src/HOL/Probability/Product_Measure.thy
author hoelzl
Mon Mar 14 14:37:49 2011 +0100 (2011-03-14)
changeset 41981 cdf7693bbe08
parent 41831 91a2b435dd7a
child 42067 66c8281349ec
permissions -rw-r--r--
reworked Probability theory: measures are not type restricted to positive extended reals
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theory Product_Measure
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imports Lebesgue_Integration
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begin
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lemma sigma_sets_subseteq: assumes "A \<subseteq> B" shows "sigma_sets X A \<subseteq> sigma_sets X B"
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proof
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  fix x assume "x \<in> sigma_sets X A" then show "x \<in> sigma_sets X B"
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    by induct (insert `A \<subseteq> B`, auto intro: sigma_sets.intros)
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qed
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lemma times_Int_times: "A \<times> B \<inter> C \<times> D = (A \<inter> C) \<times> (B \<inter> D)"
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  by auto
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lemma Pair_vimage_times[simp]: "\<And>A B x. Pair x -` (A \<times> B) = (if x \<in> A then B else {})"
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  by auto
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lemma rev_Pair_vimage_times[simp]: "\<And>A B y. (\<lambda>x. (x, y)) -` (A \<times> B) = (if y \<in> B then A else {})"
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  by auto
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lemma case_prod_distrib: "f (case x of (x, y) \<Rightarrow> g x y) = (case x of (x, y) \<Rightarrow> f (g x y))"
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  by (cases x) simp
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lemma split_beta': "(\<lambda>(x,y). f x y) = (\<lambda>x. f (fst x) (snd x))"
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  by (auto simp: fun_eq_iff)
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abbreviation
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  "Pi\<^isub>E A B \<equiv> Pi A B \<inter> extensional A"
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syntax
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  "_PiE"  :: "[pttrn, 'a set, 'b set] => ('a => 'b) set"  ("(3PIE _:_./ _)" 10)
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syntax (xsymbols)
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  "_PiE" :: "[pttrn, 'a set, 'b set] => ('a => 'b) set"  ("(3\<Pi>\<^isub>E _\<in>_./ _)"   10)
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syntax (HTML output)
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  "_PiE" :: "[pttrn, 'a set, 'b set] => ('a => 'b) set"  ("(3\<Pi>\<^isub>E _\<in>_./ _)"   10)
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translations
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  "PIE x:A. B" == "CONST Pi\<^isub>E A (%x. B)"
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abbreviation
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  funcset_extensional :: "['a set, 'b set] => ('a => 'b) set"
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    (infixr "->\<^isub>E" 60) where
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  "A ->\<^isub>E B \<equiv> Pi\<^isub>E A (%_. B)"
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notation (xsymbols)
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  funcset_extensional  (infixr "\<rightarrow>\<^isub>E" 60)
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lemma extensional_empty[simp]: "extensional {} = {\<lambda>x. undefined}"
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  by safe (auto simp add: extensional_def fun_eq_iff)
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lemma extensional_insert[intro, simp]:
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  assumes "a \<in> extensional (insert i I)"
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  shows "a(i := b) \<in> extensional (insert i I)"
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  using assms unfolding extensional_def by auto
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lemma extensional_Int[simp]:
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  "extensional I \<inter> extensional I' = extensional (I \<inter> I')"
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  unfolding extensional_def by auto
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definition
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  "merge I x J y = (\<lambda>i. if i \<in> I then x i else if i \<in> J then y i else undefined)"
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lemma merge_apply[simp]:
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  "I \<inter> J = {} \<Longrightarrow> i \<in> I \<Longrightarrow> merge I x J y i = x i"
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  "I \<inter> J = {} \<Longrightarrow> i \<in> J \<Longrightarrow> merge I x J y i = y i"
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  "J \<inter> I = {} \<Longrightarrow> i \<in> I \<Longrightarrow> merge I x J y i = x i"
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  "J \<inter> I = {} \<Longrightarrow> i \<in> J \<Longrightarrow> merge I x J y i = y i"
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  "i \<notin> I \<Longrightarrow> i \<notin> J \<Longrightarrow> merge I x J y i = undefined"
