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feat(probability/kernel/cond_distrib): regular conditional probabilit…
…y distributions (#19090) We define the regular conditional probability distribution `cond_distrib Y X μ` of `Y : α → Ω` given `X : α → β`, where `Ω` is a standard Borel space. This is a `kernel β Ω` such that for almost all `a`, for all measurable set `s`, `cond_distrib Y X μ (X a) s` is equal to the conditional expectation `μ⟦Y ⁻¹' s | mβ.comap X⟧` evaluated at `a`. Also define the above notation for the conditional expectation of the indicator of a set. Co-authored-by: Rémy Degenne <remydegenne@gmail.com>
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/- | ||
Copyright (c) 2023 Rémy Degenne. All rights reserved. | ||
Released under Apache 2.0 license as described in the file LICENSE. | ||
Authors: Rémy Degenne | ||
-/ | ||
import probability.kernel.disintegration | ||
import probability.notation | ||
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/-! | ||
# Regular conditional probability distribution | ||
We define the regular conditional probability distribution of `Y : α → Ω` given `X : α → β`, where | ||
`Ω` is a standard Borel space. This is a `kernel β Ω` such that for almost all `a`, `cond_distrib` | ||
evaluated at `X a` and a measurable set `s` is equal to the conditional expectation | ||
`μ⟦Y ⁻¹' s | mβ.comap X⟧` evaluated at `a`. | ||
`μ⟦Y ⁻¹' s | mβ.comap X⟧` maps a measurable set `s` to a function `α → ℝ≥0∞`, and for all `s` that | ||
map is unique up to a `μ`-null set. For all `a`, the map from sets to `ℝ≥0∞` that we obtain that way | ||
verifies some of the properties of a measure, but in general the fact that the `μ`-null set depends | ||
on `s` can prevent us from finding versions of the conditional expectation that combine into a true | ||
measure. The standard Borel space assumption on `Ω` allows us to do so. | ||
The case `Y = X = id` is developed in more detail in `probability/kernel/condexp.lean`: here `X` is | ||
understood as a map from `Ω` with a sub-σ-algebra to `Ω` with its default σ-algebra and the | ||
conditional distribution defines a kernel associated with the conditional expectation with respect | ||
to `m`. | ||
## Main definitions | ||
* `cond_distrib Y X μ`: regular conditional probability distribution of `Y : α → Ω` given | ||
`X : α → β`, where `Ω` is a standard Borel space. | ||
## Main statements | ||
* `cond_distrib_ae_eq_condexp`: for almost all `a`, `cond_distrib` evaluated at `X a` and a | ||
measurable set `s` is equal to the conditional expectation `μ⟦Y ⁻¹' s | mβ.comap X⟧ a`. | ||
* `condexp_prod_ae_eq_integral_cond_distrib`: the conditional expectation | ||
`μ[(λ a, f (X a, Y a)) | X ; mβ]` is almost everywhere equal to the integral | ||
`∫ y, f (X a, y) ∂(cond_distrib Y X μ (X a))`. | ||
-/ | ||
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open measure_theory set filter topological_space | ||
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open_locale ennreal measure_theory probability_theory | ||
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namespace probability_theory | ||
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variables {α β Ω F : Type*} | ||
[topological_space Ω] [measurable_space Ω] [polish_space Ω] [borel_space Ω] [nonempty Ω] | ||
[normed_add_comm_group F] | ||
