp_rw [integral_univ] at this; exact this
exact set_integral_condexp hm hf (@MeasurableSet.univ _ m)
#align measure_theory.integral_condexp MeasureTheory.integral_condexp
/-- **Uniqueness of the conditional expectation**
If a function is a.e. `m`-measurable, verifies an integrability condition and has same integral
as `f` on all `m`-measurable sets, then it is a.e. equal to `μ[f|hm]`. -/
theorem ae_eq_condexp_of_forall_set_integral_eq (hm : m ≤ m0) [SigmaFinite (μ.trim hm)]
{f g : α → F'} (hf : Integrable f μ)
(hg_int_finite : ∀ s, MeasurableSet[m] s → μ s < ∞ → IntegrableOn g s μ)
(hg_eq : ∀ s : Set α, MeasurableSet[m] s → μ s < ∞ → ∫ x in s, g x ∂μ = ∫ x in s, f x ∂μ)
(hgm : AEStronglyMeasurable' m g μ) : g =ᵐ[μ] μ[f|m] := by
refine' ae_eq_of_forall_set_integral_eq_of_sigmaFinite' hm hg_int_finite
(fun s _ _ => integrable_condexp.integrableOn) (fun s hs hμs => _) hgm
(StronglyMeasurable.aeStronglyMeasurable' stronglyMeasurable_condexp)
|
rw [hg_eq s hs hμs, set_integral_condexp hm hf hs]
|
/-- **Uniqueness of the conditional expectation**
If a function is a.e. `m`-measurable, verifies an integrability condition and has same integral
as `f` on all `m`-measurable sets, then it is a.e. equal to `μ[f|hm]`. -/
theorem ae_eq_condexp_of_forall_set_integral_eq (hm : m ≤ m0) [SigmaFinite (μ.trim hm)]
{f g : α → F'} (hf : Integrable f μ)
(hg_int_finite : ∀ s, MeasurableSet[m] s → μ s < ∞ → IntegrableOn g s μ)
(hg_eq : ∀ s : Set α, MeasurableSet[m] s → μ s < ∞ → ∫ x in s, g x ∂μ = ∫ x in s, f x ∂μ)
(hgm : AEStronglyMeasurable' m g μ) : g =ᵐ[μ] μ[f|m] := by
refine' ae_eq_of_forall_set_integral_eq_of_sigmaFinite' hm hg_int_finite
(fun s _ _ => integrable_condexp.integrableOn) (fun s hs hμs => _) hgm
(StronglyMeasurable.aeStronglyMeasurable' stronglyMeasurable_condexp)
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.234_0.yd50cWAuCo6hlry
|
/-- **Uniqueness of the conditional expectation**
If a function is a.e. `m`-measurable, verifies an integrability condition and has same integral
as `f` on all `m`-measurable sets, then it is a.e. equal to `μ[f|hm]`. -/
theorem ae_eq_condexp_of_forall_set_integral_eq (hm : m ≤ m0) [SigmaFinite (μ.trim hm)]
{f g : α → F'} (hf : Integrable f μ)
(hg_int_finite : ∀ s, MeasurableSet[m] s → μ s < ∞ → IntegrableOn g s μ)
(hg_eq : ∀ s : Set α, MeasurableSet[m] s → μ s < ∞ → ∫ x in s, g x ∂μ = ∫ x in s, f x ∂μ)
(hgm : AEStronglyMeasurable' m g μ) : g =ᵐ[μ] μ[f|m]
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f✝ g : α → F'
s : Set α
hμ : NeZero μ
f : α → F'
⊢ μ[f|⊥] = fun x => (ENNReal.toReal (↑↑μ Set.univ))⁻¹ • ∫ (x : α), f x ∂μ
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
exact (condexp_ae_eq_condexpL1 hm f).trans
(Filter.EventuallyEq.trans (by rw [condexpL1_congr_ae hm h])
(condexp_ae_eq_condexpL1 hm g).symm)
#align measure_theory.condexp_congr_ae MeasureTheory.condexp_congr_ae
theorem condexp_of_aestronglyMeasurable' (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : AEStronglyMeasurable' m f μ) (hfi : Integrable f μ) : μ[f|m] =ᵐ[μ] f := by
refine' ((condexp_congr_ae hf.ae_eq_mk).trans _).trans hf.ae_eq_mk.symm
rw [condexp_of_stronglyMeasurable hm hf.stronglyMeasurable_mk
((integrable_congr hf.ae_eq_mk).mp hfi)]
#align measure_theory.condexp_of_ae_strongly_measurable' MeasureTheory.condexp_of_aestronglyMeasurable'
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact integrable_zero _ _ _
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact integrable_zero _ _ _
haveI : SigmaFinite (μ.trim hm) := hμm
exact (integrable_condexpL1 f).congr (condexp_ae_eq_condexpL1 hm f).symm
#align measure_theory.integrable_condexp MeasureTheory.integrable_condexp
/-- The integral of the conditional expectation `μ[f|hm]` over an `m`-measurable set is equal to
the integral of `f` on that set. -/
theorem set_integral_condexp (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ)
(hs : MeasurableSet[m] s) : ∫ x in s, (μ[f|m]) x ∂μ = ∫ x in s, f x ∂μ := by
rw [set_integral_congr_ae (hm s hs) ((condexp_ae_eq_condexpL1 hm f).mono fun x hx _ => hx)]
exact set_integral_condexpL1 hf hs
#align measure_theory.set_integral_condexp MeasureTheory.set_integral_condexp
theorem integral_condexp (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
∫ x, (μ[f|m]) x ∂μ = ∫ x, f x ∂μ := by
suffices ∫ x in Set.univ, (μ[f|m]) x ∂μ = ∫ x in Set.univ, f x ∂μ by
simp_rw [integral_univ] at this; exact this
exact set_integral_condexp hm hf (@MeasurableSet.univ _ m)
#align measure_theory.integral_condexp MeasureTheory.integral_condexp
/-- **Uniqueness of the conditional expectation**
If a function is a.e. `m`-measurable, verifies an integrability condition and has same integral
as `f` on all `m`-measurable sets, then it is a.e. equal to `μ[f|hm]`. -/
theorem ae_eq_condexp_of_forall_set_integral_eq (hm : m ≤ m0) [SigmaFinite (μ.trim hm)]
{f g : α → F'} (hf : Integrable f μ)
(hg_int_finite : ∀ s, MeasurableSet[m] s → μ s < ∞ → IntegrableOn g s μ)
(hg_eq : ∀ s : Set α, MeasurableSet[m] s → μ s < ∞ → ∫ x in s, g x ∂μ = ∫ x in s, f x ∂μ)
(hgm : AEStronglyMeasurable' m g μ) : g =ᵐ[μ] μ[f|m] := by
refine' ae_eq_of_forall_set_integral_eq_of_sigmaFinite' hm hg_int_finite
(fun s _ _ => integrable_condexp.integrableOn) (fun s hs hμs => _) hgm
(StronglyMeasurable.aeStronglyMeasurable' stronglyMeasurable_condexp)
rw [hg_eq s hs hμs, set_integral_condexp hm hf hs]
#align measure_theory.ae_eq_condexp_of_forall_set_integral_eq MeasureTheory.ae_eq_condexp_of_forall_set_integral_eq
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
|
by_cases hμ_finite : IsFiniteMeasure μ
|
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.248_0.yd50cWAuCo6hlry
|
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case pos
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f✝ g : α → F'
s : Set α
hμ : NeZero μ
f : α → F'
hμ_finite : IsFiniteMeasure μ
⊢ μ[f|⊥] = fun x => (ENNReal.toReal (↑↑μ Set.univ))⁻¹ • ∫ (x : α), f x ∂μ
case neg
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f✝ g : α → F'
s : Set α
hμ : NeZero μ
f : α → F'
hμ_finite : ¬IsFiniteMeasure μ
⊢ μ[f|⊥] = fun x => (ENNReal.toReal (↑↑μ Set.univ))⁻¹ • ∫ (x : α), f x ∂μ
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
exact (condexp_ae_eq_condexpL1 hm f).trans
(Filter.EventuallyEq.trans (by rw [condexpL1_congr_ae hm h])
(condexp_ae_eq_condexpL1 hm g).symm)
#align measure_theory.condexp_congr_ae MeasureTheory.condexp_congr_ae
theorem condexp_of_aestronglyMeasurable' (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : AEStronglyMeasurable' m f μ) (hfi : Integrable f μ) : μ[f|m] =ᵐ[μ] f := by
refine' ((condexp_congr_ae hf.ae_eq_mk).trans _).trans hf.ae_eq_mk.symm
rw [condexp_of_stronglyMeasurable hm hf.stronglyMeasurable_mk
((integrable_congr hf.ae_eq_mk).mp hfi)]
#align measure_theory.condexp_of_ae_strongly_measurable' MeasureTheory.condexp_of_aestronglyMeasurable'
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact integrable_zero _ _ _
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact integrable_zero _ _ _
haveI : SigmaFinite (μ.trim hm) := hμm
exact (integrable_condexpL1 f).congr (condexp_ae_eq_condexpL1 hm f).symm
#align measure_theory.integrable_condexp MeasureTheory.integrable_condexp
/-- The integral of the conditional expectation `μ[f|hm]` over an `m`-measurable set is equal to
the integral of `f` on that set. -/
theorem set_integral_condexp (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ)
(hs : MeasurableSet[m] s) : ∫ x in s, (μ[f|m]) x ∂μ = ∫ x in s, f x ∂μ := by
rw [set_integral_congr_ae (hm s hs) ((condexp_ae_eq_condexpL1 hm f).mono fun x hx _ => hx)]
exact set_integral_condexpL1 hf hs
#align measure_theory.set_integral_condexp MeasureTheory.set_integral_condexp
theorem integral_condexp (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
∫ x, (μ[f|m]) x ∂μ = ∫ x, f x ∂μ := by
suffices ∫ x in Set.univ, (μ[f|m]) x ∂μ = ∫ x in Set.univ, f x ∂μ by
simp_rw [integral_univ] at this; exact this
exact set_integral_condexp hm hf (@MeasurableSet.univ _ m)
#align measure_theory.integral_condexp MeasureTheory.integral_condexp
/-- **Uniqueness of the conditional expectation**
If a function is a.e. `m`-measurable, verifies an integrability condition and has same integral
as `f` on all `m`-measurable sets, then it is a.e. equal to `μ[f|hm]`. -/
theorem ae_eq_condexp_of_forall_set_integral_eq (hm : m ≤ m0) [SigmaFinite (μ.trim hm)]
{f g : α → F'} (hf : Integrable f μ)
(hg_int_finite : ∀ s, MeasurableSet[m] s → μ s < ∞ → IntegrableOn g s μ)
(hg_eq : ∀ s : Set α, MeasurableSet[m] s → μ s < ∞ → ∫ x in s, g x ∂μ = ∫ x in s, f x ∂μ)
(hgm : AEStronglyMeasurable' m g μ) : g =ᵐ[μ] μ[f|m] := by
refine' ae_eq_of_forall_set_integral_eq_of_sigmaFinite' hm hg_int_finite
(fun s _ _ => integrable_condexp.integrableOn) (fun s hs hμs => _) hgm
(StronglyMeasurable.aeStronglyMeasurable' stronglyMeasurable_condexp)
rw [hg_eq s hs hμs, set_integral_condexp hm hf hs]
#align measure_theory.ae_eq_condexp_of_forall_set_integral_eq MeasureTheory.ae_eq_condexp_of_forall_set_integral_eq
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
by_cases hμ_finite : IsFiniteMeasure μ
|
swap
|
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
by_cases hμ_finite : IsFiniteMeasure μ
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.248_0.yd50cWAuCo6hlry
|
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case neg
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f✝ g : α → F'
s : Set α
hμ : NeZero μ
f : α → F'
hμ_finite : ¬IsFiniteMeasure μ
⊢ μ[f|⊥] = fun x => (ENNReal.toReal (↑↑μ Set.univ))⁻¹ • ∫ (x : α), f x ∂μ
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
exact (condexp_ae_eq_condexpL1 hm f).trans
(Filter.EventuallyEq.trans (by rw [condexpL1_congr_ae hm h])
(condexp_ae_eq_condexpL1 hm g).symm)
#align measure_theory.condexp_congr_ae MeasureTheory.condexp_congr_ae
theorem condexp_of_aestronglyMeasurable' (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : AEStronglyMeasurable' m f μ) (hfi : Integrable f μ) : μ[f|m] =ᵐ[μ] f := by
refine' ((condexp_congr_ae hf.ae_eq_mk).trans _).trans hf.ae_eq_mk.symm
rw [condexp_of_stronglyMeasurable hm hf.stronglyMeasurable_mk
((integrable_congr hf.ae_eq_mk).mp hfi)]
#align measure_theory.condexp_of_ae_strongly_measurable' MeasureTheory.condexp_of_aestronglyMeasurable'
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact integrable_zero _ _ _
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact integrable_zero _ _ _
haveI : SigmaFinite (μ.trim hm) := hμm
exact (integrable_condexpL1 f).congr (condexp_ae_eq_condexpL1 hm f).symm
#align measure_theory.integrable_condexp MeasureTheory.integrable_condexp
/-- The integral of the conditional expectation `μ[f|hm]` over an `m`-measurable set is equal to
the integral of `f` on that set. -/
theorem set_integral_condexp (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ)
(hs : MeasurableSet[m] s) : ∫ x in s, (μ[f|m]) x ∂μ = ∫ x in s, f x ∂μ := by
rw [set_integral_congr_ae (hm s hs) ((condexp_ae_eq_condexpL1 hm f).mono fun x hx _ => hx)]
exact set_integral_condexpL1 hf hs
#align measure_theory.set_integral_condexp MeasureTheory.set_integral_condexp
theorem integral_condexp (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
∫ x, (μ[f|m]) x ∂μ = ∫ x, f x ∂μ := by
suffices ∫ x in Set.univ, (μ[f|m]) x ∂μ = ∫ x in Set.univ, f x ∂μ by
simp_rw [integral_univ] at this; exact this
exact set_integral_condexp hm hf (@MeasurableSet.univ _ m)
#align measure_theory.integral_condexp MeasureTheory.integral_condexp
/-- **Uniqueness of the conditional expectation**
If a function is a.e. `m`-measurable, verifies an integrability condition and has same integral
as `f` on all `m`-measurable sets, then it is a.e. equal to `μ[f|hm]`. -/
theorem ae_eq_condexp_of_forall_set_integral_eq (hm : m ≤ m0) [SigmaFinite (μ.trim hm)]
{f g : α → F'} (hf : Integrable f μ)
(hg_int_finite : ∀ s, MeasurableSet[m] s → μ s < ∞ → IntegrableOn g s μ)
(hg_eq : ∀ s : Set α, MeasurableSet[m] s → μ s < ∞ → ∫ x in s, g x ∂μ = ∫ x in s, f x ∂μ)
(hgm : AEStronglyMeasurable' m g μ) : g =ᵐ[μ] μ[f|m] := by
refine' ae_eq_of_forall_set_integral_eq_of_sigmaFinite' hm hg_int_finite
(fun s _ _ => integrable_condexp.integrableOn) (fun s hs hμs => _) hgm
(StronglyMeasurable.aeStronglyMeasurable' stronglyMeasurable_condexp)
rw [hg_eq s hs hμs, set_integral_condexp hm hf hs]
#align measure_theory.ae_eq_condexp_of_forall_set_integral_eq MeasureTheory.ae_eq_condexp_of_forall_set_integral_eq
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
by_cases hμ_finite : IsFiniteMeasure μ
swap
·
|
have h : ¬SigmaFinite (μ.trim bot_le) := by rwa [sigmaFinite_trim_bot_iff]
|
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
by_cases hμ_finite : IsFiniteMeasure μ
swap
·
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.248_0.yd50cWAuCo6hlry
|
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f✝ g : α → F'
s : Set α
hμ : NeZero μ
f : α → F'
hμ_finite : ¬IsFiniteMeasure μ
⊢ ¬SigmaFinite (Measure.trim μ (_ : ⊥ ≤ m0))
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
exact (condexp_ae_eq_condexpL1 hm f).trans
(Filter.EventuallyEq.trans (by rw [condexpL1_congr_ae hm h])
(condexp_ae_eq_condexpL1 hm g).symm)
#align measure_theory.condexp_congr_ae MeasureTheory.condexp_congr_ae
theorem condexp_of_aestronglyMeasurable' (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : AEStronglyMeasurable' m f μ) (hfi : Integrable f μ) : μ[f|m] =ᵐ[μ] f := by
refine' ((condexp_congr_ae hf.ae_eq_mk).trans _).trans hf.ae_eq_mk.symm
rw [condexp_of_stronglyMeasurable hm hf.stronglyMeasurable_mk
((integrable_congr hf.ae_eq_mk).mp hfi)]
#align measure_theory.condexp_of_ae_strongly_measurable' MeasureTheory.condexp_of_aestronglyMeasurable'
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact integrable_zero _ _ _
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact integrable_zero _ _ _
haveI : SigmaFinite (μ.trim hm) := hμm
exact (integrable_condexpL1 f).congr (condexp_ae_eq_condexpL1 hm f).symm
#align measure_theory.integrable_condexp MeasureTheory.integrable_condexp
/-- The integral of the conditional expectation `μ[f|hm]` over an `m`-measurable set is equal to
the integral of `f` on that set. -/
theorem set_integral_condexp (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ)
(hs : MeasurableSet[m] s) : ∫ x in s, (μ[f|m]) x ∂μ = ∫ x in s, f x ∂μ := by
rw [set_integral_congr_ae (hm s hs) ((condexp_ae_eq_condexpL1 hm f).mono fun x hx _ => hx)]
exact set_integral_condexpL1 hf hs
#align measure_theory.set_integral_condexp MeasureTheory.set_integral_condexp
theorem integral_condexp (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
∫ x, (μ[f|m]) x ∂μ = ∫ x, f x ∂μ := by
suffices ∫ x in Set.univ, (μ[f|m]) x ∂μ = ∫ x in Set.univ, f x ∂μ by
simp_rw [integral_univ] at this; exact this
exact set_integral_condexp hm hf (@MeasurableSet.univ _ m)
#align measure_theory.integral_condexp MeasureTheory.integral_condexp
/-- **Uniqueness of the conditional expectation**
If a function is a.e. `m`-measurable, verifies an integrability condition and has same integral
as `f` on all `m`-measurable sets, then it is a.e. equal to `μ[f|hm]`. -/
theorem ae_eq_condexp_of_forall_set_integral_eq (hm : m ≤ m0) [SigmaFinite (μ.trim hm)]
{f g : α → F'} (hf : Integrable f μ)
(hg_int_finite : ∀ s, MeasurableSet[m] s → μ s < ∞ → IntegrableOn g s μ)
(hg_eq : ∀ s : Set α, MeasurableSet[m] s → μ s < ∞ → ∫ x in s, g x ∂μ = ∫ x in s, f x ∂μ)
(hgm : AEStronglyMeasurable' m g μ) : g =ᵐ[μ] μ[f|m] := by
refine' ae_eq_of_forall_set_integral_eq_of_sigmaFinite' hm hg_int_finite
(fun s _ _ => integrable_condexp.integrableOn) (fun s hs hμs => _) hgm
(StronglyMeasurable.aeStronglyMeasurable' stronglyMeasurable_condexp)
rw [hg_eq s hs hμs, set_integral_condexp hm hf hs]
#align measure_theory.ae_eq_condexp_of_forall_set_integral_eq MeasureTheory.ae_eq_condexp_of_forall_set_integral_eq
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
by_cases hμ_finite : IsFiniteMeasure μ
swap
· have h : ¬SigmaFinite (μ.trim bot_le) := by
|
rwa [sigmaFinite_trim_bot_iff]
|
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
by_cases hμ_finite : IsFiniteMeasure μ
swap
· have h : ¬SigmaFinite (μ.trim bot_le) := by
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.248_0.yd50cWAuCo6hlry
|
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case neg
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f✝ g : α → F'
s : Set α
hμ : NeZero μ
f : α → F'
hμ_finite : ¬IsFiniteMeasure μ
h : ¬SigmaFinite (Measure.trim μ (_ : ⊥ ≤ m0))
⊢ μ[f|⊥] = fun x => (ENNReal.toReal (↑↑μ Set.univ))⁻¹ • ∫ (x : α), f x ∂μ
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
exact (condexp_ae_eq_condexpL1 hm f).trans
(Filter.EventuallyEq.trans (by rw [condexpL1_congr_ae hm h])
(condexp_ae_eq_condexpL1 hm g).symm)
#align measure_theory.condexp_congr_ae MeasureTheory.condexp_congr_ae
theorem condexp_of_aestronglyMeasurable' (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : AEStronglyMeasurable' m f μ) (hfi : Integrable f μ) : μ[f|m] =ᵐ[μ] f := by
refine' ((condexp_congr_ae hf.ae_eq_mk).trans _).trans hf.ae_eq_mk.symm
rw [condexp_of_stronglyMeasurable hm hf.stronglyMeasurable_mk
((integrable_congr hf.ae_eq_mk).mp hfi)]
#align measure_theory.condexp_of_ae_strongly_measurable' MeasureTheory.condexp_of_aestronglyMeasurable'
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact integrable_zero _ _ _
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact integrable_zero _ _ _
haveI : SigmaFinite (μ.trim hm) := hμm
exact (integrable_condexpL1 f).congr (condexp_ae_eq_condexpL1 hm f).symm
#align measure_theory.integrable_condexp MeasureTheory.integrable_condexp
/-- The integral of the conditional expectation `μ[f|hm]` over an `m`-measurable set is equal to
the integral of `f` on that set. -/
theorem set_integral_condexp (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ)
(hs : MeasurableSet[m] s) : ∫ x in s, (μ[f|m]) x ∂μ = ∫ x in s, f x ∂μ := by
rw [set_integral_congr_ae (hm s hs) ((condexp_ae_eq_condexpL1 hm f).mono fun x hx _ => hx)]
exact set_integral_condexpL1 hf hs
#align measure_theory.set_integral_condexp MeasureTheory.set_integral_condexp
theorem integral_condexp (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
∫ x, (μ[f|m]) x ∂μ = ∫ x, f x ∂μ := by
suffices ∫ x in Set.univ, (μ[f|m]) x ∂μ = ∫ x in Set.univ, f x ∂μ by
simp_rw [integral_univ] at this; exact this
exact set_integral_condexp hm hf (@MeasurableSet.univ _ m)
#align measure_theory.integral_condexp MeasureTheory.integral_condexp
/-- **Uniqueness of the conditional expectation**
If a function is a.e. `m`-measurable, verifies an integrability condition and has same integral
as `f` on all `m`-measurable sets, then it is a.e. equal to `μ[f|hm]`. -/
theorem ae_eq_condexp_of_forall_set_integral_eq (hm : m ≤ m0) [SigmaFinite (μ.trim hm)]
{f g : α → F'} (hf : Integrable f μ)
(hg_int_finite : ∀ s, MeasurableSet[m] s → μ s < ∞ → IntegrableOn g s μ)
(hg_eq : ∀ s : Set α, MeasurableSet[m] s → μ s < ∞ → ∫ x in s, g x ∂μ = ∫ x in s, f x ∂μ)
(hgm : AEStronglyMeasurable' m g μ) : g =ᵐ[μ] μ[f|m] := by
refine' ae_eq_of_forall_set_integral_eq_of_sigmaFinite' hm hg_int_finite
(fun s _ _ => integrable_condexp.integrableOn) (fun s hs hμs => _) hgm
(StronglyMeasurable.aeStronglyMeasurable' stronglyMeasurable_condexp)
rw [hg_eq s hs hμs, set_integral_condexp hm hf hs]
#align measure_theory.ae_eq_condexp_of_forall_set_integral_eq MeasureTheory.ae_eq_condexp_of_forall_set_integral_eq
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
by_cases hμ_finite : IsFiniteMeasure μ
swap
· have h : ¬SigmaFinite (μ.trim bot_le) := by rwa [sigmaFinite_trim_bot_iff]
|
rw [not_isFiniteMeasure_iff] at hμ_finite
|
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
by_cases hμ_finite : IsFiniteMeasure μ
swap
· have h : ¬SigmaFinite (μ.trim bot_le) := by rwa [sigmaFinite_trim_bot_iff]
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.248_0.yd50cWAuCo6hlry
|
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case neg
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f✝ g : α → F'
s : Set α
hμ : NeZero μ
f : α → F'
hμ_finite : ↑↑μ Set.univ = ⊤
h : ¬SigmaFinite (Measure.trim μ (_ : ⊥ ≤ m0))
⊢ μ[f|⊥] = fun x => (ENNReal.toReal (↑↑μ Set.univ))⁻¹ • ∫ (x : α), f x ∂μ
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
exact (condexp_ae_eq_condexpL1 hm f).trans
(Filter.EventuallyEq.trans (by rw [condexpL1_congr_ae hm h])
(condexp_ae_eq_condexpL1 hm g).symm)
#align measure_theory.condexp_congr_ae MeasureTheory.condexp_congr_ae
theorem condexp_of_aestronglyMeasurable' (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : AEStronglyMeasurable' m f μ) (hfi : Integrable f μ) : μ[f|m] =ᵐ[μ] f := by
refine' ((condexp_congr_ae hf.ae_eq_mk).trans _).trans hf.ae_eq_mk.symm
rw [condexp_of_stronglyMeasurable hm hf.stronglyMeasurable_mk
((integrable_congr hf.ae_eq_mk).mp hfi)]
#align measure_theory.condexp_of_ae_strongly_measurable' MeasureTheory.condexp_of_aestronglyMeasurable'
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact integrable_zero _ _ _
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact integrable_zero _ _ _
haveI : SigmaFinite (μ.trim hm) := hμm
exact (integrable_condexpL1 f).congr (condexp_ae_eq_condexpL1 hm f).symm
#align measure_theory.integrable_condexp MeasureTheory.integrable_condexp
/-- The integral of the conditional expectation `μ[f|hm]` over an `m`-measurable set is equal to
the integral of `f` on that set. -/
theorem set_integral_condexp (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ)
(hs : MeasurableSet[m] s) : ∫ x in s, (μ[f|m]) x ∂μ = ∫ x in s, f x ∂μ := by
rw [set_integral_congr_ae (hm s hs) ((condexp_ae_eq_condexpL1 hm f).mono fun x hx _ => hx)]
exact set_integral_condexpL1 hf hs
#align measure_theory.set_integral_condexp MeasureTheory.set_integral_condexp
theorem integral_condexp (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
∫ x, (μ[f|m]) x ∂μ = ∫ x, f x ∂μ := by
suffices ∫ x in Set.univ, (μ[f|m]) x ∂μ = ∫ x in Set.univ, f x ∂μ by
simp_rw [integral_univ] at this; exact this
exact set_integral_condexp hm hf (@MeasurableSet.univ _ m)
#align measure_theory.integral_condexp MeasureTheory.integral_condexp
/-- **Uniqueness of the conditional expectation**
If a function is a.e. `m`-measurable, verifies an integrability condition and has same integral
as `f` on all `m`-measurable sets, then it is a.e. equal to `μ[f|hm]`. -/
theorem ae_eq_condexp_of_forall_set_integral_eq (hm : m ≤ m0) [SigmaFinite (μ.trim hm)]
{f g : α → F'} (hf : Integrable f μ)
(hg_int_finite : ∀ s, MeasurableSet[m] s → μ s < ∞ → IntegrableOn g s μ)
(hg_eq : ∀ s : Set α, MeasurableSet[m] s → μ s < ∞ → ∫ x in s, g x ∂μ = ∫ x in s, f x ∂μ)
(hgm : AEStronglyMeasurable' m g μ) : g =ᵐ[μ] μ[f|m] := by
refine' ae_eq_of_forall_set_integral_eq_of_sigmaFinite' hm hg_int_finite
(fun s _ _ => integrable_condexp.integrableOn) (fun s hs hμs => _) hgm
(StronglyMeasurable.aeStronglyMeasurable' stronglyMeasurable_condexp)
rw [hg_eq s hs hμs, set_integral_condexp hm hf hs]
#align measure_theory.ae_eq_condexp_of_forall_set_integral_eq MeasureTheory.ae_eq_condexp_of_forall_set_integral_eq
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
by_cases hμ_finite : IsFiniteMeasure μ
swap
· have h : ¬SigmaFinite (μ.trim bot_le) := by rwa [sigmaFinite_trim_bot_iff]
rw [not_isFiniteMeasure_iff] at hμ_finite
|
rw [condexp_of_not_sigmaFinite bot_le h]
|
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
by_cases hμ_finite : IsFiniteMeasure μ
swap
· have h : ¬SigmaFinite (μ.trim bot_le) := by rwa [sigmaFinite_trim_bot_iff]
rw [not_isFiniteMeasure_iff] at hμ_finite
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.248_0.yd50cWAuCo6hlry
|
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case neg
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f✝ g : α → F'
s : Set α
hμ : NeZero μ
f : α → F'
hμ_finite : ↑↑μ Set.univ = ⊤
h : ¬SigmaFinite (Measure.trim μ (_ : ⊥ ≤ m0))
⊢ 0 = fun x => (ENNReal.toReal (↑↑μ Set.univ))⁻¹ • ∫ (x : α), f x ∂μ
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
exact (condexp_ae_eq_condexpL1 hm f).trans
(Filter.EventuallyEq.trans (by rw [condexpL1_congr_ae hm h])
(condexp_ae_eq_condexpL1 hm g).symm)
#align measure_theory.condexp_congr_ae MeasureTheory.condexp_congr_ae
theorem condexp_of_aestronglyMeasurable' (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : AEStronglyMeasurable' m f μ) (hfi : Integrable f μ) : μ[f|m] =ᵐ[μ] f := by
refine' ((condexp_congr_ae hf.ae_eq_mk).trans _).trans hf.ae_eq_mk.symm
rw [condexp_of_stronglyMeasurable hm hf.stronglyMeasurable_mk
((integrable_congr hf.ae_eq_mk).mp hfi)]
#align measure_theory.condexp_of_ae_strongly_measurable' MeasureTheory.condexp_of_aestronglyMeasurable'
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact integrable_zero _ _ _
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact integrable_zero _ _ _
haveI : SigmaFinite (μ.trim hm) := hμm
exact (integrable_condexpL1 f).congr (condexp_ae_eq_condexpL1 hm f).symm
#align measure_theory.integrable_condexp MeasureTheory.integrable_condexp
/-- The integral of the conditional expectation `μ[f|hm]` over an `m`-measurable set is equal to
the integral of `f` on that set. -/
theorem set_integral_condexp (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ)
(hs : MeasurableSet[m] s) : ∫ x in s, (μ[f|m]) x ∂μ = ∫ x in s, f x ∂μ := by
rw [set_integral_congr_ae (hm s hs) ((condexp_ae_eq_condexpL1 hm f).mono fun x hx _ => hx)]
exact set_integral_condexpL1 hf hs
#align measure_theory.set_integral_condexp MeasureTheory.set_integral_condexp
theorem integral_condexp (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
∫ x, (μ[f|m]) x ∂μ = ∫ x, f x ∂μ := by
suffices ∫ x in Set.univ, (μ[f|m]) x ∂μ = ∫ x in Set.univ, f x ∂μ by
simp_rw [integral_univ] at this; exact this
exact set_integral_condexp hm hf (@MeasurableSet.univ _ m)
#align measure_theory.integral_condexp MeasureTheory.integral_condexp
/-- **Uniqueness of the conditional expectation**
If a function is a.e. `m`-measurable, verifies an integrability condition and has same integral
as `f` on all `m`-measurable sets, then it is a.e. equal to `μ[f|hm]`. -/
theorem ae_eq_condexp_of_forall_set_integral_eq (hm : m ≤ m0) [SigmaFinite (μ.trim hm)]
{f g : α → F'} (hf : Integrable f μ)
(hg_int_finite : ∀ s, MeasurableSet[m] s → μ s < ∞ → IntegrableOn g s μ)
(hg_eq : ∀ s : Set α, MeasurableSet[m] s → μ s < ∞ → ∫ x in s, g x ∂μ = ∫ x in s, f x ∂μ)
