[Merged by Bors] - feat(measure_theory/function/conditional_expectation): define the conditional expectation of a function, prove the equality of integrals #9114

RemyDegenne · 2021-09-09T13:33:13Z

This PR puts together the generalized Bochner integral construction of #8939 and the set function condexp_ind of #8920 to define the conditional expectation of a function.

The equality of integrals that defines the conditional expectation is proven in set_integral_condexp.

depends on: [Merged by Bors] - feat(measure_theory/integral/bochner): generalize the Bochner integral construction #8939
depends on: [Merged by Bors] - feat(measure_theory/function/conditional_expectation): conditional expectation of an indicator #8920
depends on: [Merged by Bors] - chore(measure_theory/integral/set_integral): update old lemmas that were in comments at the end of the file #9111
depends on: [Merged by Bors] - feat(measure_theory/integral/set_to_L1): image of an indicator by set_to_fun (and related functions) #9205
depends on: [Merged by Bors] - feat(measure_theory/function/conditional_expectation): condexp_ind is ae_measurable' #9263

RemyDegenne · 2021-09-23T07:29:43Z

I changed the definition of condexp to make sure that m-measurable functions are sent to themselves. In order to prove that I still had μ[f|hm] =ᵐ[μ] condexp_L1 hm μ f, I had to prove results about the application of condexp_L1 and other functions to m-measurable functions.
The lemmas and definitions added are:

Lp_meas_to_Lp_trim, its inverse, and a couple results about it
Lp_meas_to_Lp_trim_lie which I introduced in a previous version, then dropped, but which is handy after all to prove results for Lp_meas by using Lp.induction on the Lp space of µ.trim hm
condexp_ind_of_measurable
condexp_L1_clm_of_ae_measurable'
condexp_L1_of_ae_measurable'

urkud

Thanks a lot for formalizing this!
I left a few minor comments about docstrings.

src/measure_theory/function/conditional_expectation.lean

urkud · 2021-09-24T04:51:52Z

One more remark: could you please explain the role of 𝕜 in the module docstring?

sgouezel · 2021-09-24T12:21:24Z

bors r+
Thanks!!!

…ditional expectation of a function, prove the equality of integrals (#9114) This PR puts together the generalized Bochner integral construction of #8939 and the set function `condexp_ind` of #8920 to define the conditional expectation of a function. The equality of integrals that defines the conditional expectation is proven in `set_integral_condexp`.

bors · 2021-09-24T13:48:25Z

Pull request successfully merged into master.

Build succeeded:

RemyDegenne added 30 commits July 14, 2021 18:27

Merge remote-tracking branch 'origin/master' into integral_norm

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docstrings

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generalize one lemma beyond R

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use lt instead of ne

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change name

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Merge remote-tracking branch 'origin/master' into condexp_L2

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use measurable_set[m] notation

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make a variable explicit

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Merge remote-tracking branch 'origin/condexp_L2' into condexp_to_L1

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Merge remote-tracking branch 'origin/integral_norm' into condexp_to_L1

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integral of norm of condexp

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work on ae_eq_zero

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unicity of condexp

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move things

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strongly_measurable docstring

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move stuff

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move things

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simplify

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move

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fix

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move mem_Lp.const_inner

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fix

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move integrable.const_inner

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fix

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add mem_Lp.re/im

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add measurable.strongly_measurable

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docstring

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docstring

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change strongly_measurable

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fix

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RemyDegenne added awaiting-review The author would like community review of the PR awaiting-author A reviewer has asked the author a question or requested changes and removed awaiting-review The author would like community review of the PR labels Sep 21, 2021

RemyDegenne added 2 commits September 23, 2021 09:19

change definition of condexp

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spaces

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RemyDegenne added 2 commits September 23, 2021 09:33

lint

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make sure the notation works outside of measure_theory

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urkud reviewed Sep 24, 2021

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urkud added awaiting-author A reviewer has asked the author a question or requested changes and removed awaiting-review The author would like community review of the PR labels Sep 24, 2021

Move neg after smul, use smul in the proof

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RemyDegenne added 5 commits September 24, 2021 09:29

some docstrings and ae_eq_condexp_of...

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add simp

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docstrings

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fix

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add implementation note about k

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RemyDegenne added awaiting-review The author would like community review of the PR and removed awaiting-author A reviewer has asked the author a question or requested changes labels Sep 24, 2021

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[Merged by Bors] - feat(measure_theory/function/conditional_expectation): define the conditional expectation of a function, prove the equality of integrals #9114

[Merged by Bors] - feat(measure_theory/function/conditional_expectation): define the conditional expectation of a function, prove the equality of integrals #9114

RemyDegenne commented Sep 9, 2021 •

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[Merged by Bors] - feat(measure_theory/function/conditional_expectation): define the conditional expectation of a function, prove the equality of integrals #9114

[Merged by Bors] - feat(measure_theory/function/conditional_expectation): define the conditional expectation of a function, prove the equality of integrals #9114

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