{mα : measurable_space α} {μ : measure α} [is_finite_measure μ] {X : α → β} {Y : α → Ω} | ||
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/-- **Regular conditional probability distribution**: kernel associated with the conditional | ||
expectation of `Y` given `X`. | ||
For almost all `a`, `cond_distrib Y X μ` evaluated at `X a` and a measurable set `s` is equal to | ||
the conditional expectation `μ⟦Y ⁻¹' s | mβ.comap X⟧ a`. It also satisfies the equality | ||
`μ[(λ a, f (X a, Y a)) | mβ.comap X] =ᵐ[μ] λ a, ∫ y, f (X a, y) ∂(cond_distrib Y X μ (X a))` for | ||
all integrable functions `f`. -/ | ||
@[irreducible] noncomputable | ||
def cond_distrib {mα : measurable_space α} [measurable_space β] | ||
(Y : α → Ω) (X : α → β) (μ : measure α) [is_finite_measure μ] : | ||
kernel β Ω := | ||
(μ.map (λ a, (X a, Y a))).cond_kernel | ||
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instance [measurable_space β] : is_markov_kernel (cond_distrib Y X μ) := | ||
by { rw cond_distrib, apply_instance, } | ||
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variables {mβ : measurable_space β} {s : set Ω} {t : set β} {f : β × Ω → F} | ||
include mβ | ||
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section measurability | ||
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lemma measurable_cond_distrib (hs : measurable_set s) : | ||
measurable[mβ.comap X] (λ a, cond_distrib Y X μ (X a) s) := | ||
(kernel.measurable_coe _ hs).comp (measurable.of_comap_le le_rfl) | ||
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lemma _root_.measure_theory.ae_strongly_measurable.ae_integrable_cond_distrib_map_iff | ||
(hX : ae_measurable X μ) (hY : ae_measurable Y μ) | ||
(hf : ae_strongly_measurable f (μ.map (λ a, (X a, Y a)))) : | ||
(∀ᵐ a ∂(μ.map X), integrable (λ ω, f (a, ω)) (cond_distrib Y X μ a)) | ||
∧ integrable (λ a, ∫ ω, ‖f (a, ω)‖ ∂(cond_distrib Y X μ a)) (μ.map X) | ||
↔ integrable f (μ.map (λ a, (X a, Y a))) := | ||
by rw [cond_distrib, ← hf.ae_integrable_cond_kernel_iff, measure.fst_map_prod_mk₀ hX hY] | ||
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variables [normed_space ℝ F] [complete_space F] | ||
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lemma _root_.measure_theory.ae_strongly_measurable.integral_cond_distrib_map | ||
(hX : ae_measurable X μ) (hY : ae_measurable Y μ) | ||
(hf : ae_strongly_measurable f (μ.map (λ a, (X a, Y a)))) : | ||
ae_strongly_measurable (λ x, ∫ y, f (x, y) ∂(cond_distrib Y X μ x)) (μ.map X) := | ||
by { rw [← measure.fst_map_prod_mk₀ hX hY, cond_distrib], exact hf.integral_cond_kernel, } | ||
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lemma _root_.measure_theory.ae_strongly_measurable.integral_cond_distrib | ||
(hX : ae_measurable X μ) (hY : ae_measurable Y μ) | ||
(hf : ae_strongly_measurable f (μ.map (λ a, (X a, Y a)))) : | ||
ae_strongly_measurable (λ a, ∫ y, f (X a, y) ∂(cond_distrib Y X μ (X a))) μ := | ||
(hf.integral_cond_distrib_map hX hY).comp_ae_measurable hX | ||
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lemma ae_strongly_measurable'_integral_cond_distrib | ||
(hX : ae_measurable X μ) (hY : ae_measurable Y μ) | ||
(hf : ae_strongly_measurable f (μ.map (λ a, (X a, Y a)))) : | ||
ae_strongly_measurable' (mβ.comap X) (λ a, ∫ y, f (X a, y) ∂(cond_distrib Y X μ (X a))) μ := | ||
(hf.integral_cond_distrib_map hX hY).comp_ae_measurable' hX | ||