(hgm : AEStronglyMeasurable' m g μ) : g =ᵐ[μ] μ[f|m] := by
refine' ae_eq_of_forall_set_integral_eq_of_sigmaFinite' hm hg_int_finite
(fun s _ _ => integrable_condexp.integrableOn) (fun s hs hμs => _) hgm
(StronglyMeasurable.aeStronglyMeasurable' stronglyMeasurable_condexp)
rw [hg_eq s hs hμs, set_integral_condexp hm hf hs]
#align measure_theory.ae_eq_condexp_of_forall_set_integral_eq MeasureTheory.ae_eq_condexp_of_forall_set_integral_eq
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
by_cases hμ_finite : IsFiniteMeasure μ
swap
· have h : ¬SigmaFinite (μ.trim bot_le) := by rwa [sigmaFinite_trim_bot_iff]
rw [not_isFiniteMeasure_iff] at hμ_finite
rw [condexp_of_not_sigmaFinite bot_le h]
|
simp only [hμ_finite, ENNReal.top_toReal, inv_zero, zero_smul]
|
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
by_cases hμ_finite : IsFiniteMeasure μ
swap
· have h : ¬SigmaFinite (μ.trim bot_le) := by rwa [sigmaFinite_trim_bot_iff]
rw [not_isFiniteMeasure_iff] at hμ_finite
rw [condexp_of_not_sigmaFinite bot_le h]
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.248_0.yd50cWAuCo6hlry
|
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case neg
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f✝ g : α → F'
s : Set α
hμ : NeZero μ
f : α → F'
hμ_finite : ↑↑μ Set.univ = ⊤
h : ¬SigmaFinite (Measure.trim μ (_ : ⊥ ≤ m0))
⊢ 0 = fun x => 0
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
exact (condexp_ae_eq_condexpL1 hm f).trans
(Filter.EventuallyEq.trans (by rw [condexpL1_congr_ae hm h])
(condexp_ae_eq_condexpL1 hm g).symm)
#align measure_theory.condexp_congr_ae MeasureTheory.condexp_congr_ae
theorem condexp_of_aestronglyMeasurable' (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : AEStronglyMeasurable' m f μ) (hfi : Integrable f μ) : μ[f|m] =ᵐ[μ] f := by
refine' ((condexp_congr_ae hf.ae_eq_mk).trans _).trans hf.ae_eq_mk.symm
rw [condexp_of_stronglyMeasurable hm hf.stronglyMeasurable_mk
((integrable_congr hf.ae_eq_mk).mp hfi)]
#align measure_theory.condexp_of_ae_strongly_measurable' MeasureTheory.condexp_of_aestronglyMeasurable'
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact integrable_zero _ _ _
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact integrable_zero _ _ _
haveI : SigmaFinite (μ.trim hm) := hμm
exact (integrable_condexpL1 f).congr (condexp_ae_eq_condexpL1 hm f).symm
#align measure_theory.integrable_condexp MeasureTheory.integrable_condexp
/-- The integral of the conditional expectation `μ[f|hm]` over an `m`-measurable set is equal to
the integral of `f` on that set. -/
theorem set_integral_condexp (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ)
(hs : MeasurableSet[m] s) : ∫ x in s, (μ[f|m]) x ∂μ = ∫ x in s, f x ∂μ := by
rw [set_integral_congr_ae (hm s hs) ((condexp_ae_eq_condexpL1 hm f).mono fun x hx _ => hx)]
exact set_integral_condexpL1 hf hs
#align measure_theory.set_integral_condexp MeasureTheory.set_integral_condexp
theorem integral_condexp (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
∫ x, (μ[f|m]) x ∂μ = ∫ x, f x ∂μ := by
suffices ∫ x in Set.univ, (μ[f|m]) x ∂μ = ∫ x in Set.univ, f x ∂μ by
simp_rw [integral_univ] at this; exact this
exact set_integral_condexp hm hf (@MeasurableSet.univ _ m)
#align measure_theory.integral_condexp MeasureTheory.integral_condexp
/-- **Uniqueness of the conditional expectation**
If a function is a.e. `m`-measurable, verifies an integrability condition and has same integral
as `f` on all `m`-measurable sets, then it is a.e. equal to `μ[f|hm]`. -/
theorem ae_eq_condexp_of_forall_set_integral_eq (hm : m ≤ m0) [SigmaFinite (μ.trim hm)]
{f g : α → F'} (hf : Integrable f μ)
(hg_int_finite : ∀ s, MeasurableSet[m] s → μ s < ∞ → IntegrableOn g s μ)
(hg_eq : ∀ s : Set α, MeasurableSet[m] s → μ s < ∞ → ∫ x in s, g x ∂μ = ∫ x in s, f x ∂μ)
(hgm : AEStronglyMeasurable' m g μ) : g =ᵐ[μ] μ[f|m] := by
refine' ae_eq_of_forall_set_integral_eq_of_sigmaFinite' hm hg_int_finite
(fun s _ _ => integrable_condexp.integrableOn) (fun s hs hμs => _) hgm
(StronglyMeasurable.aeStronglyMeasurable' stronglyMeasurable_condexp)
rw [hg_eq s hs hμs, set_integral_condexp hm hf hs]
#align measure_theory.ae_eq_condexp_of_forall_set_integral_eq MeasureTheory.ae_eq_condexp_of_forall_set_integral_eq
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
by_cases hμ_finite : IsFiniteMeasure μ
swap
· have h : ¬SigmaFinite (μ.trim bot_le) := by rwa [sigmaFinite_trim_bot_iff]
rw [not_isFiniteMeasure_iff] at hμ_finite
rw [condexp_of_not_sigmaFinite bot_le h]
simp only [hμ_finite, ENNReal.top_toReal, inv_zero, zero_smul]
|
rfl
|
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
by_cases hμ_finite : IsFiniteMeasure μ
swap
· have h : ¬SigmaFinite (μ.trim bot_le) := by rwa [sigmaFinite_trim_bot_iff]
rw [not_isFiniteMeasure_iff] at hμ_finite
rw [condexp_of_not_sigmaFinite bot_le h]
simp only [hμ_finite, ENNReal.top_toReal, inv_zero, zero_smul]
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.248_0.yd50cWAuCo6hlry
|
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case pos
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f✝ g : α → F'
s : Set α
hμ : NeZero μ
f : α → F'
hμ_finite : IsFiniteMeasure μ
⊢ μ[f|⊥] = fun x => (ENNReal.toReal (↑↑μ Set.univ))⁻¹ • ∫ (x : α), f x ∂μ
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
exact (condexp_ae_eq_condexpL1 hm f).trans
(Filter.EventuallyEq.trans (by rw [condexpL1_congr_ae hm h])
(condexp_ae_eq_condexpL1 hm g).symm)
#align measure_theory.condexp_congr_ae MeasureTheory.condexp_congr_ae
theorem condexp_of_aestronglyMeasurable' (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : AEStronglyMeasurable' m f μ) (hfi : Integrable f μ) : μ[f|m] =ᵐ[μ] f := by
refine' ((condexp_congr_ae hf.ae_eq_mk).trans _).trans hf.ae_eq_mk.symm
rw [condexp_of_stronglyMeasurable hm hf.stronglyMeasurable_mk
((integrable_congr hf.ae_eq_mk).mp hfi)]
#align measure_theory.condexp_of_ae_strongly_measurable' MeasureTheory.condexp_of_aestronglyMeasurable'
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact integrable_zero _ _ _
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact integrable_zero _ _ _
haveI : SigmaFinite (μ.trim hm) := hμm
exact (integrable_condexpL1 f).congr (condexp_ae_eq_condexpL1 hm f).symm
#align measure_theory.integrable_condexp MeasureTheory.integrable_condexp
/-- The integral of the conditional expectation `μ[f|hm]` over an `m`-measurable set is equal to
the integral of `f` on that set. -/
theorem set_integral_condexp (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ)
(hs : MeasurableSet[m] s) : ∫ x in s, (μ[f|m]) x ∂μ = ∫ x in s, f x ∂μ := by
rw [set_integral_congr_ae (hm s hs) ((condexp_ae_eq_condexpL1 hm f).mono fun x hx _ => hx)]
exact set_integral_condexpL1 hf hs
#align measure_theory.set_integral_condexp MeasureTheory.set_integral_condexp
theorem integral_condexp (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
∫ x, (μ[f|m]) x ∂μ = ∫ x, f x ∂μ := by
suffices ∫ x in Set.univ, (μ[f|m]) x ∂μ = ∫ x in Set.univ, f x ∂μ by
simp_rw [integral_univ] at this; exact this
exact set_integral_condexp hm hf (@MeasurableSet.univ _ m)
#align measure_theory.integral_condexp MeasureTheory.integral_condexp
/-- **Uniqueness of the conditional expectation**
If a function is a.e. `m`-measurable, verifies an integrability condition and has same integral
as `f` on all `m`-measurable sets, then it is a.e. equal to `μ[f|hm]`. -/
theorem ae_eq_condexp_of_forall_set_integral_eq (hm : m ≤ m0) [SigmaFinite (μ.trim hm)]
{f g : α → F'} (hf : Integrable f μ)
(hg_int_finite : ∀ s, MeasurableSet[m] s → μ s < ∞ → IntegrableOn g s μ)
(hg_eq : ∀ s : Set α, MeasurableSet[m] s → μ s < ∞ → ∫ x in s, g x ∂μ = ∫ x in s, f x ∂μ)
(hgm : AEStronglyMeasurable' m g μ) : g =ᵐ[μ] μ[f|m] := by
refine' ae_eq_of_forall_set_integral_eq_of_sigmaFinite' hm hg_int_finite
(fun s _ _ => integrable_condexp.integrableOn) (fun s hs hμs => _) hgm
(StronglyMeasurable.aeStronglyMeasurable' stronglyMeasurable_condexp)
rw [hg_eq s hs hμs, set_integral_condexp hm hf hs]
#align measure_theory.ae_eq_condexp_of_forall_set_integral_eq MeasureTheory.ae_eq_condexp_of_forall_set_integral_eq
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
by_cases hμ_finite : IsFiniteMeasure μ
swap
· have h : ¬SigmaFinite (μ.trim bot_le) := by rwa [sigmaFinite_trim_bot_iff]
rw [not_isFiniteMeasure_iff] at hμ_finite
rw [condexp_of_not_sigmaFinite bot_le h]
simp only [hμ_finite, ENNReal.top_toReal, inv_zero, zero_smul]
rfl
|
by_cases hf : Integrable f μ
|
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
by_cases hμ_finite : IsFiniteMeasure μ
swap
· have h : ¬SigmaFinite (μ.trim bot_le) := by rwa [sigmaFinite_trim_bot_iff]
rw [not_isFiniteMeasure_iff] at hμ_finite
rw [condexp_of_not_sigmaFinite bot_le h]
simp only [hμ_finite, ENNReal.top_toReal, inv_zero, zero_smul]
rfl
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.248_0.yd50cWAuCo6hlry
|
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case pos
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f✝ g : α → F'
s : Set α
hμ : NeZero μ
f : α → F'
hμ_finite : IsFiniteMeasure μ
hf : Integrable f
⊢ μ[f|⊥] = fun x => (ENNReal.toReal (↑↑μ Set.univ))⁻¹ • ∫ (x : α), f x ∂μ
case neg
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f✝ g : α → F'
s : Set α
hμ : NeZero μ
f : α → F'
hμ_finite : IsFiniteMeasure μ
hf : ¬Integrable f
⊢ μ[f|⊥] = fun x => (ENNReal.toReal (↑↑μ Set.univ))⁻¹ • ∫ (x : α), f x ∂μ
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
exact (condexp_ae_eq_condexpL1 hm f).trans
(Filter.EventuallyEq.trans (by rw [condexpL1_congr_ae hm h])
(condexp_ae_eq_condexpL1 hm g).symm)
#align measure_theory.condexp_congr_ae MeasureTheory.condexp_congr_ae
theorem condexp_of_aestronglyMeasurable' (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : AEStronglyMeasurable' m f μ) (hfi : Integrable f μ) : μ[f|m] =ᵐ[μ] f := by
refine' ((condexp_congr_ae hf.ae_eq_mk).trans _).trans hf.ae_eq_mk.symm
rw [condexp_of_stronglyMeasurable hm hf.stronglyMeasurable_mk
((integrable_congr hf.ae_eq_mk).mp hfi)]
#align measure_theory.condexp_of_ae_strongly_measurable' MeasureTheory.condexp_of_aestronglyMeasurable'
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact integrable_zero _ _ _
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact integrable_zero _ _ _
haveI : SigmaFinite (μ.trim hm) := hμm
exact (integrable_condexpL1 f).congr (condexp_ae_eq_condexpL1 hm f).symm
#align measure_theory.integrable_condexp MeasureTheory.integrable_condexp
/-- The integral of the conditional expectation `μ[f|hm]` over an `m`-measurable set is equal to
the integral of `f` on that set. -/
theorem set_integral_condexp (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ)
(hs : MeasurableSet[m] s) : ∫ x in s, (μ[f|m]) x ∂μ = ∫ x in s, f x ∂μ := by
rw [set_integral_congr_ae (hm s hs) ((condexp_ae_eq_condexpL1 hm f).mono fun x hx _ => hx)]
exact set_integral_condexpL1 hf hs
#align measure_theory.set_integral_condexp MeasureTheory.set_integral_condexp
theorem integral_condexp (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
∫ x, (μ[f|m]) x ∂μ = ∫ x, f x ∂μ := by
suffices ∫ x in Set.univ, (μ[f|m]) x ∂μ = ∫ x in Set.univ, f x ∂μ by
simp_rw [integral_univ] at this; exact this
exact set_integral_condexp hm hf (@MeasurableSet.univ _ m)
#align measure_theory.integral_condexp MeasureTheory.integral_condexp
/-- **Uniqueness of the conditional expectation**
If a function is a.e. `m`-measurable, verifies an integrability condition and has same integral
as `f` on all `m`-measurable sets, then it is a.e. equal to `μ[f|hm]`. -/
theorem ae_eq_condexp_of_forall_set_integral_eq (hm : m ≤ m0) [SigmaFinite (μ.trim hm)]
{f g : α → F'} (hf : Integrable f μ)
(hg_int_finite : ∀ s, MeasurableSet[m] s → μ s < ∞ → IntegrableOn g s μ)
(hg_eq : ∀ s : Set α, MeasurableSet[m] s → μ s < ∞ → ∫ x in s, g x ∂μ = ∫ x in s, f x ∂μ)
(hgm : AEStronglyMeasurable' m g μ) : g =ᵐ[μ] μ[f|m] := by
refine' ae_eq_of_forall_set_integral_eq_of_sigmaFinite' hm hg_int_finite
(fun s _ _ => integrable_condexp.integrableOn) (fun s hs hμs => _) hgm
(StronglyMeasurable.aeStronglyMeasurable' stronglyMeasurable_condexp)
rw [hg_eq s hs hμs, set_integral_condexp hm hf hs]
#align measure_theory.ae_eq_condexp_of_forall_set_integral_eq MeasureTheory.ae_eq_condexp_of_forall_set_integral_eq
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
by_cases hμ_finite : IsFiniteMeasure μ
swap
· have h : ¬SigmaFinite (μ.trim bot_le) := by rwa [sigmaFinite_trim_bot_iff]
rw [not_isFiniteMeasure_iff] at hμ_finite
rw [condexp_of_not_sigmaFinite bot_le h]
simp only [hμ_finite, ENNReal.top_toReal, inv_zero, zero_smul]
rfl
by_cases hf : Integrable f μ
|
swap
|
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
by_cases hμ_finite : IsFiniteMeasure μ
swap
· have h : ¬SigmaFinite (μ.trim bot_le) := by rwa [sigmaFinite_trim_bot_iff]
rw [not_isFiniteMeasure_iff] at hμ_finite
rw [condexp_of_not_sigmaFinite bot_le h]
simp only [hμ_finite, ENNReal.top_toReal, inv_zero, zero_smul]
rfl
by_cases hf : Integrable f μ
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.248_0.yd50cWAuCo6hlry
|
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case neg
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f✝ g : α → F'
s : Set α
hμ : NeZero μ
f : α → F'
hμ_finite : IsFiniteMeasure μ
hf : ¬Integrable f
⊢ μ[f|⊥] = fun x => (ENNReal.toReal (↑↑μ Set.univ))⁻¹ • ∫ (x : α), f x ∂μ
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
exact (condexp_ae_eq_condexpL1 hm f).trans
(Filter.EventuallyEq.trans (by rw [condexpL1_congr_ae hm h])
(condexp_ae_eq_condexpL1 hm g).symm)
#align measure_theory.condexp_congr_ae MeasureTheory.condexp_congr_ae
theorem condexp_of_aestronglyMeasurable' (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : AEStronglyMeasurable' m f μ) (hfi : Integrable f μ) : μ[f|m] =ᵐ[μ] f := by
refine' ((condexp_congr_ae hf.ae_eq_mk).trans _).trans hf.ae_eq_mk.symm
rw [condexp_of_stronglyMeasurable hm hf.stronglyMeasurable_mk
((integrable_congr hf.ae_eq_mk).mp hfi)]
#align measure_theory.condexp_of_ae_strongly_measurable' MeasureTheory.condexp_of_aestronglyMeasurable'
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact integrable_zero _ _ _
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact integrable_zero _ _ _
haveI : SigmaFinite (μ.trim hm) := hμm
exact (integrable_condexpL1 f).congr (condexp_ae_eq_condexpL1 hm f).symm
#align measure_theory.integrable_condexp MeasureTheory.integrable_condexp
/-- The integral of the conditional expectation `μ[f|hm]` over an `m`-measurable set is equal to
the integral of `f` on that set. -/
theorem set_integral_condexp (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ)
(hs : MeasurableSet[m] s) : ∫ x in s, (μ[f|m]) x ∂μ = ∫ x in s, f x ∂μ := by
rw [set_integral_congr_ae (hm s hs) ((condexp_ae_eq_condexpL1 hm f).mono fun x hx _ => hx)]
exact set_integral_condexpL1 hf hs
#align measure_theory.set_integral_condexp MeasureTheory.set_integral_condexp
theorem integral_condexp (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
∫ x, (μ[f|m]) x ∂μ = ∫ x, f x ∂μ := by
suffices ∫ x in Set.univ, (μ[f|m]) x ∂μ = ∫ x in Set.univ, f x ∂μ by
simp_rw [integral_univ] at this; exact this
exact set_integral_condexp hm hf (@MeasurableSet.univ _ m)
#align measure_theory.integral_condexp MeasureTheory.integral_condexp
/-- **Uniqueness of the conditional expectation**
If a function is a.e. `m`-measurable, verifies an integrability condition and has same integral
as `f` on all `m`-measurable sets, then it is a.e. equal to `μ[f|hm]`. -/
theorem ae_eq_condexp_of_forall_set_integral_eq (hm : m ≤ m0) [SigmaFinite (μ.trim hm)]
{f g : α → F'} (hf : Integrable f μ)
(hg_int_finite : ∀ s, MeasurableSet[m] s → μ s < ∞ → IntegrableOn g s μ)
(hg_eq : ∀ s : Set α, MeasurableSet[m] s → μ s < ∞ → ∫ x in s, g x ∂μ = ∫ x in s, f x ∂μ)
(hgm : AEStronglyMeasurable' m g μ) : g =ᵐ[μ] μ[f|m] := by
refine' ae_eq_of_forall_set_integral_eq_of_sigmaFinite' hm hg_int_finite
(fun s _ _ => integrable_condexp.integrableOn) (fun s hs hμs => _) hgm
(StronglyMeasurable.aeStronglyMeasurable' stronglyMeasurable_condexp)
rw [hg_eq s hs hμs, set_integral_condexp hm hf hs]
#align measure_theory.ae_eq_condexp_of_forall_set_integral_eq MeasureTheory.ae_eq_condexp_of_forall_set_integral_eq
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
by_cases hμ_finite : IsFiniteMeasure μ
swap
· have h : ¬SigmaFinite (μ.trim bot_le) := by rwa [sigmaFinite_trim_bot_iff]
rw [not_isFiniteMeasure_iff] at hμ_finite
rw [condexp_of_not_sigmaFinite bot_le h]
simp only [hμ_finite, ENNReal.top_toReal, inv_zero, zero_smul]
rfl
by_cases hf : Integrable f μ
swap; ·
|
rw [integral_undef hf, smul_zero, condexp_undef hf]
|
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
by_cases hμ_finite : IsFiniteMeasure μ
swap
· have h : ¬SigmaFinite (μ.trim bot_le) := by rwa [sigmaFinite_trim_bot_iff]
rw [not_isFiniteMeasure_iff] at hμ_finite
rw [condexp_of_not_sigmaFinite bot_le h]
simp only [hμ_finite, ENNReal.top_toReal, inv_zero, zero_smul]
rfl
by_cases hf : Integrable f μ
swap; ·
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.248_0.yd50cWAuCo6hlry
|
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case neg
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f✝ g : α → F'
s : Set α
hμ : NeZero μ
f : α → F'
hμ_finite : IsFiniteMeasure μ
hf : ¬Integrable f
⊢ 0 = fun x => 0
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
exact (condexp_ae_eq_condexpL1 hm f).trans
(Filter.EventuallyEq.trans (by rw [condexpL1_congr_ae hm h])
(condexp_ae_eq_condexpL1 hm g).symm)
#align measure_theory.condexp_congr_ae MeasureTheory.condexp_congr_ae
theorem condexp_of_aestronglyMeasurable' (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : AEStronglyMeasurable' m f μ) (hfi : Integrable f μ) : μ[f|m] =ᵐ[μ] f := by
refine' ((condexp_congr_ae hf.ae_eq_mk).trans _).trans hf.ae_eq_mk.symm
rw [condexp_of_stronglyMeasurable hm hf.stronglyMeasurable_mk
((integrable_congr hf.ae_eq_mk).mp hfi)]
#align measure_theory.condexp_of_ae_strongly_measurable' MeasureTheory.condexp_of_aestronglyMeasurable'
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact integrable_zero _ _ _
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact integrable_zero _ _ _
haveI : SigmaFinite (μ.trim hm) := hμm
exact (integrable_condexpL1 f).congr (condexp_ae_eq_condexpL1 hm f).symm
#align measure_theory.integrable_condexp MeasureTheory.integrable_condexp
/-- The integral of the conditional expectation `μ[f|hm]` over an `m`-measurable set is equal to
the integral of `f` on that set. -/
theorem set_integral_condexp (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ)
(hs : MeasurableSet[m] s) : ∫ x in s, (μ[f|m]) x ∂μ = ∫ x in s, f x ∂μ := by
rw [set_integral_congr_ae (hm s hs) ((condexp_ae_eq_condexpL1 hm f).mono fun x hx _ => hx)]
exact set_integral_condexpL1 hf hs
#align measure_theory.set_integral_condexp MeasureTheory.set_integral_condexp
theorem integral_condexp (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
∫ x, (μ[f|m]) x ∂μ = ∫ x, f x ∂μ := by
suffices ∫ x in Set.univ, (μ[f|m]) x ∂μ = ∫ x in Set.univ, f x ∂μ by
simp_rw [integral_univ] at this; exact this
exact set_integral_condexp hm hf (@MeasurableSet.univ _ m)
#align measure_theory.integral_condexp MeasureTheory.integral_condexp
/-- **Uniqueness of the conditional expectation**
If a function is a.e. `m`-measurable, verifies an integrability condition and has same integral
as `f` on all `m`-measurable sets, then it is a.e. equal to `μ[f|hm]`. -/
theorem ae_eq_condexp_of_forall_set_integral_eq (hm : m ≤ m0) [SigmaFinite (μ.trim hm)]
{f g : α → F'} (hf : Integrable f μ)
(hg_int_finite : ∀ s, MeasurableSet[m] s → μ s < ∞ → IntegrableOn g s μ)
(hg_eq : ∀ s : Set α, MeasurableSet[m] s → μ s < ∞ → ∫ x in s, g x ∂μ = ∫ x in s, f x ∂μ)
(hgm : AEStronglyMeasurable' m g μ) : g =ᵐ[μ] μ[f|m] := by
refine' ae_eq_of_forall_set_integral_eq_of_sigmaFinite' hm hg_int_finite
(fun s _ _ => integrable_condexp.integrableOn) (fun s hs hμs => _) hgm
(StronglyMeasurable.aeStronglyMeasurable' stronglyMeasurable_condexp)
rw [hg_eq s hs hμs, set_integral_condexp hm hf hs]
#align measure_theory.ae_eq_condexp_of_forall_set_integral_eq MeasureTheory.ae_eq_condexp_of_forall_set_integral_eq
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
by_cases hμ_finite : IsFiniteMeasure μ
swap
· have h : ¬SigmaFinite (μ.trim bot_le) := by rwa [sigmaFinite_trim_bot_iff]
rw [not_isFiniteMeasure_iff] at hμ_finite
rw [condexp_of_not_sigmaFinite bot_le h]
simp only [hμ_finite, ENNReal.top_toReal, inv_zero, zero_smul]
rfl
by_cases hf : Integrable f μ
swap; · rw [integral_undef hf, smul_zero, condexp_undef hf];
|
rfl
|
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
by_cases hμ_finite : IsFiniteMeasure μ
swap
· have h : ¬SigmaFinite (μ.trim bot_le) := by rwa [sigmaFinite_trim_bot_iff]
rw [not_isFiniteMeasure_iff] at hμ_finite
rw [condexp_of_not_sigmaFinite bot_le h]
simp only [hμ_finite, ENNReal.top_toReal, inv_zero, zero_smul]
rfl
by_cases hf : Integrable f μ
swap; · rw [integral_undef hf, smul_zero, condexp_undef hf];
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.248_0.yd50cWAuCo6hlry
|
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case pos
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f✝ g : α → F'
s : Set α
hμ : NeZero μ
f : α → F'
hμ_finite : IsFiniteMeasure μ
hf : Integrable f
⊢ μ[f|⊥] = fun x => (ENNReal.toReal (↑↑μ Set.univ))⁻¹ • ∫ (x : α), f x ∂μ
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
exact (condexp_ae_eq_condexpL1 hm f).trans
(Filter.EventuallyEq.trans (by rw [condexpL1_congr_ae hm h])
(condexp_ae_eq_condexpL1 hm g).symm)
#align measure_theory.condexp_congr_ae MeasureTheory.condexp_congr_ae
theorem condexp_of_aestronglyMeasurable' (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : AEStronglyMeasurable' m f μ) (hfi : Integrable f μ) : μ[f|m] =ᵐ[μ] f := by
refine' ((condexp_congr_ae hf.ae_eq_mk).trans _).trans hf.ae_eq_mk.symm
rw [condexp_of_stronglyMeasurable hm hf.stronglyMeasurable_mk
((integrable_congr hf.ae_eq_mk).mp hfi)]
#align measure_theory.condexp_of_ae_strongly_measurable' MeasureTheory.condexp_of_aestronglyMeasurable'
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact integrable_zero _ _ _
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact integrable_zero _ _ _
haveI : SigmaFinite (μ.trim hm) := hμm
exact (integrable_condexpL1 f).congr (condexp_ae_eq_condexpL1 hm f).symm
#align measure_theory.integrable_condexp MeasureTheory.integrable_condexp
/-- The integral of the conditional expectation `μ[f|hm]` over an `m`-measurable set is equal to
the integral of `f` on that set. -/
theorem set_integral_condexp (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ)
(hs : MeasurableSet[m] s) : ∫ x in s, (μ[f|m]) x ∂μ = ∫ x in s, f x ∂μ := by
rw [set_integral_congr_ae (hm s hs) ((condexp_ae_eq_condexpL1 hm f).mono fun x hx _ => hx)]
exact set_integral_condexpL1 hf hs
#align measure_theory.set_integral_condexp MeasureTheory.set_integral_condexp
theorem integral_condexp (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
∫ x, (μ[f|m]) x ∂μ = ∫ x, f x ∂μ := by
suffices ∫ x in Set.univ, (μ[f|m]) x ∂μ = ∫ x in Set.univ, f x ∂μ by
simp_rw [integral_univ] at this; exact this
exact set_integral_condexp hm hf (@MeasurableSet.univ _ m)
#align measure_theory.integral_condexp MeasureTheory.integral_condexp
/-- **Uniqueness of the conditional expectation**
If a function is a.e. `m`-measurable, verifies an integrability condition and has same integral
as `f` on all `m`-measurable sets, then it is a.e. equal to `μ[f|hm]`. -/
theorem ae_eq_condexp_of_forall_set_integral_eq (hm : m ≤ m0) [SigmaFinite (μ.trim hm)]
{f g : α → F'} (hf : Integrable f μ)
(hg_int_finite : ∀ s, MeasurableSet[m] s → μ s < ∞ → IntegrableOn g s μ)
(hg_eq : ∀ s : Set α, MeasurableSet[m] s → μ s < ∞ → ∫ x in s, g x ∂μ = ∫ x in s, f x ∂μ)
(hgm : AEStronglyMeasurable' m g μ) : g =ᵐ[μ] μ[f|m] := by
refine' ae_eq_of_forall_set_integral_eq_of_sigmaFinite' hm hg_int_finite
(fun s _ _ => integrable_condexp.integrableOn) (fun s hs hμs => _) hgm
(StronglyMeasurable.aeStronglyMeasurable' stronglyMeasurable_condexp)
rw [hg_eq s hs hμs, set_integral_condexp hm hf hs]
#align measure_theory.ae_eq_condexp_of_forall_set_integral_eq MeasureTheory.ae_eq_condexp_of_forall_set_integral_eq
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
by_cases hμ_finite : IsFiniteMeasure μ
swap
· have h : ¬SigmaFinite (μ.trim bot_le) := by rwa [sigmaFinite_trim_bot_iff]
rw [not_isFiniteMeasure_iff] at hμ_finite
rw [condexp_of_not_sigmaFinite bot_le h]
simp only [hμ_finite, ENNReal.top_toReal, inv_zero, zero_smul]
rfl
by_cases hf : Integrable f μ
swap; · rw [integral_undef hf, smul_zero, condexp_undef hf]; rfl
|
have h_meas : StronglyMeasurable[⊥] (μ[f|⊥]) := stronglyMeasurable_condexp
|
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
by_cases hμ_finite : IsFiniteMeasure μ
swap
· have h : ¬SigmaFinite (μ.trim bot_le) := by rwa [sigmaFinite_trim_bot_iff]
rw [not_isFiniteMeasure_iff] at hμ_finite
rw [condexp_of_not_sigmaFinite bot_le h]
simp only [hμ_finite, ENNReal.top_toReal, inv_zero, zero_smul]
rfl
by_cases hf : Integrable f μ
swap; · rw [integral_undef hf, smul_zero, condexp_undef hf]; rfl
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.248_0.yd50cWAuCo6hlry
|
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case pos
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f✝ g : α → F'
s : Set α
hμ : NeZero μ
f : α → F'
hμ_finite : IsFiniteMeasure μ
hf : Integrable f
h_meas : StronglyMeasurable (μ[f|⊥])
⊢ μ[f|⊥] = fun x => (ENNReal.toReal (↑↑μ Set.univ))⁻¹ • ∫ (x : α), f x ∂μ
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
exact (condexp_ae_eq_condexpL1 hm f).trans
(Filter.EventuallyEq.trans (by rw [condexpL1_congr_ae hm h])
(condexp_ae_eq_condexpL1 hm g).symm)
#align measure_theory.condexp_congr_ae MeasureTheory.condexp_congr_ae
theorem condexp_of_aestronglyMeasurable' (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : AEStronglyMeasurable' m f μ) (hfi : Integrable f μ) : μ[f|m] =ᵐ[μ] f := by
refine' ((condexp_congr_ae hf.ae_eq_mk).trans _).trans hf.ae_eq_mk.symm
rw [condexp_of_stronglyMeasurable hm hf.stronglyMeasurable_mk
((integrable_congr hf.ae_eq_mk).mp hfi)]
#align measure_theory.condexp_of_ae_strongly_measurable' MeasureTheory.condexp_of_aestronglyMeasurable'
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact integrable_zero _ _ _
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact integrable_zero _ _ _
