MarkovProcess.Restart.ConditionalMarkov
DefinitionMarkovProcessModule_MarkovProcess_Restart_ConditionalMarkovDeterministic-time conditional restart on continuous paths
This file specializes the generic conditional-expectation bridge to canonical continuous-path space. The required input is the full future restart identity after restriction to every event in the canonical filtration at the restart time. An unconditional shifted-law identity is only the special case of the input for the whole path space and does not imply the result below.
The theorem is a conditional API: it does not prove its restricted restart-law hypothesis and does not by itself associate a Markov or Hunt process with a transition semigroup.
Complete pinned Lean module MarkovProcess.Restart.ConditionalMarkov by Scott Armstrong (Apache-2.0). Contains the original definitions, instances, theorems and proofs in their original declaration order. Only local MarkovProcess import directives have been rewritten for Prove2Me; source mathematical declarations are unchanged. The bundle must pass Prove2Me's remote compiler before it can be used as a dependency.
/-
Copyright (c) 2026 Scott Armstrong. All rights reserved.
Released under Apache 2.0 license as described in the file LICENSE.
Authors: Scott Armstrong
-/
import Definitions.Def_MarkovProcessModule_MarkovProcess_Restart_ConditionalExpectation
import Definitions.Def_MarkovProcessModule_MarkovProcess_Path_Shift
/-!
# Deterministic-time conditional restart on continuous paths
This file specializes the generic conditional-expectation bridge to canonical continuous-path
space. The required input is the full future restart identity after restriction to every event in
the canonical filtration at the restart time. An unconditional shifted-law identity is only the
special case of the input for the whole path space and does not imply the result below.
The theorem is a conditional API: it does not prove its restricted restart-law hypothesis and does
not by itself associate a Markov or Hunt process with a transition semigroup.
-/
open MeasureTheory ProbabilityTheory
namespace MarkovProcess
namespace ContinuousPath
noncomputable section
variable {alpha E : Type*} [TopologicalSpace alpha]
[MeasurableSpace alpha] [BorelSpace alpha]
[NormedAddCommGroup E] [NormedSpace Real E] [CompleteSpace E]
/-- An event-restricted whole-future restart identity gives the deterministic-time conditional
Markov formula for every bounded strongly measurable functional of the shifted path. -/
theorem condExp_shift_ae_eq_integral_pathKernel_of_restrict_map
(Q : Kernel alpha (ContinuousPath alpha)) [IsMarkovKernel Q]
(x : alpha) (S : NNReal)
(hRestart : ∀ A : Set (ContinuousPath alpha),
MeasurableSet[canonicalFiltration (alpha := alpha) S] A →
((Q x).restrict A).map (shift S) =
Kernel.comap Q (coordinateProcess (alpha := alpha) S)
(measurable_coordinateProcess S) ∘ₘ ((Q x).restrict A))
(F : ContinuousPath alpha → E) (hF : StronglyMeasurable F)
(C : Real) (hFC : ∀ eta, ‖F eta‖ ≤ C) :
(Q x)[fun omega ↦ F (shift S omega)|canonicalFiltration (alpha := alpha) S] =ᵐ[Q x]
fun omega ↦ ∫ eta, F eta ∂Q (omega S) := by
let kappa : Kernel (ContinuousPath alpha) (ContinuousPath alpha) :=
Kernel.comap Q (coordinateProcess (alpha := alpha) S)
(measurable_coordinateProcess S)
let : IsMarkovKernel kappa := by
dsimp only [kappa]
infer_instance
have hFm : StronglyMeasurable[canonicalFiltration (alpha := alpha) S]
(fun omega ↦ ∫ eta, F eta ∂kappa omega) := by
have hBase : StronglyMeasurable[canonicalFiltration (alpha := alpha) S]
(fun omega ↦ ∫ eta, F eta ∂Q (omega S)) :=
hF.integral_kernel.comp_measurable
(measurable_coordinateProcess_canonicalFiltration S)
simpa only [kappa, Kernel.comap_apply, coordinateProcess_apply] using hBase
have h := condExp_comp_ae_eq_integral_kernel_of_restrict_map
(Q x) kappa (shift S) (measurable_shift_fixed S)
((canonicalFiltration (alpha := alpha)).le S)
(by simpa only [kappa] using hRestart) F hF hFm C hFC
simpa only [kappa, Kernel.comap_apply, coordinateProcess_apply] using h
end
end ContinuousPath
end MarkovProcess