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end measurability | ||
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section integrability | ||
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lemma integrable_to_real_cond_distrib (hX : ae_measurable X μ) (hs : measurable_set s) : | ||
integrable (λ a, (cond_distrib Y X μ (X a) s).to_real) μ := | ||
begin | ||
refine integrable_to_real_of_lintegral_ne_top _ _, | ||
{ exact measurable.comp_ae_measurable (kernel.measurable_coe _ hs) hX, }, | ||
{ refine ne_of_lt _, | ||
calc ∫⁻ a, cond_distrib Y X μ (X a) s ∂μ | ||
≤ ∫⁻ a, 1 ∂μ : lintegral_mono (λ a, prob_le_one) | ||
... = μ univ : lintegral_one | ||
... < ∞ : measure_lt_top _ _, }, | ||
end | ||
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lemma _root_.measure_theory.integrable.cond_distrib_ae_map | ||
(hX : ae_measurable X μ) (hY : ae_measurable Y μ) | ||
(hf_int : integrable f (μ.map (λ a, (X a, Y a)))) : | ||
∀ᵐ b ∂(μ.map X), integrable (λ ω, f (b, ω)) (cond_distrib Y X μ b) := | ||
by { rw [cond_distrib, ← measure.fst_map_prod_mk₀ hX hY], exact hf_int.cond_kernel_ae, } | ||
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lemma _root_.measure_theory.integrable.cond_distrib_ae | ||
(hX : ae_measurable X μ) (hY : ae_measurable Y μ) | ||
(hf_int : integrable f (μ.map (λ a, (X a, Y a)))) : | ||
∀ᵐ a ∂μ, integrable (λ ω, f (X a, ω)) (cond_distrib Y X μ (X a)) := | ||
ae_of_ae_map hX (hf_int.cond_distrib_ae_map hX hY) | ||
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lemma _root_.measure_theory.integrable.integral_norm_cond_distrib_map | ||
(hX : ae_measurable X μ) (hY : ae_measurable Y μ) | ||
(hf_int : integrable f (μ.map (λ a, (X a, Y a)))) : | ||
integrable (λ x, ∫ y, ‖f (x, y)‖ ∂(cond_distrib Y X μ x)) (μ.map X) := | ||
by { rw [cond_distrib, ← measure.fst_map_prod_mk₀ hX hY], exact hf_int.integral_norm_cond_kernel, } | ||
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lemma _root_.measure_theory.integrable.integral_norm_cond_distrib | ||
(hX : ae_measurable X μ) (hY : ae_measurable Y μ) | ||
(hf_int : integrable f (μ.map (λ a, (X a, Y a)))) : | ||
integrable (λ a, ∫ y, ‖f (X a, y)‖ ∂(cond_distrib Y X μ (X a))) μ := | ||
(hf_int.integral_norm_cond_distrib_map hX hY).comp_ae_measurable hX | ||
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variables [normed_space ℝ F] [complete_space F] | ||
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lemma _root_.measure_theory.integrable.norm_integral_cond_distrib_map | ||
(hX : ae_measurable X μ) (hY : ae_measurable Y μ) | ||
(hf_int : integrable f (μ.map (λ a, (X a, Y a)))) : | ||
integrable (λ x, ‖∫ y, f (x, y) ∂(cond_distrib Y X μ x)‖) (μ.map X) := | ||
by { rw [cond_distrib, ← measure.fst_map_prod_mk₀ hX hY], exact hf_int.norm_integral_cond_kernel, } | ||
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lemma _root_.measure_theory.integrable.norm_integral_cond_distrib | ||
(hX : ae_measurable X μ) (hY : ae_measurable Y μ) | ||
(hf_int : integrable f (μ.map (λ a, (X a, Y a)))) : | ||
integrable (λ a, ‖∫ y, f (X a, y) ∂(cond_distrib Y X μ (X a))‖) μ := | ||
(hf_int.norm_integral_cond_distrib_map hX hY).comp_ae_measurable hX | ||
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lemma _root_.measure_theory.integrable.integral_cond_distrib_map | ||
(hX : ae_measurable X μ) (hY : ae_measurable Y μ) | ||