haveI : SigmaFinite (μ.trim hm) := hμm
exact (integrable_condexpL1 f).congr (condexp_ae_eq_condexpL1 hm f).symm
#align measure_theory.integrable_condexp MeasureTheory.integrable_condexp
/-- The integral of the conditional expectation `μ[f|hm]` over an `m`-measurable set is equal to
the integral of `f` on that set. -/
theorem set_integral_condexp (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ)
(hs : MeasurableSet[m] s) : ∫ x in s, (μ[f|m]) x ∂μ = ∫ x in s, f x ∂μ := by
rw [set_integral_congr_ae (hm s hs) ((condexp_ae_eq_condexpL1 hm f).mono fun x hx _ => hx)]
exact set_integral_condexpL1 hf hs
#align measure_theory.set_integral_condexp MeasureTheory.set_integral_condexp
theorem integral_condexp (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
∫ x, (μ[f|m]) x ∂μ = ∫ x, f x ∂μ := by
suffices ∫ x in Set.univ, (μ[f|m]) x ∂μ = ∫ x in Set.univ, f x ∂μ by
simp_rw [integral_univ] at this; exact this
exact set_integral_condexp hm hf (@MeasurableSet.univ _ m)
#align measure_theory.integral_condexp MeasureTheory.integral_condexp
/-- **Uniqueness of the conditional expectation**
If a function is a.e. `m`-measurable, verifies an integrability condition and has same integral
as `f` on all `m`-measurable sets, then it is a.e. equal to `μ[f|hm]`. -/
theorem ae_eq_condexp_of_forall_set_integral_eq (hm : m ≤ m0) [SigmaFinite (μ.trim hm)]
{f g : α → F'} (hf : Integrable f μ)
(hg_int_finite : ∀ s, MeasurableSet[m] s → μ s < ∞ → IntegrableOn g s μ)
(hg_eq : ∀ s : Set α, MeasurableSet[m] s → μ s < ∞ → ∫ x in s, g x ∂μ = ∫ x in s, f x ∂μ)
(hgm : AEStronglyMeasurable' m g μ) : g =ᵐ[μ] μ[f|m] := by
refine' ae_eq_of_forall_set_integral_eq_of_sigmaFinite' hm hg_int_finite
(fun s _ _ => integrable_condexp.integrableOn) (fun s hs hμs => _) hgm
(StronglyMeasurable.aeStronglyMeasurable' stronglyMeasurable_condexp)
rw [hg_eq s hs hμs, set_integral_condexp hm hf hs]
#align measure_theory.ae_eq_condexp_of_forall_set_integral_eq MeasureTheory.ae_eq_condexp_of_forall_set_integral_eq
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
by_cases hμ_finite : IsFiniteMeasure μ
swap
· have h : ¬SigmaFinite (μ.trim bot_le) := by rwa [sigmaFinite_trim_bot_iff]
rw [not_isFiniteMeasure_iff] at hμ_finite
rw [condexp_of_not_sigmaFinite bot_le h]
simp only [hμ_finite, ENNReal.top_toReal, inv_zero, zero_smul]
rfl
by_cases hf : Integrable f μ
swap; · rw [integral_undef hf, smul_zero, condexp_undef hf]; rfl
have h_meas : StronglyMeasurable[⊥] (μ[f|⊥]) := stronglyMeasurable_condexp
|
obtain ⟨c, h_eq⟩ := stronglyMeasurable_bot_iff.mp h_meas
|
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
by_cases hμ_finite : IsFiniteMeasure μ
swap
· have h : ¬SigmaFinite (μ.trim bot_le) := by rwa [sigmaFinite_trim_bot_iff]
rw [not_isFiniteMeasure_iff] at hμ_finite
rw [condexp_of_not_sigmaFinite bot_le h]
simp only [hμ_finite, ENNReal.top_toReal, inv_zero, zero_smul]
rfl
by_cases hf : Integrable f μ
swap; · rw [integral_undef hf, smul_zero, condexp_undef hf]; rfl
have h_meas : StronglyMeasurable[⊥] (μ[f|⊥]) := stronglyMeasurable_condexp
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.248_0.yd50cWAuCo6hlry
|
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case pos.intro
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f✝ g : α → F'
s : Set α
hμ : NeZero μ
f : α → F'
hμ_finite : IsFiniteMeasure μ
hf : Integrable f
h_meas : StronglyMeasurable (μ[f|⊥])
c : F'
h_eq : μ[f|⊥] = fun x => c
⊢ μ[f|⊥] = fun x => (ENNReal.toReal (↑↑μ Set.univ))⁻¹ • ∫ (x : α), f x ∂μ
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
exact (condexp_ae_eq_condexpL1 hm f).trans
(Filter.EventuallyEq.trans (by rw [condexpL1_congr_ae hm h])
(condexp_ae_eq_condexpL1 hm g).symm)
#align measure_theory.condexp_congr_ae MeasureTheory.condexp_congr_ae
theorem condexp_of_aestronglyMeasurable' (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : AEStronglyMeasurable' m f μ) (hfi : Integrable f μ) : μ[f|m] =ᵐ[μ] f := by
refine' ((condexp_congr_ae hf.ae_eq_mk).trans _).trans hf.ae_eq_mk.symm
rw [condexp_of_stronglyMeasurable hm hf.stronglyMeasurable_mk
((integrable_congr hf.ae_eq_mk).mp hfi)]
#align measure_theory.condexp_of_ae_strongly_measurable' MeasureTheory.condexp_of_aestronglyMeasurable'
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact integrable_zero _ _ _
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact integrable_zero _ _ _
haveI : SigmaFinite (μ.trim hm) := hμm
exact (integrable_condexpL1 f).congr (condexp_ae_eq_condexpL1 hm f).symm
#align measure_theory.integrable_condexp MeasureTheory.integrable_condexp
/-- The integral of the conditional expectation `μ[f|hm]` over an `m`-measurable set is equal to
the integral of `f` on that set. -/
theorem set_integral_condexp (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ)
(hs : MeasurableSet[m] s) : ∫ x in s, (μ[f|m]) x ∂μ = ∫ x in s, f x ∂μ := by
rw [set_integral_congr_ae (hm s hs) ((condexp_ae_eq_condexpL1 hm f).mono fun x hx _ => hx)]
exact set_integral_condexpL1 hf hs
#align measure_theory.set_integral_condexp MeasureTheory.set_integral_condexp
theorem integral_condexp (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
∫ x, (μ[f|m]) x ∂μ = ∫ x, f x ∂μ := by
suffices ∫ x in Set.univ, (μ[f|m]) x ∂μ = ∫ x in Set.univ, f x ∂μ by
simp_rw [integral_univ] at this; exact this
exact set_integral_condexp hm hf (@MeasurableSet.univ _ m)
#align measure_theory.integral_condexp MeasureTheory.integral_condexp
/-- **Uniqueness of the conditional expectation**
If a function is a.e. `m`-measurable, verifies an integrability condition and has same integral
as `f` on all `m`-measurable sets, then it is a.e. equal to `μ[f|hm]`. -/
theorem ae_eq_condexp_of_forall_set_integral_eq (hm : m ≤ m0) [SigmaFinite (μ.trim hm)]
{f g : α → F'} (hf : Integrable f μ)
(hg_int_finite : ∀ s, MeasurableSet[m] s → μ s < ∞ → IntegrableOn g s μ)
(hg_eq : ∀ s : Set α, MeasurableSet[m] s → μ s < ∞ → ∫ x in s, g x ∂μ = ∫ x in s, f x ∂μ)
(hgm : AEStronglyMeasurable' m g μ) : g =ᵐ[μ] μ[f|m] := by
refine' ae_eq_of_forall_set_integral_eq_of_sigmaFinite' hm hg_int_finite
(fun s _ _ => integrable_condexp.integrableOn) (fun s hs hμs => _) hgm
(StronglyMeasurable.aeStronglyMeasurable' stronglyMeasurable_condexp)
rw [hg_eq s hs hμs, set_integral_condexp hm hf hs]
#align measure_theory.ae_eq_condexp_of_forall_set_integral_eq MeasureTheory.ae_eq_condexp_of_forall_set_integral_eq
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
by_cases hμ_finite : IsFiniteMeasure μ
swap
· have h : ¬SigmaFinite (μ.trim bot_le) := by rwa [sigmaFinite_trim_bot_iff]
rw [not_isFiniteMeasure_iff] at hμ_finite
rw [condexp_of_not_sigmaFinite bot_le h]
simp only [hμ_finite, ENNReal.top_toReal, inv_zero, zero_smul]
rfl
by_cases hf : Integrable f μ
swap; · rw [integral_undef hf, smul_zero, condexp_undef hf]; rfl
have h_meas : StronglyMeasurable[⊥] (μ[f|⊥]) := stronglyMeasurable_condexp
obtain ⟨c, h_eq⟩ := stronglyMeasurable_bot_iff.mp h_meas
|
rw [h_eq]
|
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
by_cases hμ_finite : IsFiniteMeasure μ
swap
· have h : ¬SigmaFinite (μ.trim bot_le) := by rwa [sigmaFinite_trim_bot_iff]
rw [not_isFiniteMeasure_iff] at hμ_finite
rw [condexp_of_not_sigmaFinite bot_le h]
simp only [hμ_finite, ENNReal.top_toReal, inv_zero, zero_smul]
rfl
by_cases hf : Integrable f μ
swap; · rw [integral_undef hf, smul_zero, condexp_undef hf]; rfl
have h_meas : StronglyMeasurable[⊥] (μ[f|⊥]) := stronglyMeasurable_condexp
obtain ⟨c, h_eq⟩ := stronglyMeasurable_bot_iff.mp h_meas
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.248_0.yd50cWAuCo6hlry
|
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case pos.intro
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f✝ g : α → F'
s : Set α
hμ : NeZero μ
f : α → F'
hμ_finite : IsFiniteMeasure μ
hf : Integrable f
h_meas : StronglyMeasurable (μ[f|⊥])
c : F'
h_eq : μ[f|⊥] = fun x => c
⊢ (fun x => c) = fun x => (ENNReal.toReal (↑↑μ Set.univ))⁻¹ • ∫ (x : α), f x ∂μ
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
exact (condexp_ae_eq_condexpL1 hm f).trans
(Filter.EventuallyEq.trans (by rw [condexpL1_congr_ae hm h])
(condexp_ae_eq_condexpL1 hm g).symm)
#align measure_theory.condexp_congr_ae MeasureTheory.condexp_congr_ae
theorem condexp_of_aestronglyMeasurable' (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : AEStronglyMeasurable' m f μ) (hfi : Integrable f μ) : μ[f|m] =ᵐ[μ] f := by
refine' ((condexp_congr_ae hf.ae_eq_mk).trans _).trans hf.ae_eq_mk.symm
rw [condexp_of_stronglyMeasurable hm hf.stronglyMeasurable_mk
((integrable_congr hf.ae_eq_mk).mp hfi)]
#align measure_theory.condexp_of_ae_strongly_measurable' MeasureTheory.condexp_of_aestronglyMeasurable'
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact integrable_zero _ _ _
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact integrable_zero _ _ _
haveI : SigmaFinite (μ.trim hm) := hμm
exact (integrable_condexpL1 f).congr (condexp_ae_eq_condexpL1 hm f).symm
#align measure_theory.integrable_condexp MeasureTheory.integrable_condexp
/-- The integral of the conditional expectation `μ[f|hm]` over an `m`-measurable set is equal to
the integral of `f` on that set. -/
theorem set_integral_condexp (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ)
(hs : MeasurableSet[m] s) : ∫ x in s, (μ[f|m]) x ∂μ = ∫ x in s, f x ∂μ := by
rw [set_integral_congr_ae (hm s hs) ((condexp_ae_eq_condexpL1 hm f).mono fun x hx _ => hx)]
exact set_integral_condexpL1 hf hs
#align measure_theory.set_integral_condexp MeasureTheory.set_integral_condexp
theorem integral_condexp (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
∫ x, (μ[f|m]) x ∂μ = ∫ x, f x ∂μ := by
suffices ∫ x in Set.univ, (μ[f|m]) x ∂μ = ∫ x in Set.univ, f x ∂μ by
simp_rw [integral_univ] at this; exact this
exact set_integral_condexp hm hf (@MeasurableSet.univ _ m)
#align measure_theory.integral_condexp MeasureTheory.integral_condexp
/-- **Uniqueness of the conditional expectation**
If a function is a.e. `m`-measurable, verifies an integrability condition and has same integral
as `f` on all `m`-measurable sets, then it is a.e. equal to `μ[f|hm]`. -/
theorem ae_eq_condexp_of_forall_set_integral_eq (hm : m ≤ m0) [SigmaFinite (μ.trim hm)]
{f g : α → F'} (hf : Integrable f μ)
(hg_int_finite : ∀ s, MeasurableSet[m] s → μ s < ∞ → IntegrableOn g s μ)
(hg_eq : ∀ s : Set α, MeasurableSet[m] s → μ s < ∞ → ∫ x in s, g x ∂μ = ∫ x in s, f x ∂μ)
(hgm : AEStronglyMeasurable' m g μ) : g =ᵐ[μ] μ[f|m] := by
refine' ae_eq_of_forall_set_integral_eq_of_sigmaFinite' hm hg_int_finite
(fun s _ _ => integrable_condexp.integrableOn) (fun s hs hμs => _) hgm
(StronglyMeasurable.aeStronglyMeasurable' stronglyMeasurable_condexp)
rw [hg_eq s hs hμs, set_integral_condexp hm hf hs]
#align measure_theory.ae_eq_condexp_of_forall_set_integral_eq MeasureTheory.ae_eq_condexp_of_forall_set_integral_eq
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
by_cases hμ_finite : IsFiniteMeasure μ
swap
· have h : ¬SigmaFinite (μ.trim bot_le) := by rwa [sigmaFinite_trim_bot_iff]
rw [not_isFiniteMeasure_iff] at hμ_finite
rw [condexp_of_not_sigmaFinite bot_le h]
simp only [hμ_finite, ENNReal.top_toReal, inv_zero, zero_smul]
rfl
by_cases hf : Integrable f μ
swap; · rw [integral_undef hf, smul_zero, condexp_undef hf]; rfl
have h_meas : StronglyMeasurable[⊥] (μ[f|⊥]) := stronglyMeasurable_condexp
obtain ⟨c, h_eq⟩ := stronglyMeasurable_bot_iff.mp h_meas
rw [h_eq]
|
have h_integral : ∫ x, (μ[f|⊥]) x ∂μ = ∫ x, f x ∂μ := integral_condexp bot_le hf
|
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
by_cases hμ_finite : IsFiniteMeasure μ
swap
· have h : ¬SigmaFinite (μ.trim bot_le) := by rwa [sigmaFinite_trim_bot_iff]
rw [not_isFiniteMeasure_iff] at hμ_finite
rw [condexp_of_not_sigmaFinite bot_le h]
simp only [hμ_finite, ENNReal.top_toReal, inv_zero, zero_smul]
rfl
by_cases hf : Integrable f μ
swap; · rw [integral_undef hf, smul_zero, condexp_undef hf]; rfl
have h_meas : StronglyMeasurable[⊥] (μ[f|⊥]) := stronglyMeasurable_condexp
obtain ⟨c, h_eq⟩ := stronglyMeasurable_bot_iff.mp h_meas
rw [h_eq]
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.248_0.yd50cWAuCo6hlry
|
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case pos.intro
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f✝ g : α → F'
s : Set α
hμ : NeZero μ
f : α → F'
hμ_finite : IsFiniteMeasure μ
hf : Integrable f
h_meas : StronglyMeasurable (μ[f|⊥])
c : F'
h_eq : μ[f|⊥] = fun x => c
h_integral : ∫ (x : α), (μ[f|⊥]) x ∂μ = ∫ (x : α), f x ∂μ
⊢ (fun x => c) = fun x => (ENNReal.toReal (↑↑μ Set.univ))⁻¹ • ∫ (x : α), f x ∂μ
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
exact (condexp_ae_eq_condexpL1 hm f).trans
(Filter.EventuallyEq.trans (by rw [condexpL1_congr_ae hm h])
(condexp_ae_eq_condexpL1 hm g).symm)
#align measure_theory.condexp_congr_ae MeasureTheory.condexp_congr_ae
theorem condexp_of_aestronglyMeasurable' (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : AEStronglyMeasurable' m f μ) (hfi : Integrable f μ) : μ[f|m] =ᵐ[μ] f := by
refine' ((condexp_congr_ae hf.ae_eq_mk).trans _).trans hf.ae_eq_mk.symm
rw [condexp_of_stronglyMeasurable hm hf.stronglyMeasurable_mk
((integrable_congr hf.ae_eq_mk).mp hfi)]
#align measure_theory.condexp_of_ae_strongly_measurable' MeasureTheory.condexp_of_aestronglyMeasurable'
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact integrable_zero _ _ _
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact integrable_zero _ _ _
haveI : SigmaFinite (μ.trim hm) := hμm
exact (integrable_condexpL1 f).congr (condexp_ae_eq_condexpL1 hm f).symm
#align measure_theory.integrable_condexp MeasureTheory.integrable_condexp
/-- The integral of the conditional expectation `μ[f|hm]` over an `m`-measurable set is equal to
the integral of `f` on that set. -/
theorem set_integral_condexp (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ)
(hs : MeasurableSet[m] s) : ∫ x in s, (μ[f|m]) x ∂μ = ∫ x in s, f x ∂μ := by
rw [set_integral_congr_ae (hm s hs) ((condexp_ae_eq_condexpL1 hm f).mono fun x hx _ => hx)]
exact set_integral_condexpL1 hf hs
#align measure_theory.set_integral_condexp MeasureTheory.set_integral_condexp
theorem integral_condexp (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
∫ x, (μ[f|m]) x ∂μ = ∫ x, f x ∂μ := by
suffices ∫ x in Set.univ, (μ[f|m]) x ∂μ = ∫ x in Set.univ, f x ∂μ by
simp_rw [integral_univ] at this; exact this
exact set_integral_condexp hm hf (@MeasurableSet.univ _ m)
#align measure_theory.integral_condexp MeasureTheory.integral_condexp
/-- **Uniqueness of the conditional expectation**
If a function is a.e. `m`-measurable, verifies an integrability condition and has same integral
as `f` on all `m`-measurable sets, then it is a.e. equal to `μ[f|hm]`. -/
theorem ae_eq_condexp_of_forall_set_integral_eq (hm : m ≤ m0) [SigmaFinite (μ.trim hm)]
{f g : α → F'} (hf : Integrable f μ)
(hg_int_finite : ∀ s, MeasurableSet[m] s → μ s < ∞ → IntegrableOn g s μ)
(hg_eq : ∀ s : Set α, MeasurableSet[m] s → μ s < ∞ → ∫ x in s, g x ∂μ = ∫ x in s, f x ∂μ)
(hgm : AEStronglyMeasurable' m g μ) : g =ᵐ[μ] μ[f|m] := by
refine' ae_eq_of_forall_set_integral_eq_of_sigmaFinite' hm hg_int_finite
(fun s _ _ => integrable_condexp.integrableOn) (fun s hs hμs => _) hgm
(StronglyMeasurable.aeStronglyMeasurable' stronglyMeasurable_condexp)
rw [hg_eq s hs hμs, set_integral_condexp hm hf hs]
#align measure_theory.ae_eq_condexp_of_forall_set_integral_eq MeasureTheory.ae_eq_condexp_of_forall_set_integral_eq
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
by_cases hμ_finite : IsFiniteMeasure μ
swap
· have h : ¬SigmaFinite (μ.trim bot_le) := by rwa [sigmaFinite_trim_bot_iff]
rw [not_isFiniteMeasure_iff] at hμ_finite
rw [condexp_of_not_sigmaFinite bot_le h]
simp only [hμ_finite, ENNReal.top_toReal, inv_zero, zero_smul]
rfl
by_cases hf : Integrable f μ
swap; · rw [integral_undef hf, smul_zero, condexp_undef hf]; rfl
have h_meas : StronglyMeasurable[⊥] (μ[f|⊥]) := stronglyMeasurable_condexp
obtain ⟨c, h_eq⟩ := stronglyMeasurable_bot_iff.mp h_meas
rw [h_eq]
have h_integral : ∫ x, (μ[f|⊥]) x ∂μ = ∫ x, f x ∂μ := integral_condexp bot_le hf
|
simp_rw [h_eq, integral_const] at h_integral
|
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
by_cases hμ_finite : IsFiniteMeasure μ
swap
· have h : ¬SigmaFinite (μ.trim bot_le) := by rwa [sigmaFinite_trim_bot_iff]
rw [not_isFiniteMeasure_iff] at hμ_finite
rw [condexp_of_not_sigmaFinite bot_le h]
simp only [hμ_finite, ENNReal.top_toReal, inv_zero, zero_smul]
rfl
by_cases hf : Integrable f μ
swap; · rw [integral_undef hf, smul_zero, condexp_undef hf]; rfl
have h_meas : StronglyMeasurable[⊥] (μ[f|⊥]) := stronglyMeasurable_condexp
obtain ⟨c, h_eq⟩ := stronglyMeasurable_bot_iff.mp h_meas
rw [h_eq]
have h_integral : ∫ x, (μ[f|⊥]) x ∂μ = ∫ x, f x ∂μ := integral_condexp bot_le hf
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.248_0.yd50cWAuCo6hlry
|
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case pos.intro
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f✝ g : α → F'
s : Set α
hμ : NeZero μ
f : α → F'
hμ_finite : IsFiniteMeasure μ
hf : Integrable f
h_meas : StronglyMeasurable (μ[f|⊥])
c : F'
h_eq : μ[f|⊥] = fun x => c
h_integral : ENNReal.toReal (↑↑μ Set.univ) • c = ∫ (x : α), f x ∂μ
⊢ (fun x => c) = fun x => (ENNReal.toReal (↑↑μ Set.univ))⁻¹ • ∫ (x : α), f x ∂μ
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
exact (condexp_ae_eq_condexpL1 hm f).trans
(Filter.EventuallyEq.trans (by rw [condexpL1_congr_ae hm h])
(condexp_ae_eq_condexpL1 hm g).symm)
#align measure_theory.condexp_congr_ae MeasureTheory.condexp_congr_ae
theorem condexp_of_aestronglyMeasurable' (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : AEStronglyMeasurable' m f μ) (hfi : Integrable f μ) : μ[f|m] =ᵐ[μ] f := by
refine' ((condexp_congr_ae hf.ae_eq_mk).trans _).trans hf.ae_eq_mk.symm
rw [condexp_of_stronglyMeasurable hm hf.stronglyMeasurable_mk
((integrable_congr hf.ae_eq_mk).mp hfi)]
#align measure_theory.condexp_of_ae_strongly_measurable' MeasureTheory.condexp_of_aestronglyMeasurable'
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact integrable_zero _ _ _
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact integrable_zero _ _ _
haveI : SigmaFinite (μ.trim hm) := hμm
exact (integrable_condexpL1 f).congr (condexp_ae_eq_condexpL1 hm f).symm
#align measure_theory.integrable_condexp MeasureTheory.integrable_condexp
/-- The integral of the conditional expectation `μ[f|hm]` over an `m`-measurable set is equal to
the integral of `f` on that set. -/
theorem set_integral_condexp (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ)
(hs : MeasurableSet[m] s) : ∫ x in s, (μ[f|m]) x ∂μ = ∫ x in s, f x ∂μ := by
rw [set_integral_congr_ae (hm s hs) ((condexp_ae_eq_condexpL1 hm f).mono fun x hx _ => hx)]
exact set_integral_condexpL1 hf hs
#align measure_theory.set_integral_condexp MeasureTheory.set_integral_condexp
theorem integral_condexp (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
∫ x, (μ[f|m]) x ∂μ = ∫ x, f x ∂μ := by
suffices ∫ x in Set.univ, (μ[f|m]) x ∂μ = ∫ x in Set.univ, f x ∂μ by
simp_rw [integral_univ] at this; exact this
exact set_integral_condexp hm hf (@MeasurableSet.univ _ m)
#align measure_theory.integral_condexp MeasureTheory.integral_condexp
/-- **Uniqueness of the conditional expectation**
If a function is a.e. `m`-measurable, verifies an integrability condition and has same integral
as `f` on all `m`-measurable sets, then it is a.e. equal to `μ[f|hm]`. -/
theorem ae_eq_condexp_of_forall_set_integral_eq (hm : m ≤ m0) [SigmaFinite (μ.trim hm)]
{f g : α → F'} (hf : Integrable f μ)
(hg_int_finite : ∀ s, MeasurableSet[m] s → μ s < ∞ → IntegrableOn g s μ)
(hg_eq : ∀ s : Set α, MeasurableSet[m] s → μ s < ∞ → ∫ x in s, g x ∂μ = ∫ x in s, f x ∂μ)
(hgm : AEStronglyMeasurable' m g μ) : g =ᵐ[μ] μ[f|m] := by
refine' ae_eq_of_forall_set_integral_eq_of_sigmaFinite' hm hg_int_finite
(fun s _ _ => integrable_condexp.integrableOn) (fun s hs hμs => _) hgm
(StronglyMeasurable.aeStronglyMeasurable' stronglyMeasurable_condexp)
rw [hg_eq s hs hμs, set_integral_condexp hm hf hs]
#align measure_theory.ae_eq_condexp_of_forall_set_integral_eq MeasureTheory.ae_eq_condexp_of_forall_set_integral_eq
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
by_cases hμ_finite : IsFiniteMeasure μ
swap
· have h : ¬SigmaFinite (μ.trim bot_le) := by rwa [sigmaFinite_trim_bot_iff]
rw [not_isFiniteMeasure_iff] at hμ_finite
rw [condexp_of_not_sigmaFinite bot_le h]
simp only [hμ_finite, ENNReal.top_toReal, inv_zero, zero_smul]
rfl
by_cases hf : Integrable f μ
swap; · rw [integral_undef hf, smul_zero, condexp_undef hf]; rfl
have h_meas : StronglyMeasurable[⊥] (μ[f|⊥]) := stronglyMeasurable_condexp
obtain ⟨c, h_eq⟩ := stronglyMeasurable_bot_iff.mp h_meas
rw [h_eq]
have h_integral : ∫ x, (μ[f|⊥]) x ∂μ = ∫ x, f x ∂μ := integral_condexp bot_le hf
simp_rw [h_eq, integral_const] at h_integral
|
rw [← h_integral, ← smul_assoc, smul_eq_mul, inv_mul_cancel, one_smul]
|
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
by_cases hμ_finite : IsFiniteMeasure μ
swap
· have h : ¬SigmaFinite (μ.trim bot_le) := by rwa [sigmaFinite_trim_bot_iff]
rw [not_isFiniteMeasure_iff] at hμ_finite
rw [condexp_of_not_sigmaFinite bot_le h]
simp only [hμ_finite, ENNReal.top_toReal, inv_zero, zero_smul]
rfl
by_cases hf : Integrable f μ
swap; · rw [integral_undef hf, smul_zero, condexp_undef hf]; rfl
have h_meas : StronglyMeasurable[⊥] (μ[f|⊥]) := stronglyMeasurable_condexp
obtain ⟨c, h_eq⟩ := stronglyMeasurable_bot_iff.mp h_meas
rw [h_eq]
have h_integral : ∫ x, (μ[f|⊥]) x ∂μ = ∫ x, f x ∂μ := integral_condexp bot_le hf
simp_rw [h_eq, integral_const] at h_integral
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.248_0.yd50cWAuCo6hlry
|
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case pos.intro
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f✝ g : α → F'
s : Set α
hμ : NeZero μ
f : α → F'
hμ_finite : IsFiniteMeasure μ
hf : Integrable f
h_meas : StronglyMeasurable (μ[f|⊥])
c : F'
h_eq : μ[f|⊥] = fun x => c
h_integral : ENNReal.toReal (↑↑μ Set.univ) • c = ∫ (x : α), f x ∂μ
⊢ ENNReal.toReal (↑↑μ Set.univ) ≠ 0
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
exact (condexp_ae_eq_condexpL1 hm f).trans
(Filter.EventuallyEq.trans (by rw [condexpL1_congr_ae hm h])
(condexp_ae_eq_condexpL1 hm g).symm)
#align measure_theory.condexp_congr_ae MeasureTheory.condexp_congr_ae
theorem condexp_of_aestronglyMeasurable' (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : AEStronglyMeasurable' m f μ) (hfi : Integrable f μ) : μ[f|m] =ᵐ[μ] f := by
refine' ((condexp_congr_ae hf.ae_eq_mk).trans _).trans hf.ae_eq_mk.symm
rw [condexp_of_stronglyMeasurable hm hf.stronglyMeasurable_mk
((integrable_congr hf.ae_eq_mk).mp hfi)]
#align measure_theory.condexp_of_ae_strongly_measurable' MeasureTheory.condexp_of_aestronglyMeasurable'
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact integrable_zero _ _ _
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact integrable_zero _ _ _
haveI : SigmaFinite (μ.trim hm) := hμm
exact (integrable_condexpL1 f).congr (condexp_ae_eq_condexpL1 hm f).symm
#align measure_theory.integrable_condexp MeasureTheory.integrable_condexp
/-- The integral of the conditional expectation `μ[f|hm]` over an `m`-measurable set is equal to
the integral of `f` on that set. -/
theorem set_integral_condexp (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ)
(hs : MeasurableSet[m] s) : ∫ x in s, (μ[f|m]) x ∂μ = ∫ x in s, f x ∂μ := by
rw [set_integral_congr_ae (hm s hs) ((condexp_ae_eq_condexpL1 hm f).mono fun x hx _ => hx)]
exact set_integral_condexpL1 hf hs
#align measure_theory.set_integral_condexp MeasureTheory.set_integral_condexp
theorem integral_condexp (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
∫ x, (μ[f|m]) x ∂μ = ∫ x, f x ∂μ := by
suffices ∫ x in Set.univ, (μ[f|m]) x ∂μ = ∫ x in Set.univ, f x ∂μ by
simp_rw [integral_univ] at this; exact this
exact set_integral_condexp hm hf (@MeasurableSet.univ _ m)
#align measure_theory.integral_condexp MeasureTheory.integral_condexp
/-- **Uniqueness of the conditional expectation**
If a function is a.e. `m`-measurable, verifies an integrability condition and has same integral
as `f` on all `m`-measurable sets, then it is a.e. equal to `μ[f|hm]`. -/
theorem ae_eq_condexp_of_forall_set_integral_eq (hm : m ≤ m0) [SigmaFinite (μ.trim hm)]
{f g : α → F'} (hf : Integrable f μ)
(hg_int_finite : ∀ s, MeasurableSet[m] s → μ s < ∞ → IntegrableOn g s μ)
(hg_eq : ∀ s : Set α, MeasurableSet[m] s → μ s < ∞ → ∫ x in s, g x ∂μ = ∫ x in s, f x ∂μ)
(hgm : AEStronglyMeasurable' m g μ) : g =ᵐ[μ] μ[f|m] := by
refine' ae_eq_of_forall_set_integral_eq_of_sigmaFinite' hm hg_int_finite
(fun s _ _ => integrable_condexp.integrableOn) (fun s hs hμs => _) hgm
(StronglyMeasurable.aeStronglyMeasurable' stronglyMeasurable_condexp)
rw [hg_eq s hs hμs, set_integral_condexp hm hf hs]
#align measure_theory.ae_eq_condexp_of_forall_set_integral_eq MeasureTheory.ae_eq_condexp_of_forall_set_integral_eq
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
by_cases hμ_finite : IsFiniteMeasure μ
swap
· have h : ¬SigmaFinite (μ.trim bot_le) := by rwa [sigmaFinite_trim_bot_iff]
rw [not_isFiniteMeasure_iff] at hμ_finite
rw [condexp_of_not_sigmaFinite bot_le h]
simp only [hμ_finite, ENNReal.top_toReal, inv_zero, zero_smul]
rfl
by_cases hf : Integrable f μ
swap; · rw [integral_undef hf, smul_zero, condexp_undef hf]; rfl
have h_meas : StronglyMeasurable[⊥] (μ[f|⊥]) := stronglyMeasurable_condexp
obtain ⟨c, h_eq⟩ := stronglyMeasurable_bot_iff.mp h_meas
rw [h_eq]
have h_integral : ∫ x, (μ[f|⊥]) x ∂μ = ∫ x, f x ∂μ := integral_condexp bot_le hf
simp_rw [h_eq, integral_const] at h_integral
rw [← h_integral, ← smul_assoc, smul_eq_mul, inv_mul_cancel, one_smul]
|
rw [Ne.def, ENNReal.toReal_eq_zero_iff, not_or]
|
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
by_cases hμ_finite : IsFiniteMeasure μ
swap
· have h : ¬SigmaFinite (μ.trim bot_le) := by rwa [sigmaFinite_trim_bot_iff]
rw [not_isFiniteMeasure_iff] at hμ_finite
rw [condexp_of_not_sigmaFinite bot_le h]
simp only [hμ_finite, ENNReal.top_toReal, inv_zero, zero_smul]
rfl
by_cases hf : Integrable f μ
swap; · rw [integral_undef hf, smul_zero, condexp_undef hf]; rfl
have h_meas : StronglyMeasurable[⊥] (μ[f|⊥]) := stronglyMeasurable_condexp
obtain ⟨c, h_eq⟩ := stronglyMeasurable_bot_iff.mp h_meas
rw [h_eq]
have h_integral : ∫ x, (μ[f|⊥]) x ∂μ = ∫ x, f x ∂μ := integral_condexp bot_le hf
