Dominated convergence of stopped-history expected nonnegative future rewards
ProvedAvramDividend.Classical.lintegral_stoppedEvent_reward_tendsto_of_boundedavram-classicaldominated-convergencelintegralstopping-timestrong-markov
For a measurable sequence of nonnegative rewards restricted to a stopped-history event A, pointwise convergence of rewards and a uniformly bounded integrable envelope imply convergence of the expected event-restricted rewards. This supplies the limiting step from finite upper stopping grids to continuous stopping times in the strong-Markov dividend valuation.
Preamble
import Mathlib.MeasureTheory.Integral.Lebesgue.DominatedConvergence import Mathlib.MeasureTheory.Integral.Lebesgue.Basic open MeasureTheory Filter Set open scoped NNReal ENNReal
Formal statement
theorem AvramDividend.Classical.lintegral_stoppedEvent_reward_tendsto_of_bounded
{Ω : Type*} [MeasurableSpace Ω]
(P : Measure Ω) (A : Set Ω)
(f : ℕ → Ω → ℝ≥0∞) (fLim : Ω → ℝ≥0∞)
(hf : ∀ n, Measurable (Set.indicator A (f n)))
(hlim : ∀ ω, Tendsto (fun n => f n ω) atTop (nhds (fLim ω)))
(C : ℝ≥0∞) (hbound : ∀ n ω, f n ω ≤ C)
(hfin : (∫⁻ _ : Ω, C ∂P) ≠ ∞) :
Tendsto
(fun n => ∫⁻ ω, Set.indicator A (f n) ω ∂P)
atTop
(nhds (∫⁻ ω, Set.indicator A fLim ω ∂P)) := by
sorrySource
Root-connected analytic limit helper for the full finite-grid strong-Markov scalar formula levy_upperGrid_stoppedHistory_scalar_markov and target levy_strongMarkov_shiftedPath_indep_stoppedEvent 61930a38-11f1-449e-bbb6-67d59c6d5ca8; later W-free dividendValue_barrierStrategy_upExit_split_of_standing 79978d61-9d1f-4b20-b8a5-114797a8e380. Uses pinned Mathlib tendsto_lintegral_of_dominated_convergence.