(hf_int : integrable f (μ.map (λ a, (X a, Y a)))) : | ||
integrable (λ x, ∫ y, f (x, y) ∂(cond_distrib Y X μ x)) (μ.map X) := | ||
(integrable_norm_iff (hf_int.1.integral_cond_distrib_map hX hY)).mp | ||
(hf_int.norm_integral_cond_distrib_map hX hY) | ||
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lemma _root_.measure_theory.integrable.integral_cond_distrib | ||
(hX : ae_measurable X μ) (hY : ae_measurable Y μ) | ||
(hf_int : integrable f (μ.map (λ a, (X a, Y a)))) : | ||
integrable (λ a, ∫ y, f (X a, y) ∂(cond_distrib Y X μ (X a))) μ := | ||
(hf_int.integral_cond_distrib_map hX hY).comp_ae_measurable hX | ||
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end integrability | ||
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lemma set_lintegral_preimage_cond_distrib (hX : measurable X) (hY : ae_measurable Y μ) | ||
(hs : measurable_set s) (ht : measurable_set t) : | ||
∫⁻ a in X ⁻¹' t, cond_distrib Y X μ (X a) s ∂μ = μ (X ⁻¹' t ∩ Y ⁻¹' s) := | ||
by rw [lintegral_comp (kernel.measurable_coe _ hs) hX, cond_distrib, | ||
← measure.restrict_map hX ht, ← measure.fst_map_prod_mk₀ hX.ae_measurable hY, | ||
set_lintegral_cond_kernel_eq_measure_prod _ ht hs, | ||
measure.map_apply_of_ae_measurable (hX.ae_measurable.prod_mk hY) (ht.prod hs), | ||
mk_preimage_prod] | ||
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lemma set_lintegral_cond_distrib_of_measurable_set (hX : measurable X) (hY : ae_measurable Y μ) | ||
(hs : measurable_set s) {t : set α} (ht : measurable_set[mβ.comap X] t) : | ||
∫⁻ a in t, cond_distrib Y X μ (X a) s ∂μ = μ (t ∩ Y ⁻¹' s) := | ||
by { obtain ⟨t', ht', rfl⟩ := ht, rw set_lintegral_preimage_cond_distrib hX hY hs ht', } | ||
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/-- For almost every `a : α`, the `cond_distrib Y X μ` kernel applied to `X a` and a measurable set | ||
`s` is equal to the conditional expectation of the indicator of `Y ⁻¹' s`. -/ | ||
lemma cond_distrib_ae_eq_condexp (hX : measurable X) (hY : measurable Y) (hs : measurable_set s) : | ||
(λ a, (cond_distrib Y X μ (X a) s).to_real) =ᵐ[μ] μ⟦Y ⁻¹' s | mβ.comap X⟧ := | ||
begin | ||
refine ae_eq_condexp_of_forall_set_integral_eq hX.comap_le _ _ _ _, | ||
{ exact (integrable_const _).indicator (hY hs), }, | ||
{ exact λ t ht _, (integrable_to_real_cond_distrib hX.ae_measurable hs).integrable_on, }, | ||
{ intros t ht _, | ||
rw [integral_to_real ((measurable_cond_distrib hs).mono hX.comap_le le_rfl).ae_measurable | ||
(eventually_of_forall (λ ω, measure_lt_top (cond_distrib Y X μ (X ω)) _)), | ||
integral_indicator_const _ (hY hs), measure.restrict_apply (hY hs), smul_eq_mul, mul_one, | ||
inter_comm, set_lintegral_cond_distrib_of_measurable_set hX hY.ae_measurable hs ht], }, | ||
{ refine (measurable.strongly_measurable _).ae_strongly_measurable', | ||
exact @measurable.ennreal_to_real _ (mβ.comap X) _ (measurable_cond_distrib hs), }, | ||
end | ||
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/-- The conditional expectation of a function `f` of the product `(X, Y)` is almost everywhere equal | ||
to the integral of `y ↦ f(X, y)` against the `cond_distrib` kernel. -/ | ||
lemma condexp_prod_ae_eq_integral_cond_distrib' [normed_space ℝ F] [complete_space F] | ||
(hX : measurable X) (hY : ae_measurable Y μ) | ||
(hf_int : integrable f (μ.map (λ a, (X a, Y a)))) : | ||
