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Atlas.TheoryOfProbability.code.SubmartingaleUIConvergence

theorem tendsto_integral_norm_zero_of_tendsto_eLpNorm {Ω : Type u_1} {m0 : MeasurableSpace Ω} {μ : MeasureTheory.Measure Ω} {f : ℕ → Ω → ℝ} {g : Ω → ℝ} (hint : ∀ (n : ℕ), MeasureTheory.Integrable (f n - g) μ) (h : Filter.Tendsto (fun (n : ℕ) => MeasureTheory.eLpNorm (f n - g) 1 μ) Filter.atTop (nhds 0)) :
Filter.Tendsto (fun (n : ℕ) => ∫ (ω : Ω), ‖f n ω - g ω‖ ∂μ) Filter.atTop (nhds 0)

Translates L¹ convergence in the eLpNorm formulation to convergence of the real-valued L¹ integrals ∫ ‖f n - g‖ dμ → 0.

theorem tendsto_eLpNorm_of_tendsto_integral_norm_zero {Ω : Type u_1} {m0 : MeasurableSpace Ω} {μ : MeasureTheory.Measure Ω} {f : ℕ → Ω → ℝ} {g : Ω → ℝ} (hint : ∀ (n : ℕ), MeasureTheory.Integrable (f n - g) μ) (h : Filter.Tendsto (fun (n : ℕ) => ∫ (ω : Ω), ‖f n ω - g ω‖ ∂μ) Filter.atTop (nhds 0)) :
Filter.Tendsto (fun (n : ℕ) => MeasureTheory.eLpNorm (f n - g) 1 μ) Filter.atTop (nhds 0)

Converse of tendsto_integral_norm_zero_of_tendsto_eLpNorm: convergence of ∫ ‖f n - g‖ dμ → 0 upgrades to eLpNorm (f n - g) 1 μ → 0.

theorem eLpNorm_bound_of_L1_tendsto {Ω : Type u_1} {m0 : MeasurableSpace Ω} {μ : MeasureTheory.Measure Ω} {f : ℕ → Ω → ℝ} {g : Ω → ℝ} (hf : ∀ (n : ℕ), MeasureTheory.MemLp (f n) 1 μ) (hg : MeasureTheory.MemLp g 1 μ) (hL1 : Filter.Tendsto (fun (n : ℕ) => MeasureTheory.eLpNorm (f n - g) 1 μ) Filter.atTop (nhds 0)) :
∃ (C : NNReal), ∀ (i : ℕ), MeasureTheory.eLpNorm (f i) 1 μ ≤ ↑C

If f n → g in L¹ (in eLpNorm form) and g is integrable, then the family f n is uniformly L¹-bounded by some constant C : ℝ≥0.

theorem submartingale_ui_convergence_equiv {Ω : Type u_1} {m0 : MeasurableSpace Ω} {μ : MeasureTheory.Measure Ω} [MeasureTheory.IsProbabilityMeasure μ] {ℱ : MeasureTheory.Filtration ℕ m0} {X : ℕ → Ω → ℝ} (hsub : MeasureTheory.Submartingale X ℱ μ) :
[MeasureTheory.UniformIntegrable X 1 μ, ∃ (X_inf : Ω → ℝ), MeasureTheory.Integrable X_inf μ ∧ (∀ᵐ (ω : Ω) ∂μ, Filter.Tendsto (fun (n : ℕ) => X n ω) Filter.atTop (nhds (X_inf ω))) ∧ Filter.Tendsto (fun (n : ℕ) => ∫ (ω : Ω), ‖X n ω - X_inf ω‖ ∂μ) Filter.atTop (nhds 0), ∃ (X_inf : Ω → ℝ), MeasureTheory.Integrable X_inf μ ∧ Filter.Tendsto (fun (n : ℕ) => ∫ (ω : Ω), ‖X n ω - X_inf ω‖ ∂μ) Filter.atTop (nhds 0)].TFAE

Submartingale convergence theorem. For a submartingale X on a probability space, the following are equivalent:

  1. X is uniformly integrable.
  2. There exists an integrable X_∞ such that X_n → X_∞ almost surely and in L¹ (in the ∫ ‖X n - X_∞‖ sense).
  3. There exists an integrable X_∞ such that X_n → X_∞ in L¹.