simp_rw [h_eq, integral_const] at h_integral
rw [← h_integral, ← smul_assoc, smul_eq_mul, inv_mul_cancel, one_smul]
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.248_0.yd50cWAuCo6hlry
|
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case pos.intro
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f✝ g : α → F'
s : Set α
hμ : NeZero μ
f : α → F'
hμ_finite : IsFiniteMeasure μ
hf : Integrable f
h_meas : StronglyMeasurable (μ[f|⊥])
c : F'
h_eq : μ[f|⊥] = fun x => c
h_integral : ENNReal.toReal (↑↑μ Set.univ) • c = ∫ (x : α), f x ∂μ
⊢ ¬↑↑μ Set.univ = 0 ∧ ¬↑↑μ Set.univ = ⊤
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
exact (condexp_ae_eq_condexpL1 hm f).trans
(Filter.EventuallyEq.trans (by rw [condexpL1_congr_ae hm h])
(condexp_ae_eq_condexpL1 hm g).symm)
#align measure_theory.condexp_congr_ae MeasureTheory.condexp_congr_ae
theorem condexp_of_aestronglyMeasurable' (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : AEStronglyMeasurable' m f μ) (hfi : Integrable f μ) : μ[f|m] =ᵐ[μ] f := by
refine' ((condexp_congr_ae hf.ae_eq_mk).trans _).trans hf.ae_eq_mk.symm
rw [condexp_of_stronglyMeasurable hm hf.stronglyMeasurable_mk
((integrable_congr hf.ae_eq_mk).mp hfi)]
#align measure_theory.condexp_of_ae_strongly_measurable' MeasureTheory.condexp_of_aestronglyMeasurable'
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact integrable_zero _ _ _
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact integrable_zero _ _ _
haveI : SigmaFinite (μ.trim hm) := hμm
exact (integrable_condexpL1 f).congr (condexp_ae_eq_condexpL1 hm f).symm
#align measure_theory.integrable_condexp MeasureTheory.integrable_condexp
/-- The integral of the conditional expectation `μ[f|hm]` over an `m`-measurable set is equal to
the integral of `f` on that set. -/
theorem set_integral_condexp (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ)
(hs : MeasurableSet[m] s) : ∫ x in s, (μ[f|m]) x ∂μ = ∫ x in s, f x ∂μ := by
rw [set_integral_congr_ae (hm s hs) ((condexp_ae_eq_condexpL1 hm f).mono fun x hx _ => hx)]
exact set_integral_condexpL1 hf hs
#align measure_theory.set_integral_condexp MeasureTheory.set_integral_condexp
theorem integral_condexp (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
∫ x, (μ[f|m]) x ∂μ = ∫ x, f x ∂μ := by
suffices ∫ x in Set.univ, (μ[f|m]) x ∂μ = ∫ x in Set.univ, f x ∂μ by
simp_rw [integral_univ] at this; exact this
exact set_integral_condexp hm hf (@MeasurableSet.univ _ m)
#align measure_theory.integral_condexp MeasureTheory.integral_condexp
/-- **Uniqueness of the conditional expectation**
If a function is a.e. `m`-measurable, verifies an integrability condition and has same integral
as `f` on all `m`-measurable sets, then it is a.e. equal to `μ[f|hm]`. -/
theorem ae_eq_condexp_of_forall_set_integral_eq (hm : m ≤ m0) [SigmaFinite (μ.trim hm)]
{f g : α → F'} (hf : Integrable f μ)
(hg_int_finite : ∀ s, MeasurableSet[m] s → μ s < ∞ → IntegrableOn g s μ)
(hg_eq : ∀ s : Set α, MeasurableSet[m] s → μ s < ∞ → ∫ x in s, g x ∂μ = ∫ x in s, f x ∂μ)
(hgm : AEStronglyMeasurable' m g μ) : g =ᵐ[μ] μ[f|m] := by
refine' ae_eq_of_forall_set_integral_eq_of_sigmaFinite' hm hg_int_finite
(fun s _ _ => integrable_condexp.integrableOn) (fun s hs hμs => _) hgm
(StronglyMeasurable.aeStronglyMeasurable' stronglyMeasurable_condexp)
rw [hg_eq s hs hμs, set_integral_condexp hm hf hs]
#align measure_theory.ae_eq_condexp_of_forall_set_integral_eq MeasureTheory.ae_eq_condexp_of_forall_set_integral_eq
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
by_cases hμ_finite : IsFiniteMeasure μ
swap
· have h : ¬SigmaFinite (μ.trim bot_le) := by rwa [sigmaFinite_trim_bot_iff]
rw [not_isFiniteMeasure_iff] at hμ_finite
rw [condexp_of_not_sigmaFinite bot_le h]
simp only [hμ_finite, ENNReal.top_toReal, inv_zero, zero_smul]
rfl
by_cases hf : Integrable f μ
swap; · rw [integral_undef hf, smul_zero, condexp_undef hf]; rfl
have h_meas : StronglyMeasurable[⊥] (μ[f|⊥]) := stronglyMeasurable_condexp
obtain ⟨c, h_eq⟩ := stronglyMeasurable_bot_iff.mp h_meas
rw [h_eq]
have h_integral : ∫ x, (μ[f|⊥]) x ∂μ = ∫ x, f x ∂μ := integral_condexp bot_le hf
simp_rw [h_eq, integral_const] at h_integral
rw [← h_integral, ← smul_assoc, smul_eq_mul, inv_mul_cancel, one_smul]
rw [Ne.def, ENNReal.toReal_eq_zero_iff, not_or]
|
exact ⟨NeZero.ne _, measure_ne_top μ Set.univ⟩
|
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
by_cases hμ_finite : IsFiniteMeasure μ
swap
· have h : ¬SigmaFinite (μ.trim bot_le) := by rwa [sigmaFinite_trim_bot_iff]
rw [not_isFiniteMeasure_iff] at hμ_finite
rw [condexp_of_not_sigmaFinite bot_le h]
simp only [hμ_finite, ENNReal.top_toReal, inv_zero, zero_smul]
rfl
by_cases hf : Integrable f μ
swap; · rw [integral_undef hf, smul_zero, condexp_undef hf]; rfl
have h_meas : StronglyMeasurable[⊥] (μ[f|⊥]) := stronglyMeasurable_condexp
obtain ⟨c, h_eq⟩ := stronglyMeasurable_bot_iff.mp h_meas
rw [h_eq]
have h_integral : ∫ x, (μ[f|⊥]) x ∂μ = ∫ x, f x ∂μ := integral_condexp bot_le hf
simp_rw [h_eq, integral_const] at h_integral
rw [← h_integral, ← smul_assoc, smul_eq_mul, inv_mul_cancel, one_smul]
rw [Ne.def, ENNReal.toReal_eq_zero_iff, not_or]
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.248_0.yd50cWAuCo6hlry
|
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f✝ g : α → F'
s : Set α
f : α → F'
⊢ μ[f|⊥] =ᵐ[μ] fun x => (ENNReal.toReal (↑↑μ Set.univ))⁻¹ • ∫ (x : α), f x ∂μ
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
exact (condexp_ae_eq_condexpL1 hm f).trans
(Filter.EventuallyEq.trans (by rw [condexpL1_congr_ae hm h])
(condexp_ae_eq_condexpL1 hm g).symm)
#align measure_theory.condexp_congr_ae MeasureTheory.condexp_congr_ae
theorem condexp_of_aestronglyMeasurable' (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : AEStronglyMeasurable' m f μ) (hfi : Integrable f μ) : μ[f|m] =ᵐ[μ] f := by
refine' ((condexp_congr_ae hf.ae_eq_mk).trans _).trans hf.ae_eq_mk.symm
rw [condexp_of_stronglyMeasurable hm hf.stronglyMeasurable_mk
((integrable_congr hf.ae_eq_mk).mp hfi)]
#align measure_theory.condexp_of_ae_strongly_measurable' MeasureTheory.condexp_of_aestronglyMeasurable'
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact integrable_zero _ _ _
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact integrable_zero _ _ _
haveI : SigmaFinite (μ.trim hm) := hμm
exact (integrable_condexpL1 f).congr (condexp_ae_eq_condexpL1 hm f).symm
#align measure_theory.integrable_condexp MeasureTheory.integrable_condexp
/-- The integral of the conditional expectation `μ[f|hm]` over an `m`-measurable set is equal to
the integral of `f` on that set. -/
theorem set_integral_condexp (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ)
(hs : MeasurableSet[m] s) : ∫ x in s, (μ[f|m]) x ∂μ = ∫ x in s, f x ∂μ := by
rw [set_integral_congr_ae (hm s hs) ((condexp_ae_eq_condexpL1 hm f).mono fun x hx _ => hx)]
exact set_integral_condexpL1 hf hs
#align measure_theory.set_integral_condexp MeasureTheory.set_integral_condexp
theorem integral_condexp (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
∫ x, (μ[f|m]) x ∂μ = ∫ x, f x ∂μ := by
suffices ∫ x in Set.univ, (μ[f|m]) x ∂μ = ∫ x in Set.univ, f x ∂μ by
simp_rw [integral_univ] at this; exact this
exact set_integral_condexp hm hf (@MeasurableSet.univ _ m)
#align measure_theory.integral_condexp MeasureTheory.integral_condexp
/-- **Uniqueness of the conditional expectation**
If a function is a.e. `m`-measurable, verifies an integrability condition and has same integral
as `f` on all `m`-measurable sets, then it is a.e. equal to `μ[f|hm]`. -/
theorem ae_eq_condexp_of_forall_set_integral_eq (hm : m ≤ m0) [SigmaFinite (μ.trim hm)]
{f g : α → F'} (hf : Integrable f μ)
(hg_int_finite : ∀ s, MeasurableSet[m] s → μ s < ∞ → IntegrableOn g s μ)
(hg_eq : ∀ s : Set α, MeasurableSet[m] s → μ s < ∞ → ∫ x in s, g x ∂μ = ∫ x in s, f x ∂μ)
(hgm : AEStronglyMeasurable' m g μ) : g =ᵐ[μ] μ[f|m] := by
refine' ae_eq_of_forall_set_integral_eq_of_sigmaFinite' hm hg_int_finite
(fun s _ _ => integrable_condexp.integrableOn) (fun s hs hμs => _) hgm
(StronglyMeasurable.aeStronglyMeasurable' stronglyMeasurable_condexp)
rw [hg_eq s hs hμs, set_integral_condexp hm hf hs]
#align measure_theory.ae_eq_condexp_of_forall_set_integral_eq MeasureTheory.ae_eq_condexp_of_forall_set_integral_eq
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
by_cases hμ_finite : IsFiniteMeasure μ
swap
· have h : ¬SigmaFinite (μ.trim bot_le) := by rwa [sigmaFinite_trim_bot_iff]
rw [not_isFiniteMeasure_iff] at hμ_finite
rw [condexp_of_not_sigmaFinite bot_le h]
simp only [hμ_finite, ENNReal.top_toReal, inv_zero, zero_smul]
rfl
by_cases hf : Integrable f μ
swap; · rw [integral_undef hf, smul_zero, condexp_undef hf]; rfl
have h_meas : StronglyMeasurable[⊥] (μ[f|⊥]) := stronglyMeasurable_condexp
obtain ⟨c, h_eq⟩ := stronglyMeasurable_bot_iff.mp h_meas
rw [h_eq]
have h_integral : ∫ x, (μ[f|⊥]) x ∂μ = ∫ x, f x ∂μ := integral_condexp bot_le hf
simp_rw [h_eq, integral_const] at h_integral
rw [← h_integral, ← smul_assoc, smul_eq_mul, inv_mul_cancel, one_smul]
rw [Ne.def, ENNReal.toReal_eq_zero_iff, not_or]
exact ⟨NeZero.ne _, measure_ne_top μ Set.univ⟩
#align measure_theory.condexp_bot' MeasureTheory.condexp_bot'
theorem condexp_bot_ae_eq (f : α → F') :
μ[f|⊥] =ᵐ[μ] fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
|
rcases eq_zero_or_neZero μ with rfl | hμ
|
theorem condexp_bot_ae_eq (f : α → F') :
μ[f|⊥] =ᵐ[μ] fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.269_0.yd50cWAuCo6hlry
|
theorem condexp_bot_ae_eq (f : α → F') :
μ[f|⊥] =ᵐ[μ] fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case inl
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
f✝ g : α → F'
s : Set α
f : α → F'
⊢ 0[f|⊥] =ᵐ[0] fun x => (ENNReal.toReal (↑↑0 Set.univ))⁻¹ • ∫ (x : α), f x ∂0
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
exact (condexp_ae_eq_condexpL1 hm f).trans
(Filter.EventuallyEq.trans (by rw [condexpL1_congr_ae hm h])
(condexp_ae_eq_condexpL1 hm g).symm)
#align measure_theory.condexp_congr_ae MeasureTheory.condexp_congr_ae
theorem condexp_of_aestronglyMeasurable' (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : AEStronglyMeasurable' m f μ) (hfi : Integrable f μ) : μ[f|m] =ᵐ[μ] f := by
refine' ((condexp_congr_ae hf.ae_eq_mk).trans _).trans hf.ae_eq_mk.symm
rw [condexp_of_stronglyMeasurable hm hf.stronglyMeasurable_mk
((integrable_congr hf.ae_eq_mk).mp hfi)]
#align measure_theory.condexp_of_ae_strongly_measurable' MeasureTheory.condexp_of_aestronglyMeasurable'
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact integrable_zero _ _ _
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact integrable_zero _ _ _
haveI : SigmaFinite (μ.trim hm) := hμm
exact (integrable_condexpL1 f).congr (condexp_ae_eq_condexpL1 hm f).symm
#align measure_theory.integrable_condexp MeasureTheory.integrable_condexp
/-- The integral of the conditional expectation `μ[f|hm]` over an `m`-measurable set is equal to
the integral of `f` on that set. -/
theorem set_integral_condexp (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ)
(hs : MeasurableSet[m] s) : ∫ x in s, (μ[f|m]) x ∂μ = ∫ x in s, f x ∂μ := by
rw [set_integral_congr_ae (hm s hs) ((condexp_ae_eq_condexpL1 hm f).mono fun x hx _ => hx)]
exact set_integral_condexpL1 hf hs
#align measure_theory.set_integral_condexp MeasureTheory.set_integral_condexp
theorem integral_condexp (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
∫ x, (μ[f|m]) x ∂μ = ∫ x, f x ∂μ := by
suffices ∫ x in Set.univ, (μ[f|m]) x ∂μ = ∫ x in Set.univ, f x ∂μ by
simp_rw [integral_univ] at this; exact this
exact set_integral_condexp hm hf (@MeasurableSet.univ _ m)
#align measure_theory.integral_condexp MeasureTheory.integral_condexp
/-- **Uniqueness of the conditional expectation**
If a function is a.e. `m`-measurable, verifies an integrability condition and has same integral
as `f` on all `m`-measurable sets, then it is a.e. equal to `μ[f|hm]`. -/
theorem ae_eq_condexp_of_forall_set_integral_eq (hm : m ≤ m0) [SigmaFinite (μ.trim hm)]
{f g : α → F'} (hf : Integrable f μ)
(hg_int_finite : ∀ s, MeasurableSet[m] s → μ s < ∞ → IntegrableOn g s μ)
(hg_eq : ∀ s : Set α, MeasurableSet[m] s → μ s < ∞ → ∫ x in s, g x ∂μ = ∫ x in s, f x ∂μ)
(hgm : AEStronglyMeasurable' m g μ) : g =ᵐ[μ] μ[f|m] := by
refine' ae_eq_of_forall_set_integral_eq_of_sigmaFinite' hm hg_int_finite
(fun s _ _ => integrable_condexp.integrableOn) (fun s hs hμs => _) hgm
(StronglyMeasurable.aeStronglyMeasurable' stronglyMeasurable_condexp)
rw [hg_eq s hs hμs, set_integral_condexp hm hf hs]
#align measure_theory.ae_eq_condexp_of_forall_set_integral_eq MeasureTheory.ae_eq_condexp_of_forall_set_integral_eq
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
by_cases hμ_finite : IsFiniteMeasure μ
swap
· have h : ¬SigmaFinite (μ.trim bot_le) := by rwa [sigmaFinite_trim_bot_iff]
rw [not_isFiniteMeasure_iff] at hμ_finite
rw [condexp_of_not_sigmaFinite bot_le h]
simp only [hμ_finite, ENNReal.top_toReal, inv_zero, zero_smul]
rfl
by_cases hf : Integrable f μ
swap; · rw [integral_undef hf, smul_zero, condexp_undef hf]; rfl
have h_meas : StronglyMeasurable[⊥] (μ[f|⊥]) := stronglyMeasurable_condexp
obtain ⟨c, h_eq⟩ := stronglyMeasurable_bot_iff.mp h_meas
rw [h_eq]
have h_integral : ∫ x, (μ[f|⊥]) x ∂μ = ∫ x, f x ∂μ := integral_condexp bot_le hf
simp_rw [h_eq, integral_const] at h_integral
rw [← h_integral, ← smul_assoc, smul_eq_mul, inv_mul_cancel, one_smul]
rw [Ne.def, ENNReal.toReal_eq_zero_iff, not_or]
exact ⟨NeZero.ne _, measure_ne_top μ Set.univ⟩
#align measure_theory.condexp_bot' MeasureTheory.condexp_bot'
theorem condexp_bot_ae_eq (f : α → F') :
μ[f|⊥] =ᵐ[μ] fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
rcases eq_zero_or_neZero μ with rfl | hμ
·
|
rw [ae_zero]
|
theorem condexp_bot_ae_eq (f : α → F') :
μ[f|⊥] =ᵐ[μ] fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
rcases eq_zero_or_neZero μ with rfl | hμ
·
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.269_0.yd50cWAuCo6hlry
|
theorem condexp_bot_ae_eq (f : α → F') :
μ[f|⊥] =ᵐ[μ] fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case inl
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
f✝ g : α → F'
s : Set α
f : α → F'
⊢ 0[f|⊥] =ᶠ[⊥] fun x => (ENNReal.toReal (↑↑0 Set.univ))⁻¹ • ∫ (x : α), f x ∂0
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
exact (condexp_ae_eq_condexpL1 hm f).trans
(Filter.EventuallyEq.trans (by rw [condexpL1_congr_ae hm h])
(condexp_ae_eq_condexpL1 hm g).symm)
#align measure_theory.condexp_congr_ae MeasureTheory.condexp_congr_ae
theorem condexp_of_aestronglyMeasurable' (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : AEStronglyMeasurable' m f μ) (hfi : Integrable f μ) : μ[f|m] =ᵐ[μ] f := by
refine' ((condexp_congr_ae hf.ae_eq_mk).trans _).trans hf.ae_eq_mk.symm
rw [condexp_of_stronglyMeasurable hm hf.stronglyMeasurable_mk
((integrable_congr hf.ae_eq_mk).mp hfi)]
#align measure_theory.condexp_of_ae_strongly_measurable' MeasureTheory.condexp_of_aestronglyMeasurable'
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact integrable_zero _ _ _
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact integrable_zero _ _ _
haveI : SigmaFinite (μ.trim hm) := hμm
exact (integrable_condexpL1 f).congr (condexp_ae_eq_condexpL1 hm f).symm
#align measure_theory.integrable_condexp MeasureTheory.integrable_condexp
/-- The integral of the conditional expectation `μ[f|hm]` over an `m`-measurable set is equal to
the integral of `f` on that set. -/
theorem set_integral_condexp (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ)
(hs : MeasurableSet[m] s) : ∫ x in s, (μ[f|m]) x ∂μ = ∫ x in s, f x ∂μ := by
rw [set_integral_congr_ae (hm s hs) ((condexp_ae_eq_condexpL1 hm f).mono fun x hx _ => hx)]
exact set_integral_condexpL1 hf hs
#align measure_theory.set_integral_condexp MeasureTheory.set_integral_condexp
theorem integral_condexp (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
∫ x, (μ[f|m]) x ∂μ = ∫ x, f x ∂μ := by
suffices ∫ x in Set.univ, (μ[f|m]) x ∂μ = ∫ x in Set.univ, f x ∂μ by
simp_rw [integral_univ] at this; exact this
exact set_integral_condexp hm hf (@MeasurableSet.univ _ m)
#align measure_theory.integral_condexp MeasureTheory.integral_condexp
/-- **Uniqueness of the conditional expectation**
If a function is a.e. `m`-measurable, verifies an integrability condition and has same integral
as `f` on all `m`-measurable sets, then it is a.e. equal to `μ[f|hm]`. -/
theorem ae_eq_condexp_of_forall_set_integral_eq (hm : m ≤ m0) [SigmaFinite (μ.trim hm)]
{f g : α → F'} (hf : Integrable f μ)
(hg_int_finite : ∀ s, MeasurableSet[m] s → μ s < ∞ → IntegrableOn g s μ)
(hg_eq : ∀ s : Set α, MeasurableSet[m] s → μ s < ∞ → ∫ x in s, g x ∂μ = ∫ x in s, f x ∂μ)
(hgm : AEStronglyMeasurable' m g μ) : g =ᵐ[μ] μ[f|m] := by
refine' ae_eq_of_forall_set_integral_eq_of_sigmaFinite' hm hg_int_finite
(fun s _ _ => integrable_condexp.integrableOn) (fun s hs hμs => _) hgm
(StronglyMeasurable.aeStronglyMeasurable' stronglyMeasurable_condexp)
rw [hg_eq s hs hμs, set_integral_condexp hm hf hs]
#align measure_theory.ae_eq_condexp_of_forall_set_integral_eq MeasureTheory.ae_eq_condexp_of_forall_set_integral_eq
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
by_cases hμ_finite : IsFiniteMeasure μ
swap
· have h : ¬SigmaFinite (μ.trim bot_le) := by rwa [sigmaFinite_trim_bot_iff]
rw [not_isFiniteMeasure_iff] at hμ_finite
rw [condexp_of_not_sigmaFinite bot_le h]
simp only [hμ_finite, ENNReal.top_toReal, inv_zero, zero_smul]
rfl
by_cases hf : Integrable f μ
swap; · rw [integral_undef hf, smul_zero, condexp_undef hf]; rfl
have h_meas : StronglyMeasurable[⊥] (μ[f|⊥]) := stronglyMeasurable_condexp
obtain ⟨c, h_eq⟩ := stronglyMeasurable_bot_iff.mp h_meas
rw [h_eq]
have h_integral : ∫ x, (μ[f|⊥]) x ∂μ = ∫ x, f x ∂μ := integral_condexp bot_le hf
simp_rw [h_eq, integral_const] at h_integral
rw [← h_integral, ← smul_assoc, smul_eq_mul, inv_mul_cancel, one_smul]
rw [Ne.def, ENNReal.toReal_eq_zero_iff, not_or]
exact ⟨NeZero.ne _, measure_ne_top μ Set.univ⟩
#align measure_theory.condexp_bot' MeasureTheory.condexp_bot'
theorem condexp_bot_ae_eq (f : α → F') :
μ[f|⊥] =ᵐ[μ] fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
rcases eq_zero_or_neZero μ with rfl | hμ
· rw [ae_zero];
|
exact eventually_bot
|
theorem condexp_bot_ae_eq (f : α → F') :
μ[f|⊥] =ᵐ[μ] fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
rcases eq_zero_or_neZero μ with rfl | hμ
· rw [ae_zero];
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.269_0.yd50cWAuCo6hlry
|
theorem condexp_bot_ae_eq (f : α → F') :
μ[f|⊥] =ᵐ[μ] fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case inr
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f✝ g : α → F'
s : Set α
f : α → F'
hμ : NeZero μ
⊢ μ[f|⊥] =ᵐ[μ] fun x => (ENNReal.toReal (↑↑μ Set.univ))⁻¹ • ∫ (x : α), f x ∂μ
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
exact (condexp_ae_eq_condexpL1 hm f).trans
(Filter.EventuallyEq.trans (by rw [condexpL1_congr_ae hm h])
(condexp_ae_eq_condexpL1 hm g).symm)
#align measure_theory.condexp_congr_ae MeasureTheory.condexp_congr_ae
theorem condexp_of_aestronglyMeasurable' (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : AEStronglyMeasurable' m f μ) (hfi : Integrable f μ) : μ[f|m] =ᵐ[μ] f := by
refine' ((condexp_congr_ae hf.ae_eq_mk).trans _).trans hf.ae_eq_mk.symm
rw [condexp_of_stronglyMeasurable hm hf.stronglyMeasurable_mk
((integrable_congr hf.ae_eq_mk).mp hfi)]
#align measure_theory.condexp_of_ae_strongly_measurable' MeasureTheory.condexp_of_aestronglyMeasurable'
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact integrable_zero _ _ _
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact integrable_zero _ _ _
haveI : SigmaFinite (μ.trim hm) := hμm
exact (integrable_condexpL1 f).congr (condexp_ae_eq_condexpL1 hm f).symm
#align measure_theory.integrable_condexp MeasureTheory.integrable_condexp
/-- The integral of the conditional expectation `μ[f|hm]` over an `m`-measurable set is equal to
the integral of `f` on that set. -/
theorem set_integral_condexp (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ)
(hs : MeasurableSet[m] s) : ∫ x in s, (μ[f|m]) x ∂μ = ∫ x in s, f x ∂μ := by
rw [set_integral_congr_ae (hm s hs) ((condexp_ae_eq_condexpL1 hm f).mono fun x hx _ => hx)]
exact set_integral_condexpL1 hf hs
#align measure_theory.set_integral_condexp MeasureTheory.set_integral_condexp
theorem integral_condexp (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
∫ x, (μ[f|m]) x ∂μ = ∫ x, f x ∂μ := by
suffices ∫ x in Set.univ, (μ[f|m]) x ∂μ = ∫ x in Set.univ, f x ∂μ by
simp_rw [integral_univ] at this; exact this
exact set_integral_condexp hm hf (@MeasurableSet.univ _ m)
#align measure_theory.integral_condexp MeasureTheory.integral_condexp
/-- **Uniqueness of the conditional expectation**
If a function is a.e. `m`-measurable, verifies an integrability condition and has same integral
as `f` on all `m`-measurable sets, then it is a.e. equal to `μ[f|hm]`. -/
theorem ae_eq_condexp_of_forall_set_integral_eq (hm : m ≤ m0) [SigmaFinite (μ.trim hm)]
{f g : α → F'} (hf : Integrable f μ)
(hg_int_finite : ∀ s, MeasurableSet[m] s → μ s < ∞ → IntegrableOn g s μ)
(hg_eq : ∀ s : Set α, MeasurableSet[m] s → μ s < ∞ → ∫ x in s, g x ∂μ = ∫ x in s, f x ∂μ)
(hgm : AEStronglyMeasurable' m g μ) : g =ᵐ[μ] μ[f|m] := by
refine' ae_eq_of_forall_set_integral_eq_of_sigmaFinite' hm hg_int_finite
(fun s _ _ => integrable_condexp.integrableOn) (fun s hs hμs => _) hgm
(StronglyMeasurable.aeStronglyMeasurable' stronglyMeasurable_condexp)
rw [hg_eq s hs hμs, set_integral_condexp hm hf hs]
#align measure_theory.ae_eq_condexp_of_forall_set_integral_eq MeasureTheory.ae_eq_condexp_of_forall_set_integral_eq
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
by_cases hμ_finite : IsFiniteMeasure μ
swap
· have h : ¬SigmaFinite (μ.trim bot_le) := by rwa [sigmaFinite_trim_bot_iff]
rw [not_isFiniteMeasure_iff] at hμ_finite
rw [condexp_of_not_sigmaFinite bot_le h]
simp only [hμ_finite, ENNReal.top_toReal, inv_zero, zero_smul]
rfl
by_cases hf : Integrable f μ
swap; · rw [integral_undef hf, smul_zero, condexp_undef hf]; rfl
have h_meas : StronglyMeasurable[⊥] (μ[f|⊥]) := stronglyMeasurable_condexp
obtain ⟨c, h_eq⟩ := stronglyMeasurable_bot_iff.mp h_meas
rw [h_eq]
have h_integral : ∫ x, (μ[f|⊥]) x ∂μ = ∫ x, f x ∂μ := integral_condexp bot_le hf
simp_rw [h_eq, integral_const] at h_integral
rw [← h_integral, ← smul_assoc, smul_eq_mul, inv_mul_cancel, one_smul]
rw [Ne.def, ENNReal.toReal_eq_zero_iff, not_or]
exact ⟨NeZero.ne _, measure_ne_top μ Set.univ⟩
#align measure_theory.condexp_bot' MeasureTheory.condexp_bot'
theorem condexp_bot_ae_eq (f : α → F') :
μ[f|⊥] =ᵐ[μ] fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
rcases eq_zero_or_neZero μ with rfl | hμ
· rw [ae_zero]; exact eventually_bot
·
|
exact eventually_of_forall <| congr_fun (condexp_bot' f)
|
theorem condexp_bot_ae_eq (f : α → F') :
μ[f|⊥] =ᵐ[μ] fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
rcases eq_zero_or_neZero μ with rfl | hμ
· rw [ae_zero]; exact eventually_bot
·
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.269_0.yd50cWAuCo6hlry
|
theorem condexp_bot_ae_eq (f : α → F') :
μ[f|⊥] =ᵐ[μ] fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁷ : IsROrC 𝕜
inst✝⁶ : NormedAddCommGroup F
inst✝⁵ : NormedSpace 𝕜 F
inst✝⁴ : NormedAddCommGroup F'
inst✝³ : NormedSpace 𝕜 F'
inst✝² : NormedSpace ℝ F'
inst✝¹ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f✝ g : α → F'
s : Set α
inst✝ : IsProbabilityMeasure μ
f : α → F'
⊢ μ[f|⊥] = fun x => ∫ (x : α), f x ∂μ
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
exact (condexp_ae_eq_condexpL1 hm f).trans
(Filter.EventuallyEq.trans (by rw [condexpL1_congr_ae hm h])
(condexp_ae_eq_condexpL1 hm g).symm)
#align measure_theory.condexp_congr_ae MeasureTheory.condexp_congr_ae
theorem condexp_of_aestronglyMeasurable' (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : AEStronglyMeasurable' m f μ) (hfi : Integrable f μ) : μ[f|m] =ᵐ[μ] f := by
refine' ((condexp_congr_ae hf.ae_eq_mk).trans _).trans hf.ae_eq_mk.symm
rw [condexp_of_stronglyMeasurable hm hf.stronglyMeasurable_mk
((integrable_congr hf.ae_eq_mk).mp hfi)]
#align measure_theory.condexp_of_ae_strongly_measurable' MeasureTheory.condexp_of_aestronglyMeasurable'
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact integrable_zero _ _ _
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact integrable_zero _ _ _
haveI : SigmaFinite (μ.trim hm) := hμm
exact (integrable_condexpL1 f).congr (condexp_ae_eq_condexpL1 hm f).symm
#align measure_theory.integrable_condexp MeasureTheory.integrable_condexp
/-- The integral of the conditional expectation `μ[f|hm]` over an `m`-measurable set is equal to
the integral of `f` on that set. -/
theorem set_integral_condexp (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ)
(hs : MeasurableSet[m] s) : ∫ x in s, (μ[f|m]) x ∂μ = ∫ x in s, f x ∂μ := by
rw [set_integral_congr_ae (hm s hs) ((condexp_ae_eq_condexpL1 hm f).mono fun x hx _ => hx)]
exact set_integral_condexpL1 hf hs
#align measure_theory.set_integral_condexp MeasureTheory.set_integral_condexp
theorem integral_condexp (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
∫ x, (μ[f|m]) x ∂μ = ∫ x, f x ∂μ := by
suffices ∫ x in Set.univ, (μ[f|m]) x ∂μ = ∫ x in Set.univ, f x ∂μ by
simp_rw [integral_univ] at this; exact this
exact set_integral_condexp hm hf (@MeasurableSet.univ _ m)
#align measure_theory.integral_condexp MeasureTheory.integral_condexp
/-- **Uniqueness of the conditional expectation**
If a function is a.e. `m`-measurable, verifies an integrability condition and has same integral
as `f` on all `m`-measurable sets, then it is a.e. equal to `μ[f|hm]`. -/
theorem ae_eq_condexp_of_forall_set_integral_eq (hm : m ≤ m0) [SigmaFinite (μ.trim hm)]
{f g : α → F'} (hf : Integrable f μ)
(hg_int_finite : ∀ s, MeasurableSet[m] s → μ s < ∞ → IntegrableOn g s μ)
(hg_eq : ∀ s : Set α, MeasurableSet[m] s → μ s < ∞ → ∫ x in s, g x ∂μ = ∫ x in s, f x ∂μ)
(hgm : AEStronglyMeasurable' m g μ) : g =ᵐ[μ] μ[f|m] := by
refine' ae_eq_of_forall_set_integral_eq_of_sigmaFinite' hm hg_int_finite
(fun s _ _ => integrable_condexp.integrableOn) (fun s hs hμs => _) hgm
(StronglyMeasurable.aeStronglyMeasurable' stronglyMeasurable_condexp)
rw [hg_eq s hs hμs, set_integral_condexp hm hf hs]
#align measure_theory.ae_eq_condexp_of_forall_set_integral_eq MeasureTheory.ae_eq_condexp_of_forall_set_integral_eq
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
by_cases hμ_finite : IsFiniteMeasure μ