μ[(λ a, f (X a, Y a)) | mβ.comap X] =ᵐ[μ] λ a, ∫ y, f (X a, y) ∂(cond_distrib Y X μ (X a)) := | ||
begin | ||
have hf_int' : integrable (λ a, f (X a, Y a)) μ, | ||
{ exact (integrable_map_measure hf_int.1 (hX.ae_measurable.prod_mk hY)).mp hf_int, }, | ||
refine (ae_eq_condexp_of_forall_set_integral_eq hX.comap_le hf_int' (λ s hs hμs, _) _ _).symm, | ||
{ exact (hf_int.integral_cond_distrib hX.ae_measurable hY).integrable_on, }, | ||
{ rintros s ⟨t, ht, rfl⟩ _, | ||
change ∫ a in X ⁻¹' t, ((λ x', ∫ y, f (x', y) ∂(cond_distrib Y X μ) x') ∘ X) a ∂μ | ||
= ∫ a in X ⁻¹' t, f (X a, Y a) ∂μ, | ||
rw ← integral_map hX.ae_measurable, | ||
swap, | ||
{ rw ← measure.restrict_map hX ht, | ||
exact (hf_int.1.integral_cond_distrib_map hX.ae_measurable hY).restrict, }, | ||
rw [← measure.restrict_map hX ht, ← measure.fst_map_prod_mk₀ hX.ae_measurable hY, cond_distrib, | ||
set_integral_cond_kernel_univ_right ht hf_int.integrable_on, | ||
set_integral_map (ht.prod measurable_set.univ) hf_int.1 (hX.ae_measurable.prod_mk hY), | ||
mk_preimage_prod, preimage_univ, inter_univ], }, | ||
{ exact ae_strongly_measurable'_integral_cond_distrib hX.ae_measurable hY hf_int.1, }, | ||
end | ||
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/-- The conditional expectation of a function `f` of the product `(X, Y)` is almost everywhere equal | ||
to the integral of `y ↦ f(X, y)` against the `cond_distrib` kernel. -/ | ||
lemma condexp_prod_ae_eq_integral_cond_distrib₀ [normed_space ℝ F] [complete_space F] | ||
(hX : measurable X) (hY : ae_measurable Y μ) | ||
(hf : ae_strongly_measurable f (μ.map (λ a, (X a, Y a)))) | ||
(hf_int : integrable (λ a, f (X a, Y a)) μ) : | ||
μ[(λ a, f (X a, Y a)) | mβ.comap X] =ᵐ[μ] λ a, ∫ y, f (X a, y) ∂(cond_distrib Y X μ (X a)) := | ||
begin | ||
have hf_int' : integrable f (μ.map (λ a, (X a, Y a))), | ||
{ rwa integrable_map_measure hf (hX.ae_measurable.prod_mk hY), }, | ||
exact condexp_prod_ae_eq_integral_cond_distrib' hX hY hf_int', | ||
end | ||
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/-- The conditional expectation of a function `f` of the product `(X, Y)` is almost everywhere equal | ||
to the integral of `y ↦ f(X, y)` against the `cond_distrib` kernel. -/ | ||
lemma condexp_prod_ae_eq_integral_cond_distrib [normed_space ℝ F] [complete_space F] | ||
(hX : measurable X) (hY : ae_measurable Y μ) | ||
(hf : strongly_measurable f) (hf_int : integrable (λ a, f (X a, Y a)) μ) : | ||
μ[(λ a, f (X a, Y a)) | mβ.comap X] =ᵐ[μ] λ a, ∫ y, f (X a, y) ∂(cond_distrib Y X μ (X a)) := | ||
begin | ||
have hf_int' : integrable f (μ.map (λ a, (X a, Y a))), | ||
{ rwa integrable_map_measure hf.ae_strongly_measurable (hX.ae_measurable.prod_mk hY), }, | ||
exact condexp_prod_ae_eq_integral_cond_distrib' hX hY hf_int', | ||
end | ||
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lemma condexp_ae_eq_integral_cond_distrib [normed_space ℝ F] [complete_space F] | ||
(hX : measurable X) (hY : ae_measurable Y μ) | ||
{f : Ω → F} (hf : strongly_measurable f) (hf_int : integrable (λ a, f (Y a)) μ) : | ||
μ[(λ a, f (Y a)) | mβ.comap X] =ᵐ[μ] λ a, ∫ y, f y ∂(cond_distrib Y X μ (X a)) := | ||
condexp_prod_ae_eq_integral_cond_distrib hX hY (hf.comp_measurable measurable_snd) hf_int | ||
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/-- The conditional expectation of `Y` given `X` is almost everywhere equal to the integral | ||
