Whole stopped-grid future Lévy reward is measurable from its adapted fibres
ProvedAvramDividend.Classical.levy_stoppedHistory_gridFutureReward_measurableavram-classicalfinite-gridmeasurabilitystopped-historystrong-markov
The future-path reward evaluated at a finite adapted approximation to a stopping time, restricted to a stopped-history event, is measurable. Decompose the complete reward into a finite sum of disjoint stopping-fibre indicators and use proven measurability of each shifted future Lévy reward.
Preamble
import Mathlib.MeasureTheory.Group.Arithmetic import Mathlib.Algebra.BigOperators.Group.Finset.Basic import Definitions.Def_AvramDividend_Classical_SpectrallyNegativeLevy import Theorems.Thm_AvramDividend_Classical_finiteGrid_stoppedReward_fibre_decomposition import Theorems.Thm_AvramDividend_Classical_levy_stoppedHistory_gridFutureReward_fibre_measurable open MeasureTheory ProbabilityTheory Set open scoped NNReal ENNReal BigOperators open AvramDividend.Classical
Formal statement
theorem AvramDividend.Classical.levy_stoppedHistory_gridFutureReward_measurable
{Ω : Type*} [mΩ : MeasurableSpace Ω] {P : Measure Ω}
{𝓕 : Filtration ℝ≥0 mΩ}
(X : SpectrallyNegativeLevy P 𝓕)
(τ : Ω → ℝ≥0) (A : Set Ω)
(hA : ∀ s : ℝ≥0,
MeasurableSet[𝓕 s] (A ∩ {ω : Ω | τ ω ≤ s}))
(τn : ℕ → Ω → ℝ≥0)
(habove : ∀ ω n, τ ω ≤ τn n ω)
(hfibres : ∀ n s,
MeasurableSet[𝓕 s] {ω : Ω | τn n ω = s})
(n : ℕ) (grid : Finset ℝ≥0)
(hgrid : ∀ ω, τn n ω ∈ grid)
(g : (ℝ≥0 → ℝ) → ℝ≥0∞) (hg : Measurable g) :
Measurable (Set.indicator A
(fun ω' : Ω => g (fun t : ℝ≥0 =>
X.X (τn n ω' + t) ω' - X.X (τn n ω') ω'))) := by
sorrySource
Needed to apply the pinned dominated-convergence theorem at bounded stopping grids, to pass the finite-grid scalar Markov formula to general stopping times. Composes Proved finiteGrid_stoppedReward_fibre_decomposition 7f2c3e14-bf0e-4449-8451-201d3ef241e9 and levy_stoppedHistory_gridFutureReward_fibre_measurable 2c2cd046-3146-460f-bbc8-656886400292. Ultimately child 79978d61-9d1f-4b20-b8a5-114797a8e380.