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chore(probability/martingale/upcrossing): remove duplicate lemma (#16125
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JasonKYi committed Aug 18, 2022
1 parent 14c52e9 commit e53226c
Showing 1 changed file with 2 additions and 7 deletions.
9 changes: 2 additions & 7 deletions src/probability/martingale/upcrossing.lean
Expand Up @@ -746,7 +746,7 @@ lemma upcrossings_before_pos_eq (hab : a < b) :
upcrossings_before 0 (b - a) (λ n ω, (f n ω - a)⁺) N ω = upcrossings_before a b f N ω :=
by simp_rw [upcrossings_before, (crossing_pos_eq hab).1]

lemma mul_integral_upcrossings_before_le_integral_pos_part_aux1 [is_finite_measure μ]
lemma mul_integral_upcrossings_before_le_integral_pos_part_aux [is_finite_measure μ]
(hf : submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossings_before a b f N] ≤ μ[λ ω, (f N ω - a)⁺] :=
begin
Expand All @@ -758,11 +758,6 @@ begin
refl,
end

lemma mul_integral_upcrossings_before_le_integral_pos_part_aux2 [is_finite_measure μ]
(hf : submartingale f ℱ μ) (hab : a < b) :
(b - a) * μ[upcrossings_before a b f N] ≤ μ[λ ω, (f N ω - a)⁺] :=
mul_integral_upcrossings_before_le_integral_pos_part_aux1 hf hab

/-- **Doob's upcrossing estimate**: given a real valued discrete submartingale `f` and real
values `a` and `b`, we have `(b - a) * 𝔼[upcrossings_before a b f N] ≤ 𝔼[(f N - a)⁺]` where
`upcrossings_before a b f N` is the number of times the process `f` crossed from below `a` to above
Expand All @@ -772,7 +767,7 @@ theorem submartingale.mul_integral_upcrossings_before_le_integral_pos_part [is_f
(b - a) * μ[upcrossings_before a b f N] ≤ μ[λ ω, (f N ω - a)⁺] :=
begin
by_cases hab : a < b,
{ exact mul_integral_upcrossings_before_le_integral_pos_part_aux2 hf hab },
{ exact mul_integral_upcrossings_before_le_integral_pos_part_aux hf hab },
{ rw [not_lt, ← sub_nonpos] at hab,
exact le_trans (mul_nonpos_of_nonpos_of_nonneg hab (integral_nonneg (λ ω, nat.cast_nonneg _)))
(integral_nonneg (λ ω, lattice_ordered_comm_group.pos_nonneg _)) }
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