swap
· have h : ¬SigmaFinite (μ.trim bot_le) := by rwa [sigmaFinite_trim_bot_iff]
rw [not_isFiniteMeasure_iff] at hμ_finite
rw [condexp_of_not_sigmaFinite bot_le h]
simp only [hμ_finite, ENNReal.top_toReal, inv_zero, zero_smul]
rfl
by_cases hf : Integrable f μ
swap; · rw [integral_undef hf, smul_zero, condexp_undef hf]; rfl
have h_meas : StronglyMeasurable[⊥] (μ[f|⊥]) := stronglyMeasurable_condexp
obtain ⟨c, h_eq⟩ := stronglyMeasurable_bot_iff.mp h_meas
rw [h_eq]
have h_integral : ∫ x, (μ[f|⊥]) x ∂μ = ∫ x, f x ∂μ := integral_condexp bot_le hf
simp_rw [h_eq, integral_const] at h_integral
rw [← h_integral, ← smul_assoc, smul_eq_mul, inv_mul_cancel, one_smul]
rw [Ne.def, ENNReal.toReal_eq_zero_iff, not_or]
exact ⟨NeZero.ne _, measure_ne_top μ Set.univ⟩
#align measure_theory.condexp_bot' MeasureTheory.condexp_bot'
theorem condexp_bot_ae_eq (f : α → F') :
μ[f|⊥] =ᵐ[μ] fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
rcases eq_zero_or_neZero μ with rfl | hμ
· rw [ae_zero]; exact eventually_bot
· exact eventually_of_forall <| congr_fun (condexp_bot' f)
#align measure_theory.condexp_bot_ae_eq MeasureTheory.condexp_bot_ae_eq
theorem condexp_bot [IsProbabilityMeasure μ] (f : α → F') : μ[f|⊥] = fun _ => ∫ x, f x ∂μ := by
|
refine' (condexp_bot' f).trans _
|
theorem condexp_bot [IsProbabilityMeasure μ] (f : α → F') : μ[f|⊥] = fun _ => ∫ x, f x ∂μ := by
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.276_0.yd50cWAuCo6hlry
|
theorem condexp_bot [IsProbabilityMeasure μ] (f : α → F') : μ[f|⊥] = fun _ => ∫ x, f x ∂μ
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁷ : IsROrC 𝕜
inst✝⁶ : NormedAddCommGroup F
inst✝⁵ : NormedSpace 𝕜 F
inst✝⁴ : NormedAddCommGroup F'
inst✝³ : NormedSpace 𝕜 F'
inst✝² : NormedSpace ℝ F'
inst✝¹ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f✝ g : α → F'
s : Set α
inst✝ : IsProbabilityMeasure μ
f : α → F'
⊢ (fun x => (ENNReal.toReal (↑↑μ Set.univ))⁻¹ • ∫ (x : α), f x ∂μ) = fun x => ∫ (x : α), f x ∂μ
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
exact (condexp_ae_eq_condexpL1 hm f).trans
(Filter.EventuallyEq.trans (by rw [condexpL1_congr_ae hm h])
(condexp_ae_eq_condexpL1 hm g).symm)
#align measure_theory.condexp_congr_ae MeasureTheory.condexp_congr_ae
theorem condexp_of_aestronglyMeasurable' (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : AEStronglyMeasurable' m f μ) (hfi : Integrable f μ) : μ[f|m] =ᵐ[μ] f := by
refine' ((condexp_congr_ae hf.ae_eq_mk).trans _).trans hf.ae_eq_mk.symm
rw [condexp_of_stronglyMeasurable hm hf.stronglyMeasurable_mk
((integrable_congr hf.ae_eq_mk).mp hfi)]
#align measure_theory.condexp_of_ae_strongly_measurable' MeasureTheory.condexp_of_aestronglyMeasurable'
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact integrable_zero _ _ _
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact integrable_zero _ _ _
haveI : SigmaFinite (μ.trim hm) := hμm
exact (integrable_condexpL1 f).congr (condexp_ae_eq_condexpL1 hm f).symm
#align measure_theory.integrable_condexp MeasureTheory.integrable_condexp
/-- The integral of the conditional expectation `μ[f|hm]` over an `m`-measurable set is equal to
the integral of `f` on that set. -/
theorem set_integral_condexp (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ)
(hs : MeasurableSet[m] s) : ∫ x in s, (μ[f|m]) x ∂μ = ∫ x in s, f x ∂μ := by
rw [set_integral_congr_ae (hm s hs) ((condexp_ae_eq_condexpL1 hm f).mono fun x hx _ => hx)]
exact set_integral_condexpL1 hf hs
#align measure_theory.set_integral_condexp MeasureTheory.set_integral_condexp
theorem integral_condexp (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
∫ x, (μ[f|m]) x ∂μ = ∫ x, f x ∂μ := by
suffices ∫ x in Set.univ, (μ[f|m]) x ∂μ = ∫ x in Set.univ, f x ∂μ by
simp_rw [integral_univ] at this; exact this
exact set_integral_condexp hm hf (@MeasurableSet.univ _ m)
#align measure_theory.integral_condexp MeasureTheory.integral_condexp
/-- **Uniqueness of the conditional expectation**
If a function is a.e. `m`-measurable, verifies an integrability condition and has same integral
as `f` on all `m`-measurable sets, then it is a.e. equal to `μ[f|hm]`. -/
theorem ae_eq_condexp_of_forall_set_integral_eq (hm : m ≤ m0) [SigmaFinite (μ.trim hm)]
{f g : α → F'} (hf : Integrable f μ)
(hg_int_finite : ∀ s, MeasurableSet[m] s → μ s < ∞ → IntegrableOn g s μ)
(hg_eq : ∀ s : Set α, MeasurableSet[m] s → μ s < ∞ → ∫ x in s, g x ∂μ = ∫ x in s, f x ∂μ)
(hgm : AEStronglyMeasurable' m g μ) : g =ᵐ[μ] μ[f|m] := by
refine' ae_eq_of_forall_set_integral_eq_of_sigmaFinite' hm hg_int_finite
(fun s _ _ => integrable_condexp.integrableOn) (fun s hs hμs => _) hgm
(StronglyMeasurable.aeStronglyMeasurable' stronglyMeasurable_condexp)
rw [hg_eq s hs hμs, set_integral_condexp hm hf hs]
#align measure_theory.ae_eq_condexp_of_forall_set_integral_eq MeasureTheory.ae_eq_condexp_of_forall_set_integral_eq
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
by_cases hμ_finite : IsFiniteMeasure μ
swap
· have h : ¬SigmaFinite (μ.trim bot_le) := by rwa [sigmaFinite_trim_bot_iff]
rw [not_isFiniteMeasure_iff] at hμ_finite
rw [condexp_of_not_sigmaFinite bot_le h]
simp only [hμ_finite, ENNReal.top_toReal, inv_zero, zero_smul]
rfl
by_cases hf : Integrable f μ
swap; · rw [integral_undef hf, smul_zero, condexp_undef hf]; rfl
have h_meas : StronglyMeasurable[⊥] (μ[f|⊥]) := stronglyMeasurable_condexp
obtain ⟨c, h_eq⟩ := stronglyMeasurable_bot_iff.mp h_meas
rw [h_eq]
have h_integral : ∫ x, (μ[f|⊥]) x ∂μ = ∫ x, f x ∂μ := integral_condexp bot_le hf
simp_rw [h_eq, integral_const] at h_integral
rw [← h_integral, ← smul_assoc, smul_eq_mul, inv_mul_cancel, one_smul]
rw [Ne.def, ENNReal.toReal_eq_zero_iff, not_or]
exact ⟨NeZero.ne _, measure_ne_top μ Set.univ⟩
#align measure_theory.condexp_bot' MeasureTheory.condexp_bot'
theorem condexp_bot_ae_eq (f : α → F') :
μ[f|⊥] =ᵐ[μ] fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
rcases eq_zero_or_neZero μ with rfl | hμ
· rw [ae_zero]; exact eventually_bot
· exact eventually_of_forall <| congr_fun (condexp_bot' f)
#align measure_theory.condexp_bot_ae_eq MeasureTheory.condexp_bot_ae_eq
theorem condexp_bot [IsProbabilityMeasure μ] (f : α → F') : μ[f|⊥] = fun _ => ∫ x, f x ∂μ := by
refine' (condexp_bot' f).trans _;
|
rw [measure_univ, ENNReal.one_toReal, inv_one, one_smul]
|
theorem condexp_bot [IsProbabilityMeasure μ] (f : α → F') : μ[f|⊥] = fun _ => ∫ x, f x ∂μ := by
refine' (condexp_bot' f).trans _;
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.276_0.yd50cWAuCo6hlry
|
theorem condexp_bot [IsProbabilityMeasure μ] (f : α → F') : μ[f|⊥] = fun _ => ∫ x, f x ∂μ
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
hf : Integrable f
hg : Integrable g
⊢ μ[f + g|m] =ᵐ[μ] μ[f|m] + μ[g|m]
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
exact (condexp_ae_eq_condexpL1 hm f).trans
(Filter.EventuallyEq.trans (by rw [condexpL1_congr_ae hm h])
(condexp_ae_eq_condexpL1 hm g).symm)
#align measure_theory.condexp_congr_ae MeasureTheory.condexp_congr_ae
theorem condexp_of_aestronglyMeasurable' (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : AEStronglyMeasurable' m f μ) (hfi : Integrable f μ) : μ[f|m] =ᵐ[μ] f := by
refine' ((condexp_congr_ae hf.ae_eq_mk).trans _).trans hf.ae_eq_mk.symm
rw [condexp_of_stronglyMeasurable hm hf.stronglyMeasurable_mk
((integrable_congr hf.ae_eq_mk).mp hfi)]
#align measure_theory.condexp_of_ae_strongly_measurable' MeasureTheory.condexp_of_aestronglyMeasurable'
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact integrable_zero _ _ _
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact integrable_zero _ _ _
haveI : SigmaFinite (μ.trim hm) := hμm
exact (integrable_condexpL1 f).congr (condexp_ae_eq_condexpL1 hm f).symm
#align measure_theory.integrable_condexp MeasureTheory.integrable_condexp
/-- The integral of the conditional expectation `μ[f|hm]` over an `m`-measurable set is equal to
the integral of `f` on that set. -/
theorem set_integral_condexp (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ)
(hs : MeasurableSet[m] s) : ∫ x in s, (μ[f|m]) x ∂μ = ∫ x in s, f x ∂μ := by
rw [set_integral_congr_ae (hm s hs) ((condexp_ae_eq_condexpL1 hm f).mono fun x hx _ => hx)]
exact set_integral_condexpL1 hf hs
#align measure_theory.set_integral_condexp MeasureTheory.set_integral_condexp
theorem integral_condexp (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
∫ x, (μ[f|m]) x ∂μ = ∫ x, f x ∂μ := by
suffices ∫ x in Set.univ, (μ[f|m]) x ∂μ = ∫ x in Set.univ, f x ∂μ by
simp_rw [integral_univ] at this; exact this
exact set_integral_condexp hm hf (@MeasurableSet.univ _ m)
#align measure_theory.integral_condexp MeasureTheory.integral_condexp
/-- **Uniqueness of the conditional expectation**
If a function is a.e. `m`-measurable, verifies an integrability condition and has same integral
as `f` on all `m`-measurable sets, then it is a.e. equal to `μ[f|hm]`. -/
theorem ae_eq_condexp_of_forall_set_integral_eq (hm : m ≤ m0) [SigmaFinite (μ.trim hm)]
{f g : α → F'} (hf : Integrable f μ)
(hg_int_finite : ∀ s, MeasurableSet[m] s → μ s < ∞ → IntegrableOn g s μ)
(hg_eq : ∀ s : Set α, MeasurableSet[m] s → μ s < ∞ → ∫ x in s, g x ∂μ = ∫ x in s, f x ∂μ)
(hgm : AEStronglyMeasurable' m g μ) : g =ᵐ[μ] μ[f|m] := by
refine' ae_eq_of_forall_set_integral_eq_of_sigmaFinite' hm hg_int_finite
(fun s _ _ => integrable_condexp.integrableOn) (fun s hs hμs => _) hgm
(StronglyMeasurable.aeStronglyMeasurable' stronglyMeasurable_condexp)
rw [hg_eq s hs hμs, set_integral_condexp hm hf hs]
#align measure_theory.ae_eq_condexp_of_forall_set_integral_eq MeasureTheory.ae_eq_condexp_of_forall_set_integral_eq
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
by_cases hμ_finite : IsFiniteMeasure μ
swap
· have h : ¬SigmaFinite (μ.trim bot_le) := by rwa [sigmaFinite_trim_bot_iff]
rw [not_isFiniteMeasure_iff] at hμ_finite
rw [condexp_of_not_sigmaFinite bot_le h]
simp only [hμ_finite, ENNReal.top_toReal, inv_zero, zero_smul]
rfl
by_cases hf : Integrable f μ
swap; · rw [integral_undef hf, smul_zero, condexp_undef hf]; rfl
have h_meas : StronglyMeasurable[⊥] (μ[f|⊥]) := stronglyMeasurable_condexp
obtain ⟨c, h_eq⟩ := stronglyMeasurable_bot_iff.mp h_meas
rw [h_eq]
have h_integral : ∫ x, (μ[f|⊥]) x ∂μ = ∫ x, f x ∂μ := integral_condexp bot_le hf
simp_rw [h_eq, integral_const] at h_integral
rw [← h_integral, ← smul_assoc, smul_eq_mul, inv_mul_cancel, one_smul]
rw [Ne.def, ENNReal.toReal_eq_zero_iff, not_or]
exact ⟨NeZero.ne _, measure_ne_top μ Set.univ⟩
#align measure_theory.condexp_bot' MeasureTheory.condexp_bot'
theorem condexp_bot_ae_eq (f : α → F') :
μ[f|⊥] =ᵐ[μ] fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
rcases eq_zero_or_neZero μ with rfl | hμ
· rw [ae_zero]; exact eventually_bot
· exact eventually_of_forall <| congr_fun (condexp_bot' f)
#align measure_theory.condexp_bot_ae_eq MeasureTheory.condexp_bot_ae_eq
theorem condexp_bot [IsProbabilityMeasure μ] (f : α → F') : μ[f|⊥] = fun _ => ∫ x, f x ∂μ := by
refine' (condexp_bot' f).trans _; rw [measure_univ, ENNReal.one_toReal, inv_one, one_smul]
#align measure_theory.condexp_bot MeasureTheory.condexp_bot
theorem condexp_add (hf : Integrable f μ) (hg : Integrable g μ) :
μ[f + g|m] =ᵐ[μ] μ[f|m] + μ[g|m] := by
|
by_cases hm : m ≤ m0
|
theorem condexp_add (hf : Integrable f μ) (hg : Integrable g μ) :
μ[f + g|m] =ᵐ[μ] μ[f|m] + μ[g|m] := by
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.280_0.yd50cWAuCo6hlry
|
theorem condexp_add (hf : Integrable f μ) (hg : Integrable g μ) :
μ[f + g|m] =ᵐ[μ] μ[f|m] + μ[g|m]
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case pos
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
hf : Integrable f
hg : Integrable g
hm : m ≤ m0
⊢ μ[f + g|m] =ᵐ[μ] μ[f|m] + μ[g|m]
case neg
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
hf : Integrable f
hg : Integrable g
hm : ¬m ≤ m0
⊢ μ[f + g|m] =ᵐ[μ] μ[f|m] + μ[g|m]
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
exact (condexp_ae_eq_condexpL1 hm f).trans
(Filter.EventuallyEq.trans (by rw [condexpL1_congr_ae hm h])
(condexp_ae_eq_condexpL1 hm g).symm)
#align measure_theory.condexp_congr_ae MeasureTheory.condexp_congr_ae
theorem condexp_of_aestronglyMeasurable' (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : AEStronglyMeasurable' m f μ) (hfi : Integrable f μ) : μ[f|m] =ᵐ[μ] f := by
refine' ((condexp_congr_ae hf.ae_eq_mk).trans _).trans hf.ae_eq_mk.symm
rw [condexp_of_stronglyMeasurable hm hf.stronglyMeasurable_mk
((integrable_congr hf.ae_eq_mk).mp hfi)]
#align measure_theory.condexp_of_ae_strongly_measurable' MeasureTheory.condexp_of_aestronglyMeasurable'
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact integrable_zero _ _ _
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact integrable_zero _ _ _
haveI : SigmaFinite (μ.trim hm) := hμm
exact (integrable_condexpL1 f).congr (condexp_ae_eq_condexpL1 hm f).symm
#align measure_theory.integrable_condexp MeasureTheory.integrable_condexp
/-- The integral of the conditional expectation `μ[f|hm]` over an `m`-measurable set is equal to
the integral of `f` on that set. -/
theorem set_integral_condexp (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ)
(hs : MeasurableSet[m] s) : ∫ x in s, (μ[f|m]) x ∂μ = ∫ x in s, f x ∂μ := by
rw [set_integral_congr_ae (hm s hs) ((condexp_ae_eq_condexpL1 hm f).mono fun x hx _ => hx)]
exact set_integral_condexpL1 hf hs
#align measure_theory.set_integral_condexp MeasureTheory.set_integral_condexp
theorem integral_condexp (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
∫ x, (μ[f|m]) x ∂μ = ∫ x, f x ∂μ := by
suffices ∫ x in Set.univ, (μ[f|m]) x ∂μ = ∫ x in Set.univ, f x ∂μ by
simp_rw [integral_univ] at this; exact this
exact set_integral_condexp hm hf (@MeasurableSet.univ _ m)
#align measure_theory.integral_condexp MeasureTheory.integral_condexp
/-- **Uniqueness of the conditional expectation**
If a function is a.e. `m`-measurable, verifies an integrability condition and has same integral
as `f` on all `m`-measurable sets, then it is a.e. equal to `μ[f|hm]`. -/
theorem ae_eq_condexp_of_forall_set_integral_eq (hm : m ≤ m0) [SigmaFinite (μ.trim hm)]
{f g : α → F'} (hf : Integrable f μ)
(hg_int_finite : ∀ s, MeasurableSet[m] s → μ s < ∞ → IntegrableOn g s μ)
(hg_eq : ∀ s : Set α, MeasurableSet[m] s → μ s < ∞ → ∫ x in s, g x ∂μ = ∫ x in s, f x ∂μ)
(hgm : AEStronglyMeasurable' m g μ) : g =ᵐ[μ] μ[f|m] := by
refine' ae_eq_of_forall_set_integral_eq_of_sigmaFinite' hm hg_int_finite
(fun s _ _ => integrable_condexp.integrableOn) (fun s hs hμs => _) hgm
(StronglyMeasurable.aeStronglyMeasurable' stronglyMeasurable_condexp)
rw [hg_eq s hs hμs, set_integral_condexp hm hf hs]
#align measure_theory.ae_eq_condexp_of_forall_set_integral_eq MeasureTheory.ae_eq_condexp_of_forall_set_integral_eq
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
by_cases hμ_finite : IsFiniteMeasure μ
swap
· have h : ¬SigmaFinite (μ.trim bot_le) := by rwa [sigmaFinite_trim_bot_iff]
rw [not_isFiniteMeasure_iff] at hμ_finite
rw [condexp_of_not_sigmaFinite bot_le h]
simp only [hμ_finite, ENNReal.top_toReal, inv_zero, zero_smul]
rfl
by_cases hf : Integrable f μ
swap; · rw [integral_undef hf, smul_zero, condexp_undef hf]; rfl
have h_meas : StronglyMeasurable[⊥] (μ[f|⊥]) := stronglyMeasurable_condexp
obtain ⟨c, h_eq⟩ := stronglyMeasurable_bot_iff.mp h_meas
rw [h_eq]
have h_integral : ∫ x, (μ[f|⊥]) x ∂μ = ∫ x, f x ∂μ := integral_condexp bot_le hf
simp_rw [h_eq, integral_const] at h_integral
rw [← h_integral, ← smul_assoc, smul_eq_mul, inv_mul_cancel, one_smul]
rw [Ne.def, ENNReal.toReal_eq_zero_iff, not_or]
exact ⟨NeZero.ne _, measure_ne_top μ Set.univ⟩
#align measure_theory.condexp_bot' MeasureTheory.condexp_bot'
theorem condexp_bot_ae_eq (f : α → F') :
μ[f|⊥] =ᵐ[μ] fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
rcases eq_zero_or_neZero μ with rfl | hμ
· rw [ae_zero]; exact eventually_bot
· exact eventually_of_forall <| congr_fun (condexp_bot' f)
#align measure_theory.condexp_bot_ae_eq MeasureTheory.condexp_bot_ae_eq
theorem condexp_bot [IsProbabilityMeasure μ] (f : α → F') : μ[f|⊥] = fun _ => ∫ x, f x ∂μ := by
refine' (condexp_bot' f).trans _; rw [measure_univ, ENNReal.one_toReal, inv_one, one_smul]
#align measure_theory.condexp_bot MeasureTheory.condexp_bot
theorem condexp_add (hf : Integrable f μ) (hg : Integrable g μ) :
μ[f + g|m] =ᵐ[μ] μ[f|m] + μ[g|m] := by
by_cases hm : m ≤ m0
|
swap
|
theorem condexp_add (hf : Integrable f μ) (hg : Integrable g μ) :
μ[f + g|m] =ᵐ[μ] μ[f|m] + μ[g|m] := by
by_cases hm : m ≤ m0
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.280_0.yd50cWAuCo6hlry
|
theorem condexp_add (hf : Integrable f μ) (hg : Integrable g μ) :
μ[f + g|m] =ᵐ[μ] μ[f|m] + μ[g|m]
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case neg
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
hf : Integrable f
hg : Integrable g
hm : ¬m ≤ m0
⊢ μ[f + g|m] =ᵐ[μ] μ[f|m] + μ[g|m]
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
exact (condexp_ae_eq_condexpL1 hm f).trans
(Filter.EventuallyEq.trans (by rw [condexpL1_congr_ae hm h])
(condexp_ae_eq_condexpL1 hm g).symm)
#align measure_theory.condexp_congr_ae MeasureTheory.condexp_congr_ae
theorem condexp_of_aestronglyMeasurable' (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : AEStronglyMeasurable' m f μ) (hfi : Integrable f μ) : μ[f|m] =ᵐ[μ] f := by
refine' ((condexp_congr_ae hf.ae_eq_mk).trans _).trans hf.ae_eq_mk.symm
rw [condexp_of_stronglyMeasurable hm hf.stronglyMeasurable_mk
((integrable_congr hf.ae_eq_mk).mp hfi)]
#align measure_theory.condexp_of_ae_strongly_measurable' MeasureTheory.condexp_of_aestronglyMeasurable'
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact integrable_zero _ _ _
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact integrable_zero _ _ _
haveI : SigmaFinite (μ.trim hm) := hμm
exact (integrable_condexpL1 f).congr (condexp_ae_eq_condexpL1 hm f).symm
#align measure_theory.integrable_condexp MeasureTheory.integrable_condexp
/-- The integral of the conditional expectation `μ[f|hm]` over an `m`-measurable set is equal to
the integral of `f` on that set. -/
theorem set_integral_condexp (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ)
(hs : MeasurableSet[m] s) : ∫ x in s, (μ[f|m]) x ∂μ = ∫ x in s, f x ∂μ := by
rw [set_integral_congr_ae (hm s hs) ((condexp_ae_eq_condexpL1 hm f).mono fun x hx _ => hx)]
exact set_integral_condexpL1 hf hs
#align measure_theory.set_integral_condexp MeasureTheory.set_integral_condexp
theorem integral_condexp (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
∫ x, (μ[f|m]) x ∂μ = ∫ x, f x ∂μ := by
suffices ∫ x in Set.univ, (μ[f|m]) x ∂μ = ∫ x in Set.univ, f x ∂μ by
simp_rw [integral_univ] at this; exact this
exact set_integral_condexp hm hf (@MeasurableSet.univ _ m)
#align measure_theory.integral_condexp MeasureTheory.integral_condexp
/-- **Uniqueness of the conditional expectation**
If a function is a.e. `m`-measurable, verifies an integrability condition and has same integral
as `f` on all `m`-measurable sets, then it is a.e. equal to `μ[f|hm]`. -/
theorem ae_eq_condexp_of_forall_set_integral_eq (hm : m ≤ m0) [SigmaFinite (μ.trim hm)]
{f g : α → F'} (hf : Integrable f μ)
(hg_int_finite : ∀ s, MeasurableSet[m] s → μ s < ∞ → IntegrableOn g s μ)
(hg_eq : ∀ s : Set α, MeasurableSet[m] s → μ s < ∞ → ∫ x in s, g x ∂μ = ∫ x in s, f x ∂μ)
(hgm : AEStronglyMeasurable' m g μ) : g =ᵐ[μ] μ[f|m] := by
refine' ae_eq_of_forall_set_integral_eq_of_sigmaFinite' hm hg_int_finite
(fun s _ _ => integrable_condexp.integrableOn) (fun s hs hμs => _) hgm
(StronglyMeasurable.aeStronglyMeasurable' stronglyMeasurable_condexp)
rw [hg_eq s hs hμs, set_integral_condexp hm hf hs]
#align measure_theory.ae_eq_condexp_of_forall_set_integral_eq MeasureTheory.ae_eq_condexp_of_forall_set_integral_eq
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
by_cases hμ_finite : IsFiniteMeasure μ
swap
· have h : ¬SigmaFinite (μ.trim bot_le) := by rwa [sigmaFinite_trim_bot_iff]
rw [not_isFiniteMeasure_iff] at hμ_finite
rw [condexp_of_not_sigmaFinite bot_le h]
simp only [hμ_finite, ENNReal.top_toReal, inv_zero, zero_smul]
rfl
by_cases hf : Integrable f μ
swap; · rw [integral_undef hf, smul_zero, condexp_undef hf]; rfl
have h_meas : StronglyMeasurable[⊥] (μ[f|⊥]) := stronglyMeasurable_condexp
obtain ⟨c, h_eq⟩ := stronglyMeasurable_bot_iff.mp h_meas
rw [h_eq]
have h_integral : ∫ x, (μ[f|⊥]) x ∂μ = ∫ x, f x ∂μ := integral_condexp bot_le hf
simp_rw [h_eq, integral_const] at h_integral
rw [← h_integral, ← smul_assoc, smul_eq_mul, inv_mul_cancel, one_smul]
rw [Ne.def, ENNReal.toReal_eq_zero_iff, not_or]
exact ⟨NeZero.ne _, measure_ne_top μ Set.univ⟩
#align measure_theory.condexp_bot' MeasureTheory.condexp_bot'
theorem condexp_bot_ae_eq (f : α → F') :
μ[f|⊥] =ᵐ[μ] fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
rcases eq_zero_or_neZero μ with rfl | hμ
· rw [ae_zero]; exact eventually_bot
· exact eventually_of_forall <| congr_fun (condexp_bot' f)
#align measure_theory.condexp_bot_ae_eq MeasureTheory.condexp_bot_ae_eq
theorem condexp_bot [IsProbabilityMeasure μ] (f : α → F') : μ[f|⊥] = fun _ => ∫ x, f x ∂μ := by
refine' (condexp_bot' f).trans _; rw [measure_univ, ENNReal.one_toReal, inv_one, one_smul]
#align measure_theory.condexp_bot MeasureTheory.condexp_bot
theorem condexp_add (hf : Integrable f μ) (hg : Integrable g μ) :
μ[f + g|m] =ᵐ[μ] μ[f|m] + μ[g|m] := by
by_cases hm : m ≤ m0
swap; ·
|
simp_rw [condexp_of_not_le hm]
|
theorem condexp_add (hf : Integrable f μ) (hg : Integrable g μ) :
μ[f + g|m] =ᵐ[μ] μ[f|m] + μ[g|m] := by
by_cases hm : m ≤ m0
swap; ·
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.280_0.yd50cWAuCo6hlry
|
theorem condexp_add (hf : Integrable f μ) (hg : Integrable g μ) :
μ[f + g|m] =ᵐ[μ] μ[f|m] + μ[g|m]
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case neg
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
hf : Integrable f
hg : Integrable g
hm : ¬m ≤ m0
⊢ 0 =ᵐ[μ] 0 + 0
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
exact (condexp_ae_eq_condexpL1 hm f).trans
(Filter.EventuallyEq.trans (by rw [condexpL1_congr_ae hm h])
(condexp_ae_eq_condexpL1 hm g).symm)
#align measure_theory.condexp_congr_ae MeasureTheory.condexp_congr_ae
theorem condexp_of_aestronglyMeasurable' (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : AEStronglyMeasurable' m f μ) (hfi : Integrable f μ) : μ[f|m] =ᵐ[μ] f := by
refine' ((condexp_congr_ae hf.ae_eq_mk).trans _).trans hf.ae_eq_mk.symm
rw [condexp_of_stronglyMeasurable hm hf.stronglyMeasurable_mk
((integrable_congr hf.ae_eq_mk).mp hfi)]
#align measure_theory.condexp_of_ae_strongly_measurable' MeasureTheory.condexp_of_aestronglyMeasurable'
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact integrable_zero _ _ _
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact integrable_zero _ _ _
haveI : SigmaFinite (μ.trim hm) := hμm
exact (integrable_condexpL1 f).congr (condexp_ae_eq_condexpL1 hm f).symm
#align measure_theory.integrable_condexp MeasureTheory.integrable_condexp
/-- The integral of the conditional expectation `μ[f|hm]` over an `m`-measurable set is equal to
the integral of `f` on that set. -/
theorem set_integral_condexp (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ)
(hs : MeasurableSet[m] s) : ∫ x in s, (μ[f|m]) x ∂μ = ∫ x in s, f x ∂μ := by
rw [set_integral_congr_ae (hm s hs) ((condexp_ae_eq_condexpL1 hm f).mono fun x hx _ => hx)]
exact set_integral_condexpL1 hf hs
#align measure_theory.set_integral_condexp MeasureTheory.set_integral_condexp
theorem integral_condexp (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
∫ x, (μ[f|m]) x ∂μ = ∫ x, f x ∂μ := by
suffices ∫ x in Set.univ, (μ[f|m]) x ∂μ = ∫ x in Set.univ, f x ∂μ by
simp_rw [integral_univ] at this; exact this
exact set_integral_condexp hm hf (@MeasurableSet.univ _ m)
#align measure_theory.integral_condexp MeasureTheory.integral_condexp
/-- **Uniqueness of the conditional expectation**
If a function is a.e. `m`-measurable, verifies an integrability condition and has same integral
as `f` on all `m`-measurable sets, then it is a.e. equal to `μ[f|hm]`. -/
theorem ae_eq_condexp_of_forall_set_integral_eq (hm : m ≤ m0) [SigmaFinite (μ.trim hm)]
{f g : α → F'} (hf : Integrable f μ)
(hg_int_finite : ∀ s, MeasurableSet[m] s → μ s < ∞ → IntegrableOn g s μ)
(hg_eq : ∀ s : Set α, MeasurableSet[m] s → μ s < ∞ → ∫ x in s, g x ∂μ = ∫ x in s, f x ∂μ)
(hgm : AEStronglyMeasurable' m g μ) : g =ᵐ[μ] μ[f|m] := by
refine' ae_eq_of_forall_set_integral_eq_of_sigmaFinite' hm hg_int_finite
(fun s _ _ => integrable_condexp.integrableOn) (fun s hs hμs => _) hgm
(StronglyMeasurable.aeStronglyMeasurable' stronglyMeasurable_condexp)
rw [hg_eq s hs hμs, set_integral_condexp hm hf hs]
#align measure_theory.ae_eq_condexp_of_forall_set_integral_eq MeasureTheory.ae_eq_condexp_of_forall_set_integral_eq
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
by_cases hμ_finite : IsFiniteMeasure μ
swap
· have h : ¬SigmaFinite (μ.trim bot_le) := by rwa [sigmaFinite_trim_bot_iff]
rw [not_isFiniteMeasure_iff] at hμ_finite
rw [condexp_of_not_sigmaFinite bot_le h]
simp only [hμ_finite, ENNReal.top_toReal, inv_zero, zero_smul]
rfl
by_cases hf : Integrable f μ
swap; · rw [integral_undef hf, smul_zero, condexp_undef hf]; rfl
have h_meas : StronglyMeasurable[⊥] (μ[f|⊥]) := stronglyMeasurable_condexp
obtain ⟨c, h_eq⟩ := stronglyMeasurable_bot_iff.mp h_meas
rw [h_eq]
have h_integral : ∫ x, (μ[f|⊥]) x ∂μ = ∫ x, f x ∂μ := integral_condexp bot_le hf
simp_rw [h_eq, integral_const] at h_integral
rw [← h_integral, ← smul_assoc, smul_eq_mul, inv_mul_cancel, one_smul]
rw [Ne.def, ENNReal.toReal_eq_zero_iff, not_or]
exact ⟨NeZero.ne _, measure_ne_top μ Set.univ⟩
#align measure_theory.condexp_bot' MeasureTheory.condexp_bot'
theorem condexp_bot_ae_eq (f : α → F') :
μ[f|⊥] =ᵐ[μ] fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
rcases eq_zero_or_neZero μ with rfl | hμ
· rw [ae_zero]; exact eventually_bot
· exact eventually_of_forall <| congr_fun (condexp_bot' f)
#align measure_theory.condexp_bot_ae_eq MeasureTheory.condexp_bot_ae_eq
theorem condexp_bot [IsProbabilityMeasure μ] (f : α → F') : μ[f|⊥] = fun _ => ∫ x, f x ∂μ := by
refine' (condexp_bot' f).trans _; rw [measure_univ, ENNReal.one_toReal, inv_one, one_smul]
#align measure_theory.condexp_bot MeasureTheory.condexp_bot
theorem condexp_add (hf : Integrable f μ) (hg : Integrable g μ) :
μ[f + g|m] =ᵐ[μ] μ[f|m] + μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm];
|
simp
|
theorem condexp_add (hf : Integrable f μ) (hg : Integrable g μ) :