`∫ y, y ∂(cond_distrib Y X μ (X a))`. -/ | ||
lemma condexp_ae_eq_integral_cond_distrib' {Ω} [normed_add_comm_group Ω] [normed_space ℝ Ω] | ||
[complete_space Ω] [measurable_space Ω] [borel_space Ω] [second_countable_topology Ω] {Y : α → Ω} | ||
(hX : measurable X) (hY_int : integrable Y μ) : | ||
μ[Y | mβ.comap X] =ᵐ[μ] λ a, ∫ y, y ∂(cond_distrib Y X μ (X a)) := | ||
condexp_ae_eq_integral_cond_distrib hX hY_int.1.ae_measurable strongly_measurable_id hY_int | ||
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lemma _root_.measure_theory.ae_strongly_measurable.comp_snd_map_prod_mk | ||
{Ω F} {mΩ : measurable_space Ω} {X : Ω → β} {μ : measure Ω} | ||
[topological_space F] (hX : measurable X) {f : Ω → F} (hf : ae_strongly_measurable f μ) : | ||
ae_strongly_measurable (λ x : β × Ω, f x.2) (μ.map (λ ω, (X ω, ω))) := | ||
begin | ||
refine ⟨λ x, hf.mk f x.2, hf.strongly_measurable_mk.comp_measurable measurable_snd, _⟩, | ||
suffices h : measure.quasi_measure_preserving prod.snd (μ.map (λ ω, (X ω, ω))) μ, | ||
{ exact measure.quasi_measure_preserving.ae_eq h hf.ae_eq_mk, }, | ||
refine ⟨measurable_snd, measure.absolutely_continuous.mk (λ s hs hμs, _)⟩, | ||
rw measure.map_apply _ hs, | ||
swap, { exact measurable_snd, }, | ||
rw measure.map_apply, | ||
{ rw [← univ_prod, mk_preimage_prod, preimage_univ, univ_inter, preimage_id'], | ||
exact hμs, }, | ||
{ exact hX.prod_mk measurable_id, }, | ||
{ exact measurable_snd hs, }, | ||
end | ||
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lemma _root_.measure_theory.integrable.comp_snd_map_prod_mk {Ω} {mΩ : measurable_space Ω} | ||
{X : Ω → β} {μ : measure Ω} (hX : measurable X) {f : Ω → F} (hf_int : integrable f μ) : | ||
integrable (λ x : β × Ω, f x.2) (μ.map (λ ω, (X ω, ω))) := | ||
begin | ||
have hf := hf_int.1.comp_snd_map_prod_mk hX, | ||
refine ⟨hf, _⟩, | ||
rw [has_finite_integral, lintegral_map' hf.ennnorm (hX.prod_mk measurable_id).ae_measurable], | ||
exact hf_int.2, | ||
end | ||
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lemma ae_strongly_measurable_comp_snd_map_prod_mk_iff {Ω F} {mΩ : measurable_space Ω} | ||
[topological_space F] {X : Ω → β} {μ : measure Ω} (hX : measurable X) {f : Ω → F} : | ||
ae_strongly_measurable (λ x : β × Ω, f x.2) (μ.map (λ ω, (X ω, ω))) | ||
↔ ae_strongly_measurable f μ := | ||
⟨λ h, h.comp_measurable (hX.prod_mk measurable_id), λ h, h.comp_snd_map_prod_mk hX⟩ | ||
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lemma integrable_comp_snd_map_prod_mk_iff {Ω} {mΩ : measurable_space Ω} {X : Ω → β} {μ : measure Ω} | ||
(hX : measurable X) {f : Ω → F} : | ||
integrable (λ x : β × Ω, f x.2) (μ.map (λ ω, (X ω, ω))) ↔ integrable f μ := | ||
⟨λ h, h.comp_measurable (hX.prod_mk measurable_id), λ h, h.comp_snd_map_prod_mk hX⟩ | ||
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lemma condexp_ae_eq_integral_cond_distrib_id [normed_space ℝ F] [complete_space F] | ||
{X : Ω → β} {μ : measure Ω} [is_finite_measure μ] | ||
(hX : measurable X) {f : Ω → F} (hf_int : integrable f μ) : | ||
μ[f | mβ.comap X] =ᵐ[μ] λ a, ∫ y, f y ∂(cond_distrib id X μ (X a)) := | ||
condexp_prod_ae_eq_integral_cond_distrib' hX ae_measurable_id (hf_int.comp_snd_map_prod_mk hX) | ||
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end probability_theory |
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