Full stopped-future path law restricted to a stopped-history event
ProvedAvramDividend.Classical.levy_finiteStopping_restrictedFuturePath_mapLawfull-path-lawlevy-processstopped-eventstrong-markov
The complete shifted future increment path of a spectrally negative Lévy process, restricted to any event observable at a finite stopping time, has the law of the original Lévy process multiplied by the probability of that event.
Preamble
import Mathlib.Probability.Process.Stopping import Mathlib.MeasureTheory.Constructions.Pi import Mathlib.MeasureTheory.Measure.Map import Definitions.Def_AvramDividend_Classical_SpectrallyNegativeLevy import Theorems.Thm_AvramDividend_Classical_levy_finiteStopping_stoppedFuturePath_measurable import Theorems.Thm_AvramDividend_Classical_levy_finiteStopping_restrictedFDD_mapLaw import Theorems.Thm_AvramDividend_Classical_scaled_piPathMeasure_eq_of_finite_pushforwards open MeasureTheory ProbabilityTheory Set open scoped NNReal ENNReal open AvramDividend.Classical
Formal statement
theorem AvramDividend.Classical.levy_finiteStopping_restrictedFuturePath_mapLaw
{Ω : Type*} [mΩ : MeasurableSpace Ω] {P : Measure Ω}
{𝓕 : Filtration ℝ≥0 mΩ}
(X : SpectrallyNegativeLevy P 𝓕)
(τ : Ω → ℝ≥0)
(hstop : IsStoppingTime 𝓕 (fun ω => (τ ω : WithTop ℝ≥0)))
(A : Set Ω)
(hA : ∀ s : ℝ≥0,
MeasurableSet[𝓕 s] (A ∩ {ω : Ω | τ ω ≤ s})) :
Measure.map
(fun ω : Ω => fun t : ℝ≥0 =>
X.X (τ ω + t) ω - X.X (τ ω) ω) (P.restrict A) =
(P A) • Measure.map
(fun ω : Ω => fun t : ℝ≥0 => X.X t ω) P := by
sorrySource
Follows from finite-coordinate measure law 834e33eb-226c-4115-8ecf-0c4247cdd3ba and generic scaled Pi-law uniqueness, to supply the event and complementary-event marginal laws in canonical strong-Markov joint-law theorem 61930a38-11f1-449e-bbb6-67d59c6d5ca8.