μ[f + g|m] =ᵐ[μ] μ[f|m] + μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm];
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.280_0.yd50cWAuCo6hlry
|
theorem condexp_add (hf : Integrable f μ) (hg : Integrable g μ) :
μ[f + g|m] =ᵐ[μ] μ[f|m] + μ[g|m]
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case neg
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
hf : Integrable f
hg : Integrable g
hm : ¬m ≤ m0
⊢ 0 =ᵐ[μ] 0
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
exact (condexp_ae_eq_condexpL1 hm f).trans
(Filter.EventuallyEq.trans (by rw [condexpL1_congr_ae hm h])
(condexp_ae_eq_condexpL1 hm g).symm)
#align measure_theory.condexp_congr_ae MeasureTheory.condexp_congr_ae
theorem condexp_of_aestronglyMeasurable' (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : AEStronglyMeasurable' m f μ) (hfi : Integrable f μ) : μ[f|m] =ᵐ[μ] f := by
refine' ((condexp_congr_ae hf.ae_eq_mk).trans _).trans hf.ae_eq_mk.symm
rw [condexp_of_stronglyMeasurable hm hf.stronglyMeasurable_mk
((integrable_congr hf.ae_eq_mk).mp hfi)]
#align measure_theory.condexp_of_ae_strongly_measurable' MeasureTheory.condexp_of_aestronglyMeasurable'
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact integrable_zero _ _ _
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact integrable_zero _ _ _
haveI : SigmaFinite (μ.trim hm) := hμm
exact (integrable_condexpL1 f).congr (condexp_ae_eq_condexpL1 hm f).symm
#align measure_theory.integrable_condexp MeasureTheory.integrable_condexp
/-- The integral of the conditional expectation `μ[f|hm]` over an `m`-measurable set is equal to
the integral of `f` on that set. -/
theorem set_integral_condexp (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ)
(hs : MeasurableSet[m] s) : ∫ x in s, (μ[f|m]) x ∂μ = ∫ x in s, f x ∂μ := by
rw [set_integral_congr_ae (hm s hs) ((condexp_ae_eq_condexpL1 hm f).mono fun x hx _ => hx)]
exact set_integral_condexpL1 hf hs
#align measure_theory.set_integral_condexp MeasureTheory.set_integral_condexp
theorem integral_condexp (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
∫ x, (μ[f|m]) x ∂μ = ∫ x, f x ∂μ := by
suffices ∫ x in Set.univ, (μ[f|m]) x ∂μ = ∫ x in Set.univ, f x ∂μ by
simp_rw [integral_univ] at this; exact this
exact set_integral_condexp hm hf (@MeasurableSet.univ _ m)
#align measure_theory.integral_condexp MeasureTheory.integral_condexp
/-- **Uniqueness of the conditional expectation**
If a function is a.e. `m`-measurable, verifies an integrability condition and has same integral
as `f` on all `m`-measurable sets, then it is a.e. equal to `μ[f|hm]`. -/
theorem ae_eq_condexp_of_forall_set_integral_eq (hm : m ≤ m0) [SigmaFinite (μ.trim hm)]
{f g : α → F'} (hf : Integrable f μ)
(hg_int_finite : ∀ s, MeasurableSet[m] s → μ s < ∞ → IntegrableOn g s μ)
(hg_eq : ∀ s : Set α, MeasurableSet[m] s → μ s < ∞ → ∫ x in s, g x ∂μ = ∫ x in s, f x ∂μ)
(hgm : AEStronglyMeasurable' m g μ) : g =ᵐ[μ] μ[f|m] := by
refine' ae_eq_of_forall_set_integral_eq_of_sigmaFinite' hm hg_int_finite
(fun s _ _ => integrable_condexp.integrableOn) (fun s hs hμs => _) hgm
(StronglyMeasurable.aeStronglyMeasurable' stronglyMeasurable_condexp)
rw [hg_eq s hs hμs, set_integral_condexp hm hf hs]
#align measure_theory.ae_eq_condexp_of_forall_set_integral_eq MeasureTheory.ae_eq_condexp_of_forall_set_integral_eq
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
by_cases hμ_finite : IsFiniteMeasure μ
swap
· have h : ¬SigmaFinite (μ.trim bot_le) := by rwa [sigmaFinite_trim_bot_iff]
rw [not_isFiniteMeasure_iff] at hμ_finite
rw [condexp_of_not_sigmaFinite bot_le h]
simp only [hμ_finite, ENNReal.top_toReal, inv_zero, zero_smul]
rfl
by_cases hf : Integrable f μ
swap; · rw [integral_undef hf, smul_zero, condexp_undef hf]; rfl
have h_meas : StronglyMeasurable[⊥] (μ[f|⊥]) := stronglyMeasurable_condexp
obtain ⟨c, h_eq⟩ := stronglyMeasurable_bot_iff.mp h_meas
rw [h_eq]
have h_integral : ∫ x, (μ[f|⊥]) x ∂μ = ∫ x, f x ∂μ := integral_condexp bot_le hf
simp_rw [h_eq, integral_const] at h_integral
rw [← h_integral, ← smul_assoc, smul_eq_mul, inv_mul_cancel, one_smul]
rw [Ne.def, ENNReal.toReal_eq_zero_iff, not_or]
exact ⟨NeZero.ne _, measure_ne_top μ Set.univ⟩
#align measure_theory.condexp_bot' MeasureTheory.condexp_bot'
theorem condexp_bot_ae_eq (f : α → F') :
μ[f|⊥] =ᵐ[μ] fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
rcases eq_zero_or_neZero μ with rfl | hμ
· rw [ae_zero]; exact eventually_bot
· exact eventually_of_forall <| congr_fun (condexp_bot' f)
#align measure_theory.condexp_bot_ae_eq MeasureTheory.condexp_bot_ae_eq
theorem condexp_bot [IsProbabilityMeasure μ] (f : α → F') : μ[f|⊥] = fun _ => ∫ x, f x ∂μ := by
refine' (condexp_bot' f).trans _; rw [measure_univ, ENNReal.one_toReal, inv_one, one_smul]
#align measure_theory.condexp_bot MeasureTheory.condexp_bot
theorem condexp_add (hf : Integrable f μ) (hg : Integrable g μ) :
μ[f + g|m] =ᵐ[μ] μ[f|m] + μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; simp;
|
rfl
|
theorem condexp_add (hf : Integrable f μ) (hg : Integrable g μ) :
μ[f + g|m] =ᵐ[μ] μ[f|m] + μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; simp;
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.280_0.yd50cWAuCo6hlry
|
theorem condexp_add (hf : Integrable f μ) (hg : Integrable g μ) :
μ[f + g|m] =ᵐ[μ] μ[f|m] + μ[g|m]
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case pos
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
hf : Integrable f
hg : Integrable g
hm : m ≤ m0
⊢ μ[f + g|m] =ᵐ[μ] μ[f|m] + μ[g|m]
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
exact (condexp_ae_eq_condexpL1 hm f).trans
(Filter.EventuallyEq.trans (by rw [condexpL1_congr_ae hm h])
(condexp_ae_eq_condexpL1 hm g).symm)
#align measure_theory.condexp_congr_ae MeasureTheory.condexp_congr_ae
theorem condexp_of_aestronglyMeasurable' (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : AEStronglyMeasurable' m f μ) (hfi : Integrable f μ) : μ[f|m] =ᵐ[μ] f := by
refine' ((condexp_congr_ae hf.ae_eq_mk).trans _).trans hf.ae_eq_mk.symm
rw [condexp_of_stronglyMeasurable hm hf.stronglyMeasurable_mk
((integrable_congr hf.ae_eq_mk).mp hfi)]
#align measure_theory.condexp_of_ae_strongly_measurable' MeasureTheory.condexp_of_aestronglyMeasurable'
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact integrable_zero _ _ _
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact integrable_zero _ _ _
haveI : SigmaFinite (μ.trim hm) := hμm
exact (integrable_condexpL1 f).congr (condexp_ae_eq_condexpL1 hm f).symm
#align measure_theory.integrable_condexp MeasureTheory.integrable_condexp
/-- The integral of the conditional expectation `μ[f|hm]` over an `m`-measurable set is equal to
the integral of `f` on that set. -/
theorem set_integral_condexp (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ)
(hs : MeasurableSet[m] s) : ∫ x in s, (μ[f|m]) x ∂μ = ∫ x in s, f x ∂μ := by
rw [set_integral_congr_ae (hm s hs) ((condexp_ae_eq_condexpL1 hm f).mono fun x hx _ => hx)]
exact set_integral_condexpL1 hf hs
#align measure_theory.set_integral_condexp MeasureTheory.set_integral_condexp
theorem integral_condexp (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
∫ x, (μ[f|m]) x ∂μ = ∫ x, f x ∂μ := by
suffices ∫ x in Set.univ, (μ[f|m]) x ∂μ = ∫ x in Set.univ, f x ∂μ by
simp_rw [integral_univ] at this; exact this
exact set_integral_condexp hm hf (@MeasurableSet.univ _ m)
#align measure_theory.integral_condexp MeasureTheory.integral_condexp
/-- **Uniqueness of the conditional expectation**
If a function is a.e. `m`-measurable, verifies an integrability condition and has same integral
as `f` on all `m`-measurable sets, then it is a.e. equal to `μ[f|hm]`. -/
theorem ae_eq_condexp_of_forall_set_integral_eq (hm : m ≤ m0) [SigmaFinite (μ.trim hm)]
{f g : α → F'} (hf : Integrable f μ)
(hg_int_finite : ∀ s, MeasurableSet[m] s → μ s < ∞ → IntegrableOn g s μ)
(hg_eq : ∀ s : Set α, MeasurableSet[m] s → μ s < ∞ → ∫ x in s, g x ∂μ = ∫ x in s, f x ∂μ)
(hgm : AEStronglyMeasurable' m g μ) : g =ᵐ[μ] μ[f|m] := by
refine' ae_eq_of_forall_set_integral_eq_of_sigmaFinite' hm hg_int_finite
(fun s _ _ => integrable_condexp.integrableOn) (fun s hs hμs => _) hgm
(StronglyMeasurable.aeStronglyMeasurable' stronglyMeasurable_condexp)
rw [hg_eq s hs hμs, set_integral_condexp hm hf hs]
#align measure_theory.ae_eq_condexp_of_forall_set_integral_eq MeasureTheory.ae_eq_condexp_of_forall_set_integral_eq
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
by_cases hμ_finite : IsFiniteMeasure μ
swap
· have h : ¬SigmaFinite (μ.trim bot_le) := by rwa [sigmaFinite_trim_bot_iff]
rw [not_isFiniteMeasure_iff] at hμ_finite
rw [condexp_of_not_sigmaFinite bot_le h]
simp only [hμ_finite, ENNReal.top_toReal, inv_zero, zero_smul]
rfl
by_cases hf : Integrable f μ
swap; · rw [integral_undef hf, smul_zero, condexp_undef hf]; rfl
have h_meas : StronglyMeasurable[⊥] (μ[f|⊥]) := stronglyMeasurable_condexp
obtain ⟨c, h_eq⟩ := stronglyMeasurable_bot_iff.mp h_meas
rw [h_eq]
have h_integral : ∫ x, (μ[f|⊥]) x ∂μ = ∫ x, f x ∂μ := integral_condexp bot_le hf
simp_rw [h_eq, integral_const] at h_integral
rw [← h_integral, ← smul_assoc, smul_eq_mul, inv_mul_cancel, one_smul]
rw [Ne.def, ENNReal.toReal_eq_zero_iff, not_or]
exact ⟨NeZero.ne _, measure_ne_top μ Set.univ⟩
#align measure_theory.condexp_bot' MeasureTheory.condexp_bot'
theorem condexp_bot_ae_eq (f : α → F') :
μ[f|⊥] =ᵐ[μ] fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
rcases eq_zero_or_neZero μ with rfl | hμ
· rw [ae_zero]; exact eventually_bot
· exact eventually_of_forall <| congr_fun (condexp_bot' f)
#align measure_theory.condexp_bot_ae_eq MeasureTheory.condexp_bot_ae_eq
theorem condexp_bot [IsProbabilityMeasure μ] (f : α → F') : μ[f|⊥] = fun _ => ∫ x, f x ∂μ := by
refine' (condexp_bot' f).trans _; rw [measure_univ, ENNReal.one_toReal, inv_one, one_smul]
#align measure_theory.condexp_bot MeasureTheory.condexp_bot
theorem condexp_add (hf : Integrable f μ) (hg : Integrable g μ) :
μ[f + g|m] =ᵐ[μ] μ[f|m] + μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; simp; rfl
|
by_cases hμm : SigmaFinite (μ.trim hm)
|
theorem condexp_add (hf : Integrable f μ) (hg : Integrable g μ) :
μ[f + g|m] =ᵐ[μ] μ[f|m] + μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; simp; rfl
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.280_0.yd50cWAuCo6hlry
|
theorem condexp_add (hf : Integrable f μ) (hg : Integrable g μ) :
μ[f + g|m] =ᵐ[μ] μ[f|m] + μ[g|m]
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case pos
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
hf : Integrable f
hg : Integrable g
hm : m ≤ m0
hμm : SigmaFinite (Measure.trim μ hm)
⊢ μ[f + g|m] =ᵐ[μ] μ[f|m] + μ[g|m]
case neg
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
hf : Integrable f
hg : Integrable g
hm : m ≤ m0
hμm : ¬SigmaFinite (Measure.trim μ hm)
⊢ μ[f + g|m] =ᵐ[μ] μ[f|m] + μ[g|m]
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
exact (condexp_ae_eq_condexpL1 hm f).trans
(Filter.EventuallyEq.trans (by rw [condexpL1_congr_ae hm h])
(condexp_ae_eq_condexpL1 hm g).symm)
#align measure_theory.condexp_congr_ae MeasureTheory.condexp_congr_ae
theorem condexp_of_aestronglyMeasurable' (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : AEStronglyMeasurable' m f μ) (hfi : Integrable f μ) : μ[f|m] =ᵐ[μ] f := by
refine' ((condexp_congr_ae hf.ae_eq_mk).trans _).trans hf.ae_eq_mk.symm
rw [condexp_of_stronglyMeasurable hm hf.stronglyMeasurable_mk
((integrable_congr hf.ae_eq_mk).mp hfi)]
#align measure_theory.condexp_of_ae_strongly_measurable' MeasureTheory.condexp_of_aestronglyMeasurable'
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact integrable_zero _ _ _
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact integrable_zero _ _ _
haveI : SigmaFinite (μ.trim hm) := hμm
exact (integrable_condexpL1 f).congr (condexp_ae_eq_condexpL1 hm f).symm
#align measure_theory.integrable_condexp MeasureTheory.integrable_condexp
/-- The integral of the conditional expectation `μ[f|hm]` over an `m`-measurable set is equal to
the integral of `f` on that set. -/
theorem set_integral_condexp (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ)
(hs : MeasurableSet[m] s) : ∫ x in s, (μ[f|m]) x ∂μ = ∫ x in s, f x ∂μ := by
rw [set_integral_congr_ae (hm s hs) ((condexp_ae_eq_condexpL1 hm f).mono fun x hx _ => hx)]
exact set_integral_condexpL1 hf hs
#align measure_theory.set_integral_condexp MeasureTheory.set_integral_condexp
theorem integral_condexp (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
∫ x, (μ[f|m]) x ∂μ = ∫ x, f x ∂μ := by
suffices ∫ x in Set.univ, (μ[f|m]) x ∂μ = ∫ x in Set.univ, f x ∂μ by
simp_rw [integral_univ] at this; exact this
exact set_integral_condexp hm hf (@MeasurableSet.univ _ m)
#align measure_theory.integral_condexp MeasureTheory.integral_condexp
/-- **Uniqueness of the conditional expectation**
If a function is a.e. `m`-measurable, verifies an integrability condition and has same integral
as `f` on all `m`-measurable sets, then it is a.e. equal to `μ[f|hm]`. -/
theorem ae_eq_condexp_of_forall_set_integral_eq (hm : m ≤ m0) [SigmaFinite (μ.trim hm)]
{f g : α → F'} (hf : Integrable f μ)
(hg_int_finite : ∀ s, MeasurableSet[m] s → μ s < ∞ → IntegrableOn g s μ)
(hg_eq : ∀ s : Set α, MeasurableSet[m] s → μ s < ∞ → ∫ x in s, g x ∂μ = ∫ x in s, f x ∂μ)
(hgm : AEStronglyMeasurable' m g μ) : g =ᵐ[μ] μ[f|m] := by
refine' ae_eq_of_forall_set_integral_eq_of_sigmaFinite' hm hg_int_finite
(fun s _ _ => integrable_condexp.integrableOn) (fun s hs hμs => _) hgm
(StronglyMeasurable.aeStronglyMeasurable' stronglyMeasurable_condexp)
rw [hg_eq s hs hμs, set_integral_condexp hm hf hs]
#align measure_theory.ae_eq_condexp_of_forall_set_integral_eq MeasureTheory.ae_eq_condexp_of_forall_set_integral_eq
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
by_cases hμ_finite : IsFiniteMeasure μ
swap
· have h : ¬SigmaFinite (μ.trim bot_le) := by rwa [sigmaFinite_trim_bot_iff]
rw [not_isFiniteMeasure_iff] at hμ_finite
rw [condexp_of_not_sigmaFinite bot_le h]
simp only [hμ_finite, ENNReal.top_toReal, inv_zero, zero_smul]
rfl
by_cases hf : Integrable f μ
swap; · rw [integral_undef hf, smul_zero, condexp_undef hf]; rfl
have h_meas : StronglyMeasurable[⊥] (μ[f|⊥]) := stronglyMeasurable_condexp
obtain ⟨c, h_eq⟩ := stronglyMeasurable_bot_iff.mp h_meas
rw [h_eq]
have h_integral : ∫ x, (μ[f|⊥]) x ∂μ = ∫ x, f x ∂μ := integral_condexp bot_le hf
simp_rw [h_eq, integral_const] at h_integral
rw [← h_integral, ← smul_assoc, smul_eq_mul, inv_mul_cancel, one_smul]
rw [Ne.def, ENNReal.toReal_eq_zero_iff, not_or]
exact ⟨NeZero.ne _, measure_ne_top μ Set.univ⟩
#align measure_theory.condexp_bot' MeasureTheory.condexp_bot'
theorem condexp_bot_ae_eq (f : α → F') :
μ[f|⊥] =ᵐ[μ] fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
rcases eq_zero_or_neZero μ with rfl | hμ
· rw [ae_zero]; exact eventually_bot
· exact eventually_of_forall <| congr_fun (condexp_bot' f)
#align measure_theory.condexp_bot_ae_eq MeasureTheory.condexp_bot_ae_eq
theorem condexp_bot [IsProbabilityMeasure μ] (f : α → F') : μ[f|⊥] = fun _ => ∫ x, f x ∂μ := by
refine' (condexp_bot' f).trans _; rw [measure_univ, ENNReal.one_toReal, inv_one, one_smul]
#align measure_theory.condexp_bot MeasureTheory.condexp_bot
theorem condexp_add (hf : Integrable f μ) (hg : Integrable g μ) :
μ[f + g|m] =ᵐ[μ] μ[f|m] + μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; simp; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
|
swap
|
theorem condexp_add (hf : Integrable f μ) (hg : Integrable g μ) :
μ[f + g|m] =ᵐ[μ] μ[f|m] + μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; simp; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.280_0.yd50cWAuCo6hlry
|
theorem condexp_add (hf : Integrable f μ) (hg : Integrable g μ) :
μ[f + g|m] =ᵐ[μ] μ[f|m] + μ[g|m]
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case neg
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
hf : Integrable f
hg : Integrable g
hm : m ≤ m0
hμm : ¬SigmaFinite (Measure.trim μ hm)
⊢ μ[f + g|m] =ᵐ[μ] μ[f|m] + μ[g|m]
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
exact (condexp_ae_eq_condexpL1 hm f).trans
(Filter.EventuallyEq.trans (by rw [condexpL1_congr_ae hm h])
(condexp_ae_eq_condexpL1 hm g).symm)
#align measure_theory.condexp_congr_ae MeasureTheory.condexp_congr_ae
theorem condexp_of_aestronglyMeasurable' (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : AEStronglyMeasurable' m f μ) (hfi : Integrable f μ) : μ[f|m] =ᵐ[μ] f := by
refine' ((condexp_congr_ae hf.ae_eq_mk).trans _).trans hf.ae_eq_mk.symm
rw [condexp_of_stronglyMeasurable hm hf.stronglyMeasurable_mk
((integrable_congr hf.ae_eq_mk).mp hfi)]
#align measure_theory.condexp_of_ae_strongly_measurable' MeasureTheory.condexp_of_aestronglyMeasurable'
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact integrable_zero _ _ _
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact integrable_zero _ _ _
haveI : SigmaFinite (μ.trim hm) := hμm
exact (integrable_condexpL1 f).congr (condexp_ae_eq_condexpL1 hm f).symm
#align measure_theory.integrable_condexp MeasureTheory.integrable_condexp
/-- The integral of the conditional expectation `μ[f|hm]` over an `m`-measurable set is equal to
the integral of `f` on that set. -/
theorem set_integral_condexp (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ)
(hs : MeasurableSet[m] s) : ∫ x in s, (μ[f|m]) x ∂μ = ∫ x in s, f x ∂μ := by
rw [set_integral_congr_ae (hm s hs) ((condexp_ae_eq_condexpL1 hm f).mono fun x hx _ => hx)]
exact set_integral_condexpL1 hf hs
#align measure_theory.set_integral_condexp MeasureTheory.set_integral_condexp
theorem integral_condexp (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
∫ x, (μ[f|m]) x ∂μ = ∫ x, f x ∂μ := by
suffices ∫ x in Set.univ, (μ[f|m]) x ∂μ = ∫ x in Set.univ, f x ∂μ by
simp_rw [integral_univ] at this; exact this
exact set_integral_condexp hm hf (@MeasurableSet.univ _ m)
#align measure_theory.integral_condexp MeasureTheory.integral_condexp
/-- **Uniqueness of the conditional expectation**
If a function is a.e. `m`-measurable, verifies an integrability condition and has same integral
as `f` on all `m`-measurable sets, then it is a.e. equal to `μ[f|hm]`. -/
theorem ae_eq_condexp_of_forall_set_integral_eq (hm : m ≤ m0) [SigmaFinite (μ.trim hm)]
{f g : α → F'} (hf : Integrable f μ)
(hg_int_finite : ∀ s, MeasurableSet[m] s → μ s < ∞ → IntegrableOn g s μ)
(hg_eq : ∀ s : Set α, MeasurableSet[m] s → μ s < ∞ → ∫ x in s, g x ∂μ = ∫ x in s, f x ∂μ)
(hgm : AEStronglyMeasurable' m g μ) : g =ᵐ[μ] μ[f|m] := by
refine' ae_eq_of_forall_set_integral_eq_of_sigmaFinite' hm hg_int_finite
(fun s _ _ => integrable_condexp.integrableOn) (fun s hs hμs => _) hgm
(StronglyMeasurable.aeStronglyMeasurable' stronglyMeasurable_condexp)
rw [hg_eq s hs hμs, set_integral_condexp hm hf hs]
#align measure_theory.ae_eq_condexp_of_forall_set_integral_eq MeasureTheory.ae_eq_condexp_of_forall_set_integral_eq
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
by_cases hμ_finite : IsFiniteMeasure μ
swap
· have h : ¬SigmaFinite (μ.trim bot_le) := by rwa [sigmaFinite_trim_bot_iff]
rw [not_isFiniteMeasure_iff] at hμ_finite
rw [condexp_of_not_sigmaFinite bot_le h]
simp only [hμ_finite, ENNReal.top_toReal, inv_zero, zero_smul]
rfl
by_cases hf : Integrable f μ
swap; · rw [integral_undef hf, smul_zero, condexp_undef hf]; rfl
have h_meas : StronglyMeasurable[⊥] (μ[f|⊥]) := stronglyMeasurable_condexp
obtain ⟨c, h_eq⟩ := stronglyMeasurable_bot_iff.mp h_meas
rw [h_eq]
have h_integral : ∫ x, (μ[f|⊥]) x ∂μ = ∫ x, f x ∂μ := integral_condexp bot_le hf
simp_rw [h_eq, integral_const] at h_integral
rw [← h_integral, ← smul_assoc, smul_eq_mul, inv_mul_cancel, one_smul]
rw [Ne.def, ENNReal.toReal_eq_zero_iff, not_or]
exact ⟨NeZero.ne _, measure_ne_top μ Set.univ⟩
#align measure_theory.condexp_bot' MeasureTheory.condexp_bot'
theorem condexp_bot_ae_eq (f : α → F') :
μ[f|⊥] =ᵐ[μ] fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
rcases eq_zero_or_neZero μ with rfl | hμ
· rw [ae_zero]; exact eventually_bot
· exact eventually_of_forall <| congr_fun (condexp_bot' f)
#align measure_theory.condexp_bot_ae_eq MeasureTheory.condexp_bot_ae_eq
theorem condexp_bot [IsProbabilityMeasure μ] (f : α → F') : μ[f|⊥] = fun _ => ∫ x, f x ∂μ := by
refine' (condexp_bot' f).trans _; rw [measure_univ, ENNReal.one_toReal, inv_one, one_smul]
#align measure_theory.condexp_bot MeasureTheory.condexp_bot
theorem condexp_add (hf : Integrable f μ) (hg : Integrable g μ) :
μ[f + g|m] =ᵐ[μ] μ[f|m] + μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; simp; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; ·
|
simp_rw [condexp_of_not_sigmaFinite hm hμm]
|
theorem condexp_add (hf : Integrable f μ) (hg : Integrable g μ) :
μ[f + g|m] =ᵐ[μ] μ[f|m] + μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; simp; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; ·
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.280_0.yd50cWAuCo6hlry
|
theorem condexp_add (hf : Integrable f μ) (hg : Integrable g μ) :
μ[f + g|m] =ᵐ[μ] μ[f|m] + μ[g|m]
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case neg
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
hf : Integrable f
hg : Integrable g
hm : m ≤ m0
hμm : ¬SigmaFinite (Measure.trim μ hm)
⊢ 0 =ᵐ[μ] 0 + 0
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
exact (condexp_ae_eq_condexpL1 hm f).trans
(Filter.EventuallyEq.trans (by rw [condexpL1_congr_ae hm h])
(condexp_ae_eq_condexpL1 hm g).symm)
#align measure_theory.condexp_congr_ae MeasureTheory.condexp_congr_ae
theorem condexp_of_aestronglyMeasurable' (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : AEStronglyMeasurable' m f μ) (hfi : Integrable f μ) : μ[f|m] =ᵐ[μ] f := by
refine' ((condexp_congr_ae hf.ae_eq_mk).trans _).trans hf.ae_eq_mk.symm
rw [condexp_of_stronglyMeasurable hm hf.stronglyMeasurable_mk
((integrable_congr hf.ae_eq_mk).mp hfi)]
#align measure_theory.condexp_of_ae_strongly_measurable' MeasureTheory.condexp_of_aestronglyMeasurable'
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact integrable_zero _ _ _
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact integrable_zero _ _ _
haveI : SigmaFinite (μ.trim hm) := hμm
exact (integrable_condexpL1 f).congr (condexp_ae_eq_condexpL1 hm f).symm
#align measure_theory.integrable_condexp MeasureTheory.integrable_condexp
/-- The integral of the conditional expectation `μ[f|hm]` over an `m`-measurable set is equal to
the integral of `f` on that set. -/
theorem set_integral_condexp (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ)
(hs : MeasurableSet[m] s) : ∫ x in s, (μ[f|m]) x ∂μ = ∫ x in s, f x ∂μ := by
rw [set_integral_congr_ae (hm s hs) ((condexp_ae_eq_condexpL1 hm f).mono fun x hx _ => hx)]
exact set_integral_condexpL1 hf hs
#align measure_theory.set_integral_condexp MeasureTheory.set_integral_condexp
theorem integral_condexp (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
∫ x, (μ[f|m]) x ∂μ = ∫ x, f x ∂μ := by
suffices ∫ x in Set.univ, (μ[f|m]) x ∂μ = ∫ x in Set.univ, f x ∂μ by
simp_rw [integral_univ] at this; exact this
exact set_integral_condexp hm hf (@MeasurableSet.univ _ m)
#align measure_theory.integral_condexp MeasureTheory.integral_condexp
/-- **Uniqueness of the conditional expectation**
If a function is a.e. `m`-measurable, verifies an integrability condition and has same integral
as `f` on all `m`-measurable sets, then it is a.e. equal to `μ[f|hm]`. -/
theorem ae_eq_condexp_of_forall_set_integral_eq (hm : m ≤ m0) [SigmaFinite (μ.trim hm)]
{f g : α → F'} (hf : Integrable f μ)
(hg_int_finite : ∀ s, MeasurableSet[m] s → μ s < ∞ → IntegrableOn g s μ)
(hg_eq : ∀ s : Set α, MeasurableSet[m] s → μ s < ∞ → ∫ x in s, g x ∂μ = ∫ x in s, f x ∂μ)
(hgm : AEStronglyMeasurable' m g μ) : g =ᵐ[μ] μ[f|m] := by
refine' ae_eq_of_forall_set_integral_eq_of_sigmaFinite' hm hg_int_finite
(fun s _ _ => integrable_condexp.integrableOn) (fun s hs hμs => _) hgm
(StronglyMeasurable.aeStronglyMeasurable' stronglyMeasurable_condexp)
rw [hg_eq s hs hμs, set_integral_condexp hm hf hs]
#align measure_theory.ae_eq_condexp_of_forall_set_integral_eq MeasureTheory.ae_eq_condexp_of_forall_set_integral_eq
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
by_cases hμ_finite : IsFiniteMeasure μ
swap
· have h : ¬SigmaFinite (μ.trim bot_le) := by rwa [sigmaFinite_trim_bot_iff]
rw [not_isFiniteMeasure_iff] at hμ_finite
rw [condexp_of_not_sigmaFinite bot_le h]
simp only [hμ_finite, ENNReal.top_toReal, inv_zero, zero_smul]
rfl
by_cases hf : Integrable f μ
swap; · rw [integral_undef hf, smul_zero, condexp_undef hf]; rfl
have h_meas : StronglyMeasurable[⊥] (μ[f|⊥]) := stronglyMeasurable_condexp
obtain ⟨c, h_eq⟩ := stronglyMeasurable_bot_iff.mp h_meas
rw [h_eq]
have h_integral : ∫ x, (μ[f|⊥]) x ∂μ = ∫ x, f x ∂μ := integral_condexp bot_le hf
simp_rw [h_eq, integral_const] at h_integral
rw [← h_integral, ← smul_assoc, smul_eq_mul, inv_mul_cancel, one_smul]
rw [Ne.def, ENNReal.toReal_eq_zero_iff, not_or]
exact ⟨NeZero.ne _, measure_ne_top μ Set.univ⟩
#align measure_theory.condexp_bot' MeasureTheory.condexp_bot'
theorem condexp_bot_ae_eq (f : α → F') :
μ[f|⊥] =ᵐ[μ] fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
rcases eq_zero_or_neZero μ with rfl | hμ
· rw [ae_zero]; exact eventually_bot
· exact eventually_of_forall <| congr_fun (condexp_bot' f)
#align measure_theory.condexp_bot_ae_eq MeasureTheory.condexp_bot_ae_eq
theorem condexp_bot [IsProbabilityMeasure μ] (f : α → F') : μ[f|⊥] = fun _ => ∫ x, f x ∂μ := by
refine' (condexp_bot' f).trans _; rw [measure_univ, ENNReal.one_toReal, inv_one, one_smul]
#align measure_theory.condexp_bot MeasureTheory.condexp_bot
theorem condexp_add (hf : Integrable f μ) (hg : Integrable g μ) :
μ[f + g|m] =ᵐ[μ] μ[f|m] + μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; simp; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm];
|
simp
|
theorem condexp_add (hf : Integrable f μ) (hg : Integrable g μ) :
μ[f + g|m] =ᵐ[μ] μ[f|m] + μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; simp; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm];
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.280_0.yd50cWAuCo6hlry
|
theorem condexp_add (hf : Integrable f μ) (hg : Integrable g μ) :
μ[f + g|m] =ᵐ[μ] μ[f|m] + μ[g|m]
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case neg
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
hf : Integrable f
hg : Integrable g
hm : m ≤ m0
hμm : ¬SigmaFinite (Measure.trim μ hm)
⊢ 0 =ᵐ[μ] 0
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
exact (condexp_ae_eq_condexpL1 hm f).trans
(Filter.EventuallyEq.trans (by rw [condexpL1_congr_ae hm h])
(condexp_ae_eq_condexpL1 hm g).symm)
#align measure_theory.condexp_congr_ae MeasureTheory.condexp_congr_ae
theorem condexp_of_aestronglyMeasurable' (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : AEStronglyMeasurable' m f μ) (hfi : Integrable f μ) : μ[f|m] =ᵐ[μ] f := by
refine' ((condexp_congr_ae hf.ae_eq_mk).trans _).trans hf.ae_eq_mk.symm
rw [condexp_of_stronglyMeasurable hm hf.stronglyMeasurable_mk
((integrable_congr hf.ae_eq_mk).mp hfi)]
#align measure_theory.condexp_of_ae_strongly_measurable' MeasureTheory.condexp_of_aestronglyMeasurable'
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact integrable_zero _ _ _
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact integrable_zero _ _ _
haveI : SigmaFinite (μ.trim hm) := hμm
exact (integrable_condexpL1 f).congr (condexp_ae_eq_condexpL1 hm f).symm
#align measure_theory.integrable_condexp MeasureTheory.integrable_condexp
/-- The integral of the conditional expectation `μ[f|hm]` over an `m`-measurable set is equal to
the integral of `f` on that set. -/
theorem set_integral_condexp (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ)
(hs : MeasurableSet[m] s) : ∫ x in s, (μ[f|m]) x ∂μ = ∫ x in s, f x ∂μ := by
rw [set_integral_congr_ae (hm s hs) ((condexp_ae_eq_condexpL1 hm f).mono fun x hx _ => hx)]
exact set_integral_condexpL1 hf hs
#align measure_theory.set_integral_condexp MeasureTheory.set_integral_condexp
theorem integral_condexp (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
∫ x, (μ[f|m]) x ∂μ = ∫ x, f x ∂μ := by
suffices ∫ x in Set.univ, (μ[f|m]) x ∂μ = ∫ x in Set.univ, f x ∂μ by
simp_rw [integral_univ] at this; exact this
exact set_integral_condexp hm hf (@MeasurableSet.univ _ m)
#align measure_theory.integral_condexp MeasureTheory.integral_condexp
/-- **Uniqueness of the conditional expectation**
If a function is a.e. `m`-measurable, verifies an integrability condition and has same integral
as `f` on all `m`-measurable sets, then it is a.e. equal to `μ[f|hm]`. -/
theorem ae_eq_condexp_of_forall_set_integral_eq (hm : m ≤ m0) [SigmaFinite (μ.trim hm)]
{f g : α → F'} (hf : Integrable f μ)
(hg_int_finite : ∀ s, MeasurableSet[m] s → μ s < ∞ → IntegrableOn g s μ)
(hg_eq : ∀ s : Set α, MeasurableSet[m] s → μ s < ∞ → ∫ x in s, g x ∂μ = ∫ x in s, f x ∂μ)
(hgm : AEStronglyMeasurable' m g μ) : g =ᵐ[μ] μ[f|m] := by
refine' ae_eq_of_forall_set_integral_eq_of_sigmaFinite' hm hg_int_finite
(fun s _ _ => integrable_condexp.integrableOn) (fun s hs hμs => _) hgm
(StronglyMeasurable.aeStronglyMeasurable' stronglyMeasurable_condexp)
rw [hg_eq s hs hμs, set_integral_condexp hm hf hs]
#align measure_theory.ae_eq_condexp_of_forall_set_integral_eq MeasureTheory.ae_eq_condexp_of_forall_set_integral_eq
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
by_cases hμ_finite : IsFiniteMeasure μ
swap
· have h : ¬SigmaFinite (μ.trim bot_le) := by rwa [sigmaFinite_trim_bot_iff]
rw [not_isFiniteMeasure_iff] at hμ_finite
rw [condexp_of_not_sigmaFinite bot_le h]
simp only [hμ_finite, ENNReal.top_toReal, inv_zero, zero_smul]
rfl
by_cases hf : Integrable f μ
swap; · rw [integral_undef hf, smul_zero, condexp_undef hf]; rfl
have h_meas : StronglyMeasurable[⊥] (μ[f|⊥]) := stronglyMeasurable_condexp
obtain ⟨c, h_eq⟩ := stronglyMeasurable_bot_iff.mp h_meas
rw [h_eq]
have h_integral : ∫ x, (μ[f|⊥]) x ∂μ = ∫ x, f x ∂μ := integral_condexp bot_le hf
simp_rw [h_eq, integral_const] at h_integral
rw [← h_integral, ← smul_assoc, smul_eq_mul, inv_mul_cancel, one_smul]
rw [Ne.def, ENNReal.toReal_eq_zero_iff, not_or]
exact ⟨NeZero.ne _, measure_ne_top μ Set.univ⟩
#align measure_theory.condexp_bot' MeasureTheory.condexp_bot'
theorem condexp_bot_ae_eq (f : α → F') :
μ[f|⊥] =ᵐ[μ] fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
rcases eq_zero_or_neZero μ with rfl | hμ
· rw [ae_zero]; exact eventually_bot
· exact eventually_of_forall <| congr_fun (condexp_bot' f)
#align measure_theory.condexp_bot_ae_eq MeasureTheory.condexp_bot_ae_eq
theorem condexp_bot [IsProbabilityMeasure μ] (f : α → F') : μ[f|⊥] = fun _ => ∫ x, f x ∂μ := by
refine' (condexp_bot' f).trans _; rw [measure_univ, ENNReal.one_toReal, inv_one, one_smul]
#align measure_theory.condexp_bot MeasureTheory.condexp_bot
theorem condexp_add (hf : Integrable f μ) (hg : Integrable g μ) :
μ[f + g|m] =ᵐ[μ] μ[f|m] + μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; simp; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; simp;
|
rfl
|
theorem condexp_add (hf : Integrable f μ) (hg : Integrable g μ) :
μ[f + g|m] =ᵐ[μ] μ[f|m] + μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; simp; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; simp;
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.280_0.yd50cWAuCo6hlry
|
theorem condexp_add (hf : Integrable f μ) (hg : Integrable g μ) :
μ[f + g|m] =ᵐ[μ] μ[f|m] + μ[g|m]
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case pos
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
hf : Integrable f
hg : Integrable g
hm : m ≤ m0
hμm : SigmaFinite (Measure.trim μ hm)
⊢ μ[f + g|m] =ᵐ[μ] μ[f|m] + μ[g|m]
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
exact (condexp_ae_eq_condexpL1 hm f).trans
(Filter.EventuallyEq.trans (by rw [condexpL1_congr_ae hm h])
(condexp_ae_eq_condexpL1 hm g).symm)
#align measure_theory.condexp_congr_ae MeasureTheory.condexp_congr_ae
theorem condexp_of_aestronglyMeasurable' (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : AEStronglyMeasurable' m f μ) (hfi : Integrable f μ) : μ[f|m] =ᵐ[μ] f := by
refine' ((condexp_congr_ae hf.ae_eq_mk).trans _).trans hf.ae_eq_mk.symm
rw [condexp_of_stronglyMeasurable hm hf.stronglyMeasurable_mk
((integrable_congr hf.ae_eq_mk).mp hfi)]
#align measure_theory.condexp_of_ae_strongly_measurable' MeasureTheory.condexp_of_aestronglyMeasurable'
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact integrable_zero _ _ _
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact integrable_zero _ _ _
haveI : SigmaFinite (μ.trim hm) := hμm
exact (integrable_condexpL1 f).congr (condexp_ae_eq_condexpL1 hm f).symm
#align measure_theory.integrable_condexp MeasureTheory.integrable_condexp
/-- The integral of the conditional expectation `μ[f|hm]` over an `m`-measurable set is equal to
the integral of `f` on that set. -/
theorem set_integral_condexp (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ)
(hs : MeasurableSet[m] s) : ∫ x in s, (μ[f|m]) x ∂μ = ∫ x in s, f x ∂μ := by
rw [set_integral_congr_ae (hm s hs) ((condexp_ae_eq_condexpL1 hm f).mono fun x hx _ => hx)]
exact set_integral_condexpL1 hf hs
#align measure_theory.set_integral_condexp MeasureTheory.set_integral_condexp
theorem integral_condexp (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
∫ x, (μ[f|m]) x ∂μ = ∫ x, f x ∂μ := by
suffices ∫ x in Set.univ, (μ[f|m]) x ∂μ = ∫ x in Set.univ, f x ∂μ by
simp_rw [integral_univ] at this; exact this
exact set_integral_condexp hm hf (@MeasurableSet.univ _ m)
#align measure_theory.integral_condexp MeasureTheory.integral_condexp
/-- **Uniqueness of the conditional expectation**
If a function is a.e. `m`-measurable, verifies an integrability condition and has same integral
as `f` on all `m`-measurable sets, then it is a.e. equal to `μ[f|hm]`. -/
theorem ae_eq_condexp_of_forall_set_integral_eq (hm : m ≤ m0) [SigmaFinite (μ.trim hm)]
{f g : α → F'} (hf : Integrable f μ)
(hg_int_finite : ∀ s, MeasurableSet[m] s → μ s < ∞ → IntegrableOn g s μ)
(hg_eq : ∀ s : Set α, MeasurableSet[m] s → μ s < ∞ → ∫ x in s, g x ∂μ = ∫ x in s, f x ∂μ)
(hgm : AEStronglyMeasurable' m g μ) : g =ᵐ[μ] μ[f|m] := by
refine' ae_eq_of_forall_set_integral_eq_of_sigmaFinite' hm hg_int_finite
(fun s _ _ => integrable_condexp.integrableOn) (fun s hs hμs => _) hgm
(StronglyMeasurable.aeStronglyMeasurable' stronglyMeasurable_condexp)
rw [hg_eq s hs hμs, set_integral_condexp hm hf hs]
#align measure_theory.ae_eq_condexp_of_forall_set_integral_eq MeasureTheory.ae_eq_condexp_of_forall_set_integral_eq
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
by_cases hμ_finite : IsFiniteMeasure μ
swap
· have h : ¬SigmaFinite (μ.trim bot_le) := by rwa [sigmaFinite_trim_bot_iff]
rw [not_isFiniteMeasure_iff] at hμ_finite
rw [condexp_of_not_sigmaFinite bot_le h]
simp only [hμ_finite, ENNReal.top_toReal, inv_zero, zero_smul]
rfl
by_cases hf : Integrable f μ
swap; · rw [integral_undef hf, smul_zero, condexp_undef hf]; rfl
have h_meas : StronglyMeasurable[⊥] (μ[f|⊥]) := stronglyMeasurable_condexp
obtain ⟨c, h_eq⟩ := stronglyMeasurable_bot_iff.mp h_meas
rw [h_eq]
have h_integral : ∫ x, (μ[f|⊥]) x ∂μ = ∫ x, f x ∂μ := integral_condexp bot_le hf
simp_rw [h_eq, integral_const] at h_integral
rw [← h_integral, ← smul_assoc, smul_eq_mul, inv_mul_cancel, one_smul]
rw [Ne.def, ENNReal.toReal_eq_zero_iff, not_or]
exact ⟨NeZero.ne _, measure_ne_top μ Set.univ⟩
#align measure_theory.condexp_bot' MeasureTheory.condexp_bot'
theorem condexp_bot_ae_eq (f : α → F') :
μ[f|⊥] =ᵐ[μ] fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
rcases eq_zero_or_neZero μ with rfl | hμ
· rw [ae_zero]; exact eventually_bot
· exact eventually_of_forall <| congr_fun (condexp_bot' f)
#align measure_theory.condexp_bot_ae_eq MeasureTheory.condexp_bot_ae_eq
theorem condexp_bot [IsProbabilityMeasure μ] (f : α → F') : μ[f|⊥] = fun _ => ∫ x, f x ∂μ := by
refine' (condexp_bot' f).trans _; rw [measure_univ, ENNReal.one_toReal, inv_one, one_smul]
#align measure_theory.condexp_bot MeasureTheory.condexp_bot
theorem condexp_add (hf : Integrable f μ) (hg : Integrable g μ) :
μ[f + g|m] =ᵐ[μ] μ[f|m] + μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; simp; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; simp; rfl
|
haveI : SigmaFinite (μ.trim hm) := hμm
|
theorem condexp_add (hf : Integrable f μ) (hg : Integrable g μ) :
μ[f + g|m] =ᵐ[μ] μ[f|m] + μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; simp; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; simp; rfl
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.280_0.yd50cWAuCo6hlry
|
theorem condexp_add (hf : Integrable f μ) (hg : Integrable g μ) :
μ[f + g|m] =ᵐ[μ] μ[f|m] + μ[g|m]
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case pos
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
hf : Integrable f
hg : Integrable g
hm : m ≤ m0
hμm this : SigmaFinite (Measure.trim μ hm)
⊢ μ[f + g|m] =ᵐ[μ] μ[f|m] + μ[g|m]
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
exact (condexp_ae_eq_condexpL1 hm f).trans
(Filter.EventuallyEq.trans (by rw [condexpL1_congr_ae hm h])
(condexp_ae_eq_condexpL1 hm g).symm)
#align measure_theory.condexp_congr_ae MeasureTheory.condexp_congr_ae
theorem condexp_of_aestronglyMeasurable' (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : AEStronglyMeasurable' m f μ) (hfi : Integrable f μ) : μ[f|m] =ᵐ[μ] f := by
refine' ((condexp_congr_ae hf.ae_eq_mk).trans _).trans hf.ae_eq_mk.symm
rw [condexp_of_stronglyMeasurable hm hf.stronglyMeasurable_mk
((integrable_congr hf.ae_eq_mk).mp hfi)]
#align measure_theory.condexp_of_ae_strongly_measurable' MeasureTheory.condexp_of_aestronglyMeasurable'
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact integrable_zero _ _ _
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact integrable_zero _ _ _
haveI : SigmaFinite (μ.trim hm) := hμm
exact (integrable_condexpL1 f).congr (condexp_ae_eq_condexpL1 hm f).symm
#align measure_theory.integrable_condexp MeasureTheory.integrable_condexp
/-- The integral of the conditional expectation `μ[f|hm]` over an `m`-measurable set is equal to
the integral of `f` on that set. -/
theorem set_integral_condexp (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ)
(hs : MeasurableSet[m] s) : ∫ x in s, (μ[f|m]) x ∂μ = ∫ x in s, f x ∂μ := by
rw [set_integral_congr_ae (hm s hs) ((condexp_ae_eq_condexpL1 hm f).mono fun x hx _ => hx)]
exact set_integral_condexpL1 hf hs
#align measure_theory.set_integral_condexp MeasureTheory.set_integral_condexp
theorem integral_condexp (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
∫ x, (μ[f|m]) x ∂μ = ∫ x, f x ∂μ := by
suffices ∫ x in Set.univ, (μ[f|m]) x ∂μ = ∫ x in Set.univ, f x ∂μ by
simp_rw [integral_univ] at this; exact this
exact set_integral_condexp hm hf (@MeasurableSet.univ _ m)
#align measure_theory.integral_condexp MeasureTheory.integral_condexp
/-- **Uniqueness of the conditional expectation**
If a function is a.e. `m`-measurable, verifies an integrability condition and has same integral
as `f` on all `m`-measurable sets, then it is a.e. equal to `μ[f|hm]`. -/
theorem ae_eq_condexp_of_forall_set_integral_eq (hm : m ≤ m0) [SigmaFinite (μ.trim hm)]
{f g : α → F'} (hf : Integrable f μ)
(hg_int_finite : ∀ s, MeasurableSet[m] s → μ s < ∞ → IntegrableOn g s μ)
(hg_eq : ∀ s : Set α, MeasurableSet[m] s → μ s < ∞ → ∫ x in s, g x ∂μ = ∫ x in s, f x ∂μ)
(hgm : AEStronglyMeasurable' m g μ) : g =ᵐ[μ] μ[f|m] := by
refine' ae_eq_of_forall_set_integral_eq_of_sigmaFinite' hm hg_int_finite
(fun s _ _ => integrable_condexp.integrableOn) (fun s hs hμs => _) hgm
(StronglyMeasurable.aeStronglyMeasurable' stronglyMeasurable_condexp)
rw [hg_eq s hs hμs, set_integral_condexp hm hf hs]
#align measure_theory.ae_eq_condexp_of_forall_set_integral_eq MeasureTheory.ae_eq_condexp_of_forall_set_integral_eq
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
by_cases hμ_finite : IsFiniteMeasure μ
swap
· have h : ¬SigmaFinite (μ.trim bot_le) := by rwa [sigmaFinite_trim_bot_iff]
rw [not_isFiniteMeasure_iff] at hμ_finite
rw [condexp_of_not_sigmaFinite bot_le h]
simp only [hμ_finite, ENNReal.top_toReal, inv_zero, zero_smul]
rfl
by_cases hf : Integrable f μ
swap; · rw [integral_undef hf, smul_zero, condexp_undef hf]; rfl
have h_meas : StronglyMeasurable[⊥] (μ[f|⊥]) := stronglyMeasurable_condexp
obtain ⟨c, h_eq⟩ := stronglyMeasurable_bot_iff.mp h_meas
rw [h_eq]
have h_integral : ∫ x, (μ[f|⊥]) x ∂μ = ∫ x, f x ∂μ := integral_condexp bot_le hf
simp_rw [h_eq, integral_const] at h_integral
rw [← h_integral, ← smul_assoc, smul_eq_mul, inv_mul_cancel, one_smul]
rw [Ne.def, ENNReal.toReal_eq_zero_iff, not_or]
exact ⟨NeZero.ne _, measure_ne_top μ Set.univ⟩
#align measure_theory.condexp_bot' MeasureTheory.condexp_bot'
theorem condexp_bot_ae_eq (f : α → F') :
μ[f|⊥] =ᵐ[μ] fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
rcases eq_zero_or_neZero μ with rfl | hμ
· rw [ae_zero]; exact eventually_bot
· exact eventually_of_forall <| congr_fun (condexp_bot' f)
#align measure_theory.condexp_bot_ae_eq MeasureTheory.condexp_bot_ae_eq
theorem condexp_bot [IsProbabilityMeasure μ] (f : α → F') : μ[f|⊥] = fun _ => ∫ x, f x ∂μ := by
refine' (condexp_bot' f).trans _; rw [measure_univ, ENNReal.one_toReal, inv_one, one_smul]
#align measure_theory.condexp_bot MeasureTheory.condexp_bot
theorem condexp_add (hf : Integrable f μ) (hg : Integrable g μ) :
μ[f + g|m] =ᵐ[μ] μ[f|m] + μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; simp; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; simp; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
|
refine' (condexp_ae_eq_condexpL1 hm _).trans _
|
theorem condexp_add (hf : Integrable f μ) (hg : Integrable g μ) :
μ[f + g|m] =ᵐ[μ] μ[f|m] + μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; simp; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; simp; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.280_0.yd50cWAuCo6hlry
|
theorem condexp_add (hf : Integrable f μ) (hg : Integrable g μ) :
μ[f + g|m] =ᵐ[μ] μ[f|m] + μ[g|m]
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case pos
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
hf : Integrable f
hg : Integrable g
hm : m ≤ m0
hμm this : SigmaFinite (Measure.trim μ hm)
⊢ ↑↑(condexpL1 hm μ (f + g)) =ᵐ[μ] μ[f|m] + μ[g|m]
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
exact (condexp_ae_eq_condexpL1 hm f).trans
(Filter.EventuallyEq.trans (by rw [condexpL1_congr_ae hm h])
(condexp_ae_eq_condexpL1 hm g).symm)
#align measure_theory.condexp_congr_ae MeasureTheory.condexp_congr_ae
theorem condexp_of_aestronglyMeasurable' (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : AEStronglyMeasurable' m f μ) (hfi : Integrable f μ) : μ[f|m] =ᵐ[μ] f := by
refine' ((condexp_congr_ae hf.ae_eq_mk).trans _).trans hf.ae_eq_mk.symm
rw [condexp_of_stronglyMeasurable hm hf.stronglyMeasurable_mk
((integrable_congr hf.ae_eq_mk).mp hfi)]
#align measure_theory.condexp_of_ae_strongly_measurable' MeasureTheory.condexp_of_aestronglyMeasurable'
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact integrable_zero _ _ _
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact integrable_zero _ _ _
haveI : SigmaFinite (μ.trim hm) := hμm
exact (integrable_condexpL1 f).congr (condexp_ae_eq_condexpL1 hm f).symm
#align measure_theory.integrable_condexp MeasureTheory.integrable_condexp
/-- The integral of the conditional expectation `μ[f|hm]` over an `m`-measurable set is equal to
the integral of `f` on that set. -/
theorem set_integral_condexp (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ)
(hs : MeasurableSet[m] s) : ∫ x in s, (μ[f|m]) x ∂μ = ∫ x in s, f x ∂μ := by
rw [set_integral_congr_ae (hm s hs) ((condexp_ae_eq_condexpL1 hm f).mono fun x hx _ => hx)]
exact set_integral_condexpL1 hf hs
#align measure_theory.set_integral_condexp MeasureTheory.set_integral_condexp
theorem integral_condexp (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
∫ x, (μ[f|m]) x ∂μ = ∫ x, f x ∂μ := by
suffices ∫ x in Set.univ, (μ[f|m]) x ∂μ = ∫ x in Set.univ, f x ∂μ by
simp_rw [integral_univ] at this; exact this
exact set_integral_condexp hm hf (@MeasurableSet.univ _ m)
#align measure_theory.integral_condexp MeasureTheory.integral_condexp
/-- **Uniqueness of the conditional expectation**
If a function is a.e. `m`-measurable, verifies an integrability condition and has same integral
as `f` on all `m`-measurable sets, then it is a.e. equal to `μ[f|hm]`. -/
theorem ae_eq_condexp_of_forall_set_integral_eq (hm : m ≤ m0) [SigmaFinite (μ.trim hm)]
{f g : α → F'} (hf : Integrable f μ)
(hg_int_finite : ∀ s, MeasurableSet[m] s → μ s < ∞ → IntegrableOn g s μ)
(hg_eq : ∀ s : Set α, MeasurableSet[m] s → μ s < ∞ → ∫ x in s, g x ∂μ = ∫ x in s, f x ∂μ)
(hgm : AEStronglyMeasurable' m g μ) : g =ᵐ[μ] μ[f|m] := by
refine' ae_eq_of_forall_set_integral_eq_of_sigmaFinite' hm hg_int_finite
(fun s _ _ => integrable_condexp.integrableOn) (fun s hs hμs => _) hgm
(StronglyMeasurable.aeStronglyMeasurable' stronglyMeasurable_condexp)
rw [hg_eq s hs hμs, set_integral_condexp hm hf hs]
#align measure_theory.ae_eq_condexp_of_forall_set_integral_eq MeasureTheory.ae_eq_condexp_of_forall_set_integral_eq
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
by_cases hμ_finite : IsFiniteMeasure μ
swap
· have h : ¬SigmaFinite (μ.trim bot_le) := by rwa [sigmaFinite_trim_bot_iff]
rw [not_isFiniteMeasure_iff] at hμ_finite
rw [condexp_of_not_sigmaFinite bot_le h]
simp only [hμ_finite, ENNReal.top_toReal, inv_zero, zero_smul]
rfl
by_cases hf : Integrable f μ
swap; · rw [integral_undef hf, smul_zero, condexp_undef hf]; rfl
have h_meas : StronglyMeasurable[⊥] (μ[f|⊥]) := stronglyMeasurable_condexp
obtain ⟨c, h_eq⟩ := stronglyMeasurable_bot_iff.mp h_meas
rw [h_eq]
have h_integral : ∫ x, (μ[f|⊥]) x ∂μ = ∫ x, f x ∂μ := integral_condexp bot_le hf
simp_rw [h_eq, integral_const] at h_integral
rw [← h_integral, ← smul_assoc, smul_eq_mul, inv_mul_cancel, one_smul]
rw [Ne.def, ENNReal.toReal_eq_zero_iff, not_or]
exact ⟨NeZero.ne _, measure_ne_top μ Set.univ⟩
#align measure_theory.condexp_bot' MeasureTheory.condexp_bot'
theorem condexp_bot_ae_eq (f : α → F') :
μ[f|⊥] =ᵐ[μ] fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
rcases eq_zero_or_neZero μ with rfl | hμ
· rw [ae_zero]; exact eventually_bot
· exact eventually_of_forall <| congr_fun (condexp_bot' f)
#align measure_theory.condexp_bot_ae_eq MeasureTheory.condexp_bot_ae_eq
theorem condexp_bot [IsProbabilityMeasure μ] (f : α → F') : μ[f|⊥] = fun _ => ∫ x, f x ∂μ := by
refine' (condexp_bot' f).trans _; rw [measure_univ, ENNReal.one_toReal, inv_one, one_smul]
#align measure_theory.condexp_bot MeasureTheory.condexp_bot
theorem condexp_add (hf : Integrable f μ) (hg : Integrable g μ) :
μ[f + g|m] =ᵐ[μ] μ[f|m] + μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; simp; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; simp; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
refine' (condexp_ae_eq_condexpL1 hm _).trans _
|
rw [condexpL1_add hf hg]
|
theorem condexp_add (hf : Integrable f μ) (hg : Integrable g μ) :
μ[f + g|m] =ᵐ[μ] μ[f|m] + μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; simp; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; simp; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
refine' (condexp_ae_eq_condexpL1 hm _).trans _
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.280_0.yd50cWAuCo6hlry
|
theorem condexp_add (hf : Integrable f μ) (hg : Integrable g μ) :
μ[f + g|m] =ᵐ[μ] μ[f|m] + μ[g|m]
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case pos
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f g : α → F'
s : Set α
hf : Integrable f
hg : Integrable g
hm : m ≤ m0
hμm this : SigmaFinite (Measure.trim μ hm)
⊢ ↑↑(condexpL1 hm μ f + condexpL1 hm μ g) =ᵐ[μ] μ[f|m] + μ[g|m]
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
exact (condexp_ae_eq_condexpL1 hm f).trans
(Filter.EventuallyEq.trans (by rw [condexpL1_congr_ae hm h])
(condexp_ae_eq_condexpL1 hm g).symm)
#align measure_theory.condexp_congr_ae MeasureTheory.condexp_congr_ae
theorem condexp_of_aestronglyMeasurable' (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : AEStronglyMeasurable' m f μ) (hfi : Integrable f μ) : μ[f|m] =ᵐ[μ] f := by
refine' ((condexp_congr_ae hf.ae_eq_mk).trans _).trans hf.ae_eq_mk.symm
rw [condexp_of_stronglyMeasurable hm hf.stronglyMeasurable_mk
((integrable_congr hf.ae_eq_mk).mp hfi)]
#align measure_theory.condexp_of_ae_strongly_measurable' MeasureTheory.condexp_of_aestronglyMeasurable'
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact integrable_zero _ _ _
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact integrable_zero _ _ _
haveI : SigmaFinite (μ.trim hm) := hμm
exact (integrable_condexpL1 f).congr (condexp_ae_eq_condexpL1 hm f).symm
#align measure_theory.integrable_condexp MeasureTheory.integrable_condexp
/-- The integral of the conditional expectation `μ[f|hm]` over an `m`-measurable set is equal to
the integral of `f` on that set. -/
theorem set_integral_condexp (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ)
(hs : MeasurableSet[m] s) : ∫ x in s, (μ[f|m]) x ∂μ = ∫ x in s, f x ∂μ := by
rw [set_integral_congr_ae (hm s hs) ((condexp_ae_eq_condexpL1 hm f).mono fun x hx _ => hx)]
exact set_integral_condexpL1 hf hs
#align measure_theory.set_integral_condexp MeasureTheory.set_integral_condexp
theorem integral_condexp (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
∫ x, (μ[f|m]) x ∂μ = ∫ x, f x ∂μ := by
suffices ∫ x in Set.univ, (μ[f|m]) x ∂μ = ∫ x in Set.univ, f x ∂μ by
simp_rw [integral_univ] at this; exact this
exact set_integral_condexp hm hf (@MeasurableSet.univ _ m)
#align measure_theory.integral_condexp MeasureTheory.integral_condexp
/-- **Uniqueness of the conditional expectation**
If a function is a.e. `m`-measurable, verifies an integrability condition and has same integral
as `f` on all `m`-measurable sets, then it is a.e. equal to `μ[f|hm]`. -/
theorem ae_eq_condexp_of_forall_set_integral_eq (hm : m ≤ m0) [SigmaFinite (μ.trim hm)]
{f g : α → F'} (hf : Integrable f μ)
(hg_int_finite : ∀ s, MeasurableSet[m] s → μ s < ∞ → IntegrableOn g s μ)
(hg_eq : ∀ s : Set α, MeasurableSet[m] s → μ s < ∞ → ∫ x in s, g x ∂μ = ∫ x in s, f x ∂μ)
(hgm : AEStronglyMeasurable' m g μ) : g =ᵐ[μ] μ[f|m] := by
refine' ae_eq_of_forall_set_integral_eq_of_sigmaFinite' hm hg_int_finite
(fun s _ _ => integrable_condexp.integrableOn) (fun s hs hμs => _) hgm
(StronglyMeasurable.aeStronglyMeasurable' stronglyMeasurable_condexp)
rw [hg_eq s hs hμs, set_integral_condexp hm hf hs]
#align measure_theory.ae_eq_condexp_of_forall_set_integral_eq MeasureTheory.ae_eq_condexp_of_forall_set_integral_eq
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
by_cases hμ_finite : IsFiniteMeasure μ
swap
· have h : ¬SigmaFinite (μ.trim bot_le) := by rwa [sigmaFinite_trim_bot_iff]
rw [not_isFiniteMeasure_iff] at hμ_finite
rw [condexp_of_not_sigmaFinite bot_le h]
simp only [hμ_finite, ENNReal.top_toReal, inv_zero, zero_smul]
rfl
by_cases hf : Integrable f μ
swap; · rw [integral_undef hf, smul_zero, condexp_undef hf]; rfl
have h_meas : StronglyMeasurable[⊥] (μ[f|⊥]) := stronglyMeasurable_condexp
obtain ⟨c, h_eq⟩ := stronglyMeasurable_bot_iff.mp h_meas
rw [h_eq]
have h_integral : ∫ x, (μ[f|⊥]) x ∂μ = ∫ x, f x ∂μ := integral_condexp bot_le hf
simp_rw [h_eq, integral_const] at h_integral
rw [← h_integral, ← smul_assoc, smul_eq_mul, inv_mul_cancel, one_smul]
rw [Ne.def, ENNReal.toReal_eq_zero_iff, not_or]
exact ⟨NeZero.ne _, measure_ne_top μ Set.univ⟩
#align measure_theory.condexp_bot' MeasureTheory.condexp_bot'
theorem condexp_bot_ae_eq (f : α → F') :
μ[f|⊥] =ᵐ[μ] fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
rcases eq_zero_or_neZero μ with rfl | hμ
· rw [ae_zero]; exact eventually_bot
· exact eventually_of_forall <| congr_fun (condexp_bot' f)
#align measure_theory.condexp_bot_ae_eq MeasureTheory.condexp_bot_ae_eq
theorem condexp_bot [IsProbabilityMeasure μ] (f : α → F') : μ[f|⊥] = fun _ => ∫ x, f x ∂μ := by
refine' (condexp_bot' f).trans _; rw [measure_univ, ENNReal.one_toReal, inv_one, one_smul]
#align measure_theory.condexp_bot MeasureTheory.condexp_bot
theorem condexp_add (hf : Integrable f μ) (hg : Integrable g μ) :
μ[f + g|m] =ᵐ[μ] μ[f|m] + μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; simp; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; simp; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
refine' (condexp_ae_eq_condexpL1 hm _).trans _
rw [condexpL1_add hf hg]
|
exact (coeFn_add _ _).trans
((condexp_ae_eq_condexpL1 hm _).symm.add (condexp_ae_eq_condexpL1 hm _).symm)
|
theorem condexp_add (hf : Integrable f μ) (hg : Integrable g μ) :
μ[f + g|m] =ᵐ[μ] μ[f|m] + μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; simp; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; simp; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
refine' (condexp_ae_eq_condexpL1 hm _).trans _
rw [condexpL1_add hf hg]
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.280_0.yd50cWAuCo6hlry
|
theorem condexp_add (hf : Integrable f μ) (hg : Integrable g μ) :
μ[f + g|m] =ᵐ[μ] μ[f|m] + μ[g|m]
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f✝ g : α → F'
s✝ : Set α
ι : Type u_5
s : Finset ι
f : ι → α → F'
hf : ∀ i ∈ s, Integrable (f i)
⊢ μ[∑ i in s, f i|m] =ᵐ[μ] ∑ i in s, μ[f i|m]
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
exact (condexp_ae_eq_condexpL1 hm f).trans
(Filter.EventuallyEq.trans (by rw [condexpL1_congr_ae hm h])
(condexp_ae_eq_condexpL1 hm g).symm)
#align measure_theory.condexp_congr_ae MeasureTheory.condexp_congr_ae
theorem condexp_of_aestronglyMeasurable' (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : AEStronglyMeasurable' m f μ) (hfi : Integrable f μ) : μ[f|m] =ᵐ[μ] f := by
refine' ((condexp_congr_ae hf.ae_eq_mk).trans _).trans hf.ae_eq_mk.symm
rw [condexp_of_stronglyMeasurable hm hf.stronglyMeasurable_mk
((integrable_congr hf.ae_eq_mk).mp hfi)]
#align measure_theory.condexp_of_ae_strongly_measurable' MeasureTheory.condexp_of_aestronglyMeasurable'
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact integrable_zero _ _ _
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact integrable_zero _ _ _
haveI : SigmaFinite (μ.trim hm) := hμm
exact (integrable_condexpL1 f).congr (condexp_ae_eq_condexpL1 hm f).symm
#align measure_theory.integrable_condexp MeasureTheory.integrable_condexp
/-- The integral of the conditional expectation `μ[f|hm]` over an `m`-measurable set is equal to
the integral of `f` on that set. -/
theorem set_integral_condexp (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ)
(hs : MeasurableSet[m] s) : ∫ x in s, (μ[f|m]) x ∂μ = ∫ x in s, f x ∂μ := by
rw [set_integral_congr_ae (hm s hs) ((condexp_ae_eq_condexpL1 hm f).mono fun x hx _ => hx)]
exact set_integral_condexpL1 hf hs
#align measure_theory.set_integral_condexp MeasureTheory.set_integral_condexp
theorem integral_condexp (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
∫ x, (μ[f|m]) x ∂μ = ∫ x, f x ∂μ := by
suffices ∫ x in Set.univ, (μ[f|m]) x ∂μ = ∫ x in Set.univ, f x ∂μ by
simp_rw [integral_univ] at this; exact this
exact set_integral_condexp hm hf (@MeasurableSet.univ _ m)
#align measure_theory.integral_condexp MeasureTheory.integral_condexp
/-- **Uniqueness of the conditional expectation**
If a function is a.e. `m`-measurable, verifies an integrability condition and has same integral
as `f` on all `m`-measurable sets, then it is a.e. equal to `μ[f|hm]`. -/
theorem ae_eq_condexp_of_forall_set_integral_eq (hm : m ≤ m0) [SigmaFinite (μ.trim hm)]
{f g : α → F'} (hf : Integrable f μ)
(hg_int_finite : ∀ s, MeasurableSet[m] s → μ s < ∞ → IntegrableOn g s μ)
(hg_eq : ∀ s : Set α, MeasurableSet[m] s → μ s < ∞ → ∫ x in s, g x ∂μ = ∫ x in s, f x ∂μ)
(hgm : AEStronglyMeasurable' m g μ) : g =ᵐ[μ] μ[f|m] := by
refine' ae_eq_of_forall_set_integral_eq_of_sigmaFinite' hm hg_int_finite
(fun s _ _ => integrable_condexp.integrableOn) (fun s hs hμs => _) hgm
(StronglyMeasurable.aeStronglyMeasurable' stronglyMeasurable_condexp)
rw [hg_eq s hs hμs, set_integral_condexp hm hf hs]
#align measure_theory.ae_eq_condexp_of_forall_set_integral_eq MeasureTheory.ae_eq_condexp_of_forall_set_integral_eq
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
by_cases hμ_finite : IsFiniteMeasure μ
swap
· have h : ¬SigmaFinite (μ.trim bot_le) := by rwa [sigmaFinite_trim_bot_iff]
rw [not_isFiniteMeasure_iff] at hμ_finite
rw [condexp_of_not_sigmaFinite bot_le h]
simp only [hμ_finite, ENNReal.top_toReal, inv_zero, zero_smul]
rfl
by_cases hf : Integrable f μ
swap; · rw [integral_undef hf, smul_zero, condexp_undef hf]; rfl
have h_meas : StronglyMeasurable[⊥] (μ[f|⊥]) := stronglyMeasurable_condexp
obtain ⟨c, h_eq⟩ := stronglyMeasurable_bot_iff.mp h_meas
rw [h_eq]
have h_integral : ∫ x, (μ[f|⊥]) x ∂μ = ∫ x, f x ∂μ := integral_condexp bot_le hf
simp_rw [h_eq, integral_const] at h_integral
rw [← h_integral, ← smul_assoc, smul_eq_mul, inv_mul_cancel, one_smul]
rw [Ne.def, ENNReal.toReal_eq_zero_iff, not_or]
exact ⟨NeZero.ne _, measure_ne_top μ Set.univ⟩
#align measure_theory.condexp_bot' MeasureTheory.condexp_bot'
theorem condexp_bot_ae_eq (f : α → F') :
μ[f|⊥] =ᵐ[μ] fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
rcases eq_zero_or_neZero μ with rfl | hμ
· rw [ae_zero]; exact eventually_bot
· exact eventually_of_forall <| congr_fun (condexp_bot' f)
#align measure_theory.condexp_bot_ae_eq MeasureTheory.condexp_bot_ae_eq
theorem condexp_bot [IsProbabilityMeasure μ] (f : α → F') : μ[f|⊥] = fun _ => ∫ x, f x ∂μ := by
refine' (condexp_bot' f).trans _; rw [measure_univ, ENNReal.one_toReal, inv_one, one_smul]
#align measure_theory.condexp_bot MeasureTheory.condexp_bot
theorem condexp_add (hf : Integrable f μ) (hg : Integrable g μ) :
μ[f + g|m] =ᵐ[μ] μ[f|m] + μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; simp; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; simp; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
refine' (condexp_ae_eq_condexpL1 hm _).trans _
rw [condexpL1_add hf hg]
exact (coeFn_add _ _).trans
((condexp_ae_eq_condexpL1 hm _).symm.add (condexp_ae_eq_condexpL1 hm _).symm)
#align measure_theory.condexp_add MeasureTheory.condexp_add
theorem condexp_finset_sum {ι : Type*} {s : Finset ι} {f : ι → α → F'}
(hf : ∀ i ∈ s, Integrable (f i) μ) : μ[∑ i in s, f i|m] =ᵐ[μ] ∑ i in s, μ[f i|m] := by
|
induction' s using Finset.induction_on with i s his heq hf
|
theorem condexp_finset_sum {ι : Type*} {s : Finset ι} {f : ι → α → F'}
(hf : ∀ i ∈ s, Integrable (f i) μ) : μ[∑ i in s, f i|m] =ᵐ[μ] ∑ i in s, μ[f i|m] := by
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.293_0.yd50cWAuCo6hlry
|
theorem condexp_finset_sum {ι : Type*} {s : Finset ι} {f : ι → α → F'}
(hf : ∀ i ∈ s, Integrable (f i) μ) : μ[∑ i in s, f i|m] =ᵐ[μ] ∑ i in s, μ[f i|m]
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case empty
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f✝ g : α → F'
s : Set α
ι : Type u_5
f : ι → α → F'
hf : ∀ i ∈ ∅, Integrable (f i)
⊢ μ[∑ i in ∅, f i|m] =ᵐ[μ] ∑ i in ∅, μ[f i|m]
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
exact (condexp_ae_eq_condexpL1 hm f).trans
(Filter.EventuallyEq.trans (by rw [condexpL1_congr_ae hm h])
(condexp_ae_eq_condexpL1 hm g).symm)
#align measure_theory.condexp_congr_ae MeasureTheory.condexp_congr_ae
theorem condexp_of_aestronglyMeasurable' (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : AEStronglyMeasurable' m f μ) (hfi : Integrable f μ) : μ[f|m] =ᵐ[μ] f := by
refine' ((condexp_congr_ae hf.ae_eq_mk).trans _).trans hf.ae_eq_mk.symm
rw [condexp_of_stronglyMeasurable hm hf.stronglyMeasurable_mk
((integrable_congr hf.ae_eq_mk).mp hfi)]
#align measure_theory.condexp_of_ae_strongly_measurable' MeasureTheory.condexp_of_aestronglyMeasurable'
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact integrable_zero _ _ _
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact integrable_zero _ _ _
haveI : SigmaFinite (μ.trim hm) := hμm
exact (integrable_condexpL1 f).congr (condexp_ae_eq_condexpL1 hm f).symm
#align measure_theory.integrable_condexp MeasureTheory.integrable_condexp
/-- The integral of the conditional expectation `μ[f|hm]` over an `m`-measurable set is equal to
the integral of `f` on that set. -/
theorem set_integral_condexp (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ)
(hs : MeasurableSet[m] s) : ∫ x in s, (μ[f|m]) x ∂μ = ∫ x in s, f x ∂μ := by
rw [set_integral_congr_ae (hm s hs) ((condexp_ae_eq_condexpL1 hm f).mono fun x hx _ => hx)]
exact set_integral_condexpL1 hf hs
#align measure_theory.set_integral_condexp MeasureTheory.set_integral_condexp
theorem integral_condexp (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
∫ x, (μ[f|m]) x ∂μ = ∫ x, f x ∂μ := by
suffices ∫ x in Set.univ, (μ[f|m]) x ∂μ = ∫ x in Set.univ, f x ∂μ by
simp_rw [integral_univ] at this; exact this
exact set_integral_condexp hm hf (@MeasurableSet.univ _ m)
#align measure_theory.integral_condexp MeasureTheory.integral_condexp
/-- **Uniqueness of the conditional expectation**
If a function is a.e. `m`-measurable, verifies an integrability condition and has same integral
as `f` on all `m`-measurable sets, then it is a.e. equal to `μ[f|hm]`. -/
theorem ae_eq_condexp_of_forall_set_integral_eq (hm : m ≤ m0) [SigmaFinite (μ.trim hm)]
{f g : α → F'} (hf : Integrable f μ)
(hg_int_finite : ∀ s, MeasurableSet[m] s → μ s < ∞ → IntegrableOn g s μ)
(hg_eq : ∀ s : Set α, MeasurableSet[m] s → μ s < ∞ → ∫ x in s, g x ∂μ = ∫ x in s, f x ∂μ)
(hgm : AEStronglyMeasurable' m g μ) : g =ᵐ[μ] μ[f|m] := by
refine' ae_eq_of_forall_set_integral_eq_of_sigmaFinite' hm hg_int_finite
(fun s _ _ => integrable_condexp.integrableOn) (fun s hs hμs => _) hgm
(StronglyMeasurable.aeStronglyMeasurable' stronglyMeasurable_condexp)
rw [hg_eq s hs hμs, set_integral_condexp hm hf hs]
#align measure_theory.ae_eq_condexp_of_forall_set_integral_eq MeasureTheory.ae_eq_condexp_of_forall_set_integral_eq
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
by_cases hμ_finite : IsFiniteMeasure μ
swap
· have h : ¬SigmaFinite (μ.trim bot_le) := by rwa [sigmaFinite_trim_bot_iff]
rw [not_isFiniteMeasure_iff] at hμ_finite
rw [condexp_of_not_sigmaFinite bot_le h]
simp only [hμ_finite, ENNReal.top_toReal, inv_zero, zero_smul]
rfl
by_cases hf : Integrable f μ
swap; · rw [integral_undef hf, smul_zero, condexp_undef hf]; rfl
have h_meas : StronglyMeasurable[⊥] (μ[f|⊥]) := stronglyMeasurable_condexp
obtain ⟨c, h_eq⟩ := stronglyMeasurable_bot_iff.mp h_meas
rw [h_eq]
have h_integral : ∫ x, (μ[f|⊥]) x ∂μ = ∫ x, f x ∂μ := integral_condexp bot_le hf
simp_rw [h_eq, integral_const] at h_integral
rw [← h_integral, ← smul_assoc, smul_eq_mul, inv_mul_cancel, one_smul]
rw [Ne.def, ENNReal.toReal_eq_zero_iff, not_or]
exact ⟨NeZero.ne _, measure_ne_top μ Set.univ⟩
#align measure_theory.condexp_bot' MeasureTheory.condexp_bot'
theorem condexp_bot_ae_eq (f : α → F') :
μ[f|⊥] =ᵐ[μ] fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
rcases eq_zero_or_neZero μ with rfl | hμ
· rw [ae_zero]; exact eventually_bot
· exact eventually_of_forall <| congr_fun (condexp_bot' f)
#align measure_theory.condexp_bot_ae_eq MeasureTheory.condexp_bot_ae_eq
theorem condexp_bot [IsProbabilityMeasure μ] (f : α → F') : μ[f|⊥] = fun _ => ∫ x, f x ∂μ := by
refine' (condexp_bot' f).trans _; rw [measure_univ, ENNReal.one_toReal, inv_one, one_smul]
#align measure_theory.condexp_bot MeasureTheory.condexp_bot
theorem condexp_add (hf : Integrable f μ) (hg : Integrable g μ) :
μ[f + g|m] =ᵐ[μ] μ[f|m] + μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; simp; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; simp; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
refine' (condexp_ae_eq_condexpL1 hm _).trans _
rw [condexpL1_add hf hg]
exact (coeFn_add _ _).trans
((condexp_ae_eq_condexpL1 hm _).symm.add (condexp_ae_eq_condexpL1 hm _).symm)
#align measure_theory.condexp_add MeasureTheory.condexp_add
theorem condexp_finset_sum {ι : Type*} {s : Finset ι} {f : ι → α → F'}
(hf : ∀ i ∈ s, Integrable (f i) μ) : μ[∑ i in s, f i|m] =ᵐ[μ] ∑ i in s, μ[f i|m] := by
induction' s using Finset.induction_on with i s his heq hf
·
|
rw [Finset.sum_empty, Finset.sum_empty, condexp_zero]
|
theorem condexp_finset_sum {ι : Type*} {s : Finset ι} {f : ι → α → F'}
(hf : ∀ i ∈ s, Integrable (f i) μ) : μ[∑ i in s, f i|m] =ᵐ[μ] ∑ i in s, μ[f i|m] := by
induction' s using Finset.induction_on with i s his heq hf
·
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.293_0.yd50cWAuCo6hlry
|
theorem condexp_finset_sum {ι : Type*} {s : Finset ι} {f : ι → α → F'}
(hf : ∀ i ∈ s, Integrable (f i) μ) : μ[∑ i in s, f i|m] =ᵐ[μ] ∑ i in s, μ[f i|m]
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
case insert
α : Type u_1
F : Type u_2
F' : Type u_3
𝕜 : Type u_4
p : ℝ≥0∞
inst✝⁶ : IsROrC 𝕜
inst✝⁵ : NormedAddCommGroup F
inst✝⁴ : NormedSpace 𝕜 F
inst✝³ : NormedAddCommGroup F'
inst✝² : NormedSpace 𝕜 F'
inst✝¹ : NormedSpace ℝ F'
inst✝ : CompleteSpace F'
m m0 : MeasurableSpace α
μ : Measure α
f✝ g : α → F'
s✝ : Set α
ι : Type u_5
f : ι → α → F'
i : ι
s : Finset ι
his : i ∉ s
heq : (∀ i ∈ s, Integrable (f i)) → μ[∑ i in s, f i|m] =ᵐ[μ] ∑ i in s, μ[f i|m]
hf : ∀ i_1 ∈ insert i s, Integrable (f i_1)
⊢ μ[∑ i in insert i s, f i|m] =ᵐ[μ] ∑ i in insert i s, μ[f i|m]
|
/-
Copyright (c) 2021 Rémy Degenne. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Rémy Degenne
-/
import Mathlib.MeasureTheory.Function.ConditionalExpectation.CondexpL1
#align_import measure_theory.function.conditional_expectation.basic from "leanprover-community/mathlib"@"d8bbb04e2d2a44596798a9207ceefc0fb236e41e"
/-! # Conditional expectation
We build the conditional expectation of an integrable function `f` with value in a Banach space
with respect to a measure `μ` (defined on a measurable space structure `m0`) and a measurable space
structure `m` with `hm : m ≤ m0` (a sub-sigma-algebra). This is an `m`-strongly measurable
function `μ[f|hm]` which is integrable and verifies `∫ x in s, μ[f|hm] x ∂μ = ∫ x in s, f x ∂μ`
for all `m`-measurable sets `s`. It is unique as an element of `L¹`.
The construction is done in four steps:
* Define the conditional expectation of an `L²` function, as an element of `L²`. This is the
orthogonal projection on the subspace of almost everywhere `m`-measurable functions.
* Show that the conditional expectation of the indicator of a measurable set with finite measure
is integrable and define a map `Set α → (E →L[ℝ] (α →₁[μ] E))` which to a set associates a linear
map. That linear map sends `x ∈ E` to the conditional expectation of the indicator of the set
with value `x`.
* Extend that map to `condexpL1Clm : (α →₁[μ] E) →L[ℝ] (α →₁[μ] E)`. This is done using the same
construction as the Bochner integral (see the file `MeasureTheory/Integral/SetToL1`).
* Define the conditional expectation of a function `f : α → E`, which is an integrable function
`α → E` equal to 0 if `f` is not integrable, and equal to an `m`-measurable representative of
`condexpL1Clm` applied to `[f]`, the equivalence class of `f` in `L¹`.
The first step is done in `MeasureTheory.Function.ConditionalExpectation.CondexpL2`, the two
next steps in `MeasureTheory.Function.ConditionalExpectation.CondexpL1` and the final step is
performed in this file.
## Main results
The conditional expectation and its properties
* `condexp (m : MeasurableSpace α) (μ : Measure α) (f : α → E)`: conditional expectation of `f`
with respect to `m`.
* `integrable_condexp` : `condexp` is integrable.
* `stronglyMeasurable_condexp` : `condexp` is `m`-strongly-measurable.
* `set_integral_condexp (hf : Integrable f μ) (hs : MeasurableSet[m] s)` : if `m ≤ m0` (the
σ-algebra over which the measure is defined), then the conditional expectation verifies
`∫ x in s, condexp m μ f x ∂μ = ∫ x in s, f x ∂μ` for any `m`-measurable set `s`.
While `condexp` is function-valued, we also define `condexpL1` with value in `L1` and a continuous
linear map `condexpL1Clm` from `L1` to `L1`. `condexp` should be used in most cases.
Uniqueness of the conditional expectation
* `ae_eq_condexp_of_forall_set_integral_eq`: an a.e. `m`-measurable function which verifies the
equality of integrals is a.e. equal to `condexp`.
## Notations
For a measure `μ` defined on a measurable space structure `m0`, another measurable space structure
`m` with `hm : m ≤ m0` (a sub-σ-algebra) and a function `f`, we define the notation
* `μ[f|m] = condexp m μ f`.
## Tags
conditional expectation, conditional expected value
-/
open TopologicalSpace MeasureTheory.Lp Filter
open scoped ENNReal Topology BigOperators MeasureTheory
namespace MeasureTheory
variable {α F F' 𝕜 : Type*} {p : ℝ≥0∞} [IsROrC 𝕜]
-- 𝕜 for ℝ or ℂ
-- F for a Lp submodule
[NormedAddCommGroup F]
[NormedSpace 𝕜 F]
-- F' for integrals on a Lp submodule
[NormedAddCommGroup F']
[NormedSpace 𝕜 F'] [NormedSpace ℝ F'] [CompleteSpace F']
open scoped Classical
variable {m m0 : MeasurableSpace α} {μ : Measure α} {f g : α → F'} {s : Set α}
/-- Conditional expectation of a function. It is defined as 0 if any one of the following conditions
is true:
- `m` is not a sub-σ-algebra of `m0`,
- `μ` is not σ-finite with respect to `m`,
- `f` is not integrable. -/
noncomputable irreducible_def condexp (m : MeasurableSpace α) {m0 : MeasurableSpace α}
(μ : Measure α) (f : α → F') : α → F' :=
if hm : m ≤ m0 then
if h : SigmaFinite (μ.trim hm) ∧ Integrable f μ then
if StronglyMeasurable[m] f then f
else (@aestronglyMeasurable'_condexpL1 _ _ _ _ _ m m0 μ hm h.1 _).mk
(@condexpL1 _ _ _ _ _ _ _ hm μ h.1 f)
else 0
else 0
#align measure_theory.condexp MeasureTheory.condexp
-- We define notation `μ[f|m]` for the conditional expectation of `f` with respect to `m`.
scoped notation μ "[" f "|" m "]" => MeasureTheory.condexp m μ f
theorem condexp_of_not_le (hm_not : ¬m ≤ m0) : μ[f|m] = 0 := by rw [condexp, dif_neg hm_not]
#align measure_theory.condexp_of_not_le MeasureTheory.condexp_of_not_le
theorem condexp_of_not_sigmaFinite (hm : m ≤ m0) (hμm_not : ¬SigmaFinite (μ.trim hm)) :
μ[f|m] = 0 := by rw [condexp, dif_pos hm, dif_neg]; push_neg; exact fun h => absurd h hμm_not
#align measure_theory.condexp_of_not_sigma_finite MeasureTheory.condexp_of_not_sigmaFinite
theorem condexp_of_sigmaFinite (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] :
μ[f|m] =
if Integrable f μ then
if StronglyMeasurable[m] f then f
else aestronglyMeasurable'_condexpL1.mk (condexpL1 hm μ f)
else 0 := by
rw [condexp, dif_pos hm]
simp only [hμm, Ne.def, true_and_iff]
by_cases hf : Integrable f μ
· rw [dif_pos hf, if_pos hf]
· rw [dif_neg hf, if_neg hf]
#align measure_theory.condexp_of_sigma_finite MeasureTheory.condexp_of_sigmaFinite
theorem condexp_of_stronglyMeasurable (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : StronglyMeasurable[m] f) (hfi : Integrable f μ) : μ[f|m] = f := by
rw [condexp_of_sigmaFinite hm, if_pos hfi, if_pos hf]
#align measure_theory.condexp_of_strongly_measurable MeasureTheory.condexp_of_stronglyMeasurable
theorem condexp_const (hm : m ≤ m0) (c : F') [IsFiniteMeasure μ] :
μ[fun _ : α => c|m] = fun _ => c :=
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_const _ _ m _ _) (integrable_const c)
#align measure_theory.condexp_const MeasureTheory.condexp_const
theorem condexp_ae_eq_condexpL1 (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (f : α → F') :
μ[f|m] =ᵐ[μ] condexpL1 hm μ f := by
rw [condexp_of_sigmaFinite hm]
by_cases hfi : Integrable f μ
· rw [if_pos hfi]
by_cases hfm : StronglyMeasurable[m] f
· rw [if_pos hfm]
exact (condexpL1_of_aestronglyMeasurable' (StronglyMeasurable.aeStronglyMeasurable' hfm)
hfi).symm
· rw [if_neg hfm]
exact (AEStronglyMeasurable'.ae_eq_mk aestronglyMeasurable'_condexpL1).symm
rw [if_neg hfi, condexpL1_undef hfi]
exact (coeFn_zero _ _ _).symm
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1 MeasureTheory.condexp_ae_eq_condexpL1
theorem condexp_ae_eq_condexpL1Clm (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
μ[f|m] =ᵐ[μ] condexpL1Clm F' hm μ (hf.toL1 f) := by
refine' (condexp_ae_eq_condexpL1 hm f).trans (eventually_of_forall fun x => _)
rw [condexpL1_eq hf]
set_option linter.uppercaseLean3 false in
#align measure_theory.condexp_ae_eq_condexp_L1_clm MeasureTheory.condexp_ae_eq_condexpL1Clm
theorem condexp_undef (hf : ¬Integrable f μ) : μ[f|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite, if_neg hf]
#align measure_theory.condexp_undef MeasureTheory.condexp_undef
@[simp]
theorem condexp_zero : μ[(0 : α → F')|m] = 0 := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]
haveI : SigmaFinite (μ.trim hm) := hμm
exact
condexp_of_stronglyMeasurable hm (@stronglyMeasurable_zero _ _ m _ _) (integrable_zero _ _ _)
#align measure_theory.condexp_zero MeasureTheory.condexp_zero
theorem stronglyMeasurable_condexp : StronglyMeasurable[m] (μ[f|m]) := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact stronglyMeasurable_zero
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact stronglyMeasurable_zero
haveI : SigmaFinite (μ.trim hm) := hμm
rw [condexp_of_sigmaFinite hm]
split_ifs with hfi hfm
· exact hfm
· exact AEStronglyMeasurable'.stronglyMeasurable_mk _
· exact stronglyMeasurable_zero
#align measure_theory.strongly_measurable_condexp MeasureTheory.stronglyMeasurable_condexp
theorem condexp_congr_ae (h : f =ᵐ[μ] g) : μ[f|m] =ᵐ[μ] μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
exact (condexp_ae_eq_condexpL1 hm f).trans
(Filter.EventuallyEq.trans (by rw [condexpL1_congr_ae hm h])
(condexp_ae_eq_condexpL1 hm g).symm)
#align measure_theory.condexp_congr_ae MeasureTheory.condexp_congr_ae
theorem condexp_of_aestronglyMeasurable' (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] {f : α → F'}
(hf : AEStronglyMeasurable' m f μ) (hfi : Integrable f μ) : μ[f|m] =ᵐ[μ] f := by
refine' ((condexp_congr_ae hf.ae_eq_mk).trans _).trans hf.ae_eq_mk.symm
rw [condexp_of_stronglyMeasurable hm hf.stronglyMeasurable_mk
((integrable_congr hf.ae_eq_mk).mp hfi)]
#align measure_theory.condexp_of_ae_strongly_measurable' MeasureTheory.condexp_of_aestronglyMeasurable'
theorem integrable_condexp : Integrable (μ[f|m]) μ := by
by_cases hm : m ≤ m0
swap; · rw [condexp_of_not_le hm]; exact integrable_zero _ _ _
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · rw [condexp_of_not_sigmaFinite hm hμm]; exact integrable_zero _ _ _
haveI : SigmaFinite (μ.trim hm) := hμm
exact (integrable_condexpL1 f).congr (condexp_ae_eq_condexpL1 hm f).symm
#align measure_theory.integrable_condexp MeasureTheory.integrable_condexp
/-- The integral of the conditional expectation `μ[f|hm]` over an `m`-measurable set is equal to
the integral of `f` on that set. -/
theorem set_integral_condexp (hm : m ≤ m0) [SigmaFinite (μ.trim hm)] (hf : Integrable f μ)
(hs : MeasurableSet[m] s) : ∫ x in s, (μ[f|m]) x ∂μ = ∫ x in s, f x ∂μ := by
rw [set_integral_congr_ae (hm s hs) ((condexp_ae_eq_condexpL1 hm f).mono fun x hx _ => hx)]
exact set_integral_condexpL1 hf hs
#align measure_theory.set_integral_condexp MeasureTheory.set_integral_condexp
theorem integral_condexp (hm : m ≤ m0) [hμm : SigmaFinite (μ.trim hm)] (hf : Integrable f μ) :
∫ x, (μ[f|m]) x ∂μ = ∫ x, f x ∂μ := by
suffices ∫ x in Set.univ, (μ[f|m]) x ∂μ = ∫ x in Set.univ, f x ∂μ by
simp_rw [integral_univ] at this; exact this
exact set_integral_condexp hm hf (@MeasurableSet.univ _ m)
#align measure_theory.integral_condexp MeasureTheory.integral_condexp
/-- **Uniqueness of the conditional expectation**
If a function is a.e. `m`-measurable, verifies an integrability condition and has same integral
as `f` on all `m`-measurable sets, then it is a.e. equal to `μ[f|hm]`. -/
theorem ae_eq_condexp_of_forall_set_integral_eq (hm : m ≤ m0) [SigmaFinite (μ.trim hm)]
{f g : α → F'} (hf : Integrable f μ)
(hg_int_finite : ∀ s, MeasurableSet[m] s → μ s < ∞ → IntegrableOn g s μ)
(hg_eq : ∀ s : Set α, MeasurableSet[m] s → μ s < ∞ → ∫ x in s, g x ∂μ = ∫ x in s, f x ∂μ)
(hgm : AEStronglyMeasurable' m g μ) : g =ᵐ[μ] μ[f|m] := by
refine' ae_eq_of_forall_set_integral_eq_of_sigmaFinite' hm hg_int_finite
(fun s _ _ => integrable_condexp.integrableOn) (fun s hs hμs => _) hgm
(StronglyMeasurable.aeStronglyMeasurable' stronglyMeasurable_condexp)
rw [hg_eq s hs hμs, set_integral_condexp hm hf hs]
#align measure_theory.ae_eq_condexp_of_forall_set_integral_eq MeasureTheory.ae_eq_condexp_of_forall_set_integral_eq
theorem condexp_bot' [hμ : NeZero μ] (f : α → F') :
μ[f|⊥] = fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
by_cases hμ_finite : IsFiniteMeasure μ
swap
· have h : ¬SigmaFinite (μ.trim bot_le) := by rwa [sigmaFinite_trim_bot_iff]
rw [not_isFiniteMeasure_iff] at hμ_finite
rw [condexp_of_not_sigmaFinite bot_le h]
simp only [hμ_finite, ENNReal.top_toReal, inv_zero, zero_smul]
rfl
by_cases hf : Integrable f μ
swap; · rw [integral_undef hf, smul_zero, condexp_undef hf]; rfl
have h_meas : StronglyMeasurable[⊥] (μ[f|⊥]) := stronglyMeasurable_condexp
obtain ⟨c, h_eq⟩ := stronglyMeasurable_bot_iff.mp h_meas
rw [h_eq]
have h_integral : ∫ x, (μ[f|⊥]) x ∂μ = ∫ x, f x ∂μ := integral_condexp bot_le hf
simp_rw [h_eq, integral_const] at h_integral
rw [← h_integral, ← smul_assoc, smul_eq_mul, inv_mul_cancel, one_smul]
rw [Ne.def, ENNReal.toReal_eq_zero_iff, not_or]
exact ⟨NeZero.ne _, measure_ne_top μ Set.univ⟩
#align measure_theory.condexp_bot' MeasureTheory.condexp_bot'
theorem condexp_bot_ae_eq (f : α → F') :
μ[f|⊥] =ᵐ[μ] fun _ => (μ Set.univ).toReal⁻¹ • ∫ x, f x ∂μ := by
rcases eq_zero_or_neZero μ with rfl | hμ
· rw [ae_zero]; exact eventually_bot
· exact eventually_of_forall <| congr_fun (condexp_bot' f)
#align measure_theory.condexp_bot_ae_eq MeasureTheory.condexp_bot_ae_eq
theorem condexp_bot [IsProbabilityMeasure μ] (f : α → F') : μ[f|⊥] = fun _ => ∫ x, f x ∂μ := by
refine' (condexp_bot' f).trans _; rw [measure_univ, ENNReal.one_toReal, inv_one, one_smul]
#align measure_theory.condexp_bot MeasureTheory.condexp_bot
theorem condexp_add (hf : Integrable f μ) (hg : Integrable g μ) :
μ[f + g|m] =ᵐ[μ] μ[f|m] + μ[g|m] := by
by_cases hm : m ≤ m0
swap; · simp_rw [condexp_of_not_le hm]; simp; rfl
by_cases hμm : SigmaFinite (μ.trim hm)
swap; · simp_rw [condexp_of_not_sigmaFinite hm hμm]; simp; rfl
haveI : SigmaFinite (μ.trim hm) := hμm
refine' (condexp_ae_eq_condexpL1 hm _).trans _
rw [condexpL1_add hf hg]
exact (coeFn_add _ _).trans
((condexp_ae_eq_condexpL1 hm _).symm.add (condexp_ae_eq_condexpL1 hm _).symm)
#align measure_theory.condexp_add MeasureTheory.condexp_add
theorem condexp_finset_sum {ι : Type*} {s : Finset ι} {f : ι → α → F'}
(hf : ∀ i ∈ s, Integrable (f i) μ) : μ[∑ i in s, f i|m] =ᵐ[μ] ∑ i in s, μ[f i|m] := by
induction' s using Finset.induction_on with i s his heq hf
· rw [Finset.sum_empty, Finset.sum_empty, condexp_zero]
·
|
rw [Finset.sum_insert his, Finset.sum_insert his]
|
theorem condexp_finset_sum {ι : Type*} {s : Finset ι} {f : ι → α → F'}
(hf : ∀ i ∈ s, Integrable (f i) μ) : μ[∑ i in s, f i|m] =ᵐ[μ] ∑ i in s, μ[f i|m] := by
induction' s using Finset.induction_on with i s his heq hf
· rw [Finset.sum_empty, Finset.sum_empty, condexp_zero]
·
|
Mathlib.MeasureTheory.Function.ConditionalExpectation.Basic.293_0.yd50cWAuCo6hlry
|
theorem condexp_finset_sum {ι : Type*} {s : Finset ι} {f : ι → α → F'}
(hf : ∀ i ∈ s, Integrable (f i) μ) : μ[∑ i in s, f i|m] =ᵐ[μ] ∑ i in s, μ[f i|m]
|
Mathlib_MeasureTheory_Function_ConditionalExpectation_Basic
|
Subsets and Splits
No community queries yet
The top public SQL queries from the community will appear here once available.