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  unfolding merge_def by auto
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lemma merge_commute:
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  "I \<inter> J = {} \<Longrightarrow> merge I x J y = merge J y I x"
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  by (auto simp: merge_def intro!: ext)
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lemma Pi_cancel_merge_range[simp]:
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  "I \<inter> J = {} \<Longrightarrow> x \<in> Pi I (merge I A J B) \<longleftrightarrow> x \<in> Pi I A"
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  "I \<inter> J = {} \<Longrightarrow> x \<in> Pi I (merge J B I A) \<longleftrightarrow> x \<in> Pi I A"
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  "J \<inter> I = {} \<Longrightarrow> x \<in> Pi I (merge I A J B) \<longleftrightarrow> x \<in> Pi I A"
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  "J \<inter> I = {} \<Longrightarrow> x \<in> Pi I (merge J B I A) \<longleftrightarrow> x \<in> Pi I A"
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  by (auto simp: Pi_def)
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lemma Pi_cancel_merge[simp]:
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  "I \<inter> J = {} \<Longrightarrow> merge I x J y \<in> Pi I B \<longleftrightarrow> x \<in> Pi I B"
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  "J \<inter> I = {} \<Longrightarrow> merge I x J y \<in> Pi I B \<longleftrightarrow> x \<in> Pi I B"
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  "I \<inter> J = {} \<Longrightarrow> merge I x J y \<in> Pi J B \<longleftrightarrow> y \<in> Pi J B"
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  "J \<inter> I = {} \<Longrightarrow> merge I x J y \<in> Pi J B \<longleftrightarrow> y \<in> Pi J B"
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  by (auto simp: Pi_def)
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lemma extensional_merge[simp]: "merge I x J y \<in> extensional (I \<union> J)"
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  by (auto simp: extensional_def)
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lemma restrict_Pi_cancel: "restrict x I \<in> Pi I A \<longleftrightarrow> x \<in> Pi I A"
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  by (auto simp: restrict_def Pi_def)
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lemma restrict_merge[simp]:
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  "I \<inter> J = {} \<Longrightarrow> restrict (merge I x J y) I = restrict x I"
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  "I \<inter> J = {} \<Longrightarrow> restrict (merge I x J y) J = restrict y J"
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  "J \<inter> I = {} \<Longrightarrow> restrict (merge I x J y) I = restrict x I"
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  "J \<inter> I = {} \<Longrightarrow> restrict (merge I x J y) J = restrict y J"
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  by (auto simp: restrict_def intro!: ext)
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lemma extensional_insert_undefined[intro, simp]:
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  assumes "a \<in> extensional (insert i I)"
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  shows "a(i := undefined) \<in> extensional I"
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  using assms unfolding extensional_def by auto
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lemma extensional_insert_cancel[intro, simp]:
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  assumes "a \<in> extensional I"
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  shows "a \<in> extensional (insert i I)"
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  using assms unfolding extensional_def by auto
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lemma merge_singleton[simp]: "i \<notin> I \<Longrightarrow> merge I x {i} y = restrict (x(i := y i)) (insert i I)"
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  unfolding merge_def by (auto simp: fun_eq_iff)
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lemma Pi_Int: "Pi I E \<inter> Pi I F = (\<Pi> i\<in>I. E i \<inter> F i)"
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  by auto
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lemma PiE_Int: "(Pi\<^isub>E I A) \<inter> (Pi\<^isub>E I B) = Pi\<^isub>E I (\<lambda>x. A x \<inter> B x)"
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  by auto
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lemma Pi_cancel_fupd_range[simp]: "i \<notin> I \<Longrightarrow> x \<in> Pi I (B(i := b)) \<longleftrightarrow> x \<in> Pi I B"
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  by (auto simp: Pi_def)
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lemma Pi_split_insert_domain[simp]: "x \<in> Pi (insert i I) X \<longleftrightarrow> x \<in> Pi I X \<and> x i \<in> X i"
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  by (auto simp: Pi_def)
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lemma Pi_split_domain[simp]: "x \<in> Pi (I \<union> J) X \<longleftrightarrow> x \<in> Pi I X \<and> x \<in> Pi J X"
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  by (auto simp: Pi_def)
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lemma Pi_cancel_fupd[simp]: "i \<notin> I \<Longrightarrow> x(i := a) \<in> Pi I B \<longleftrightarrow> x \<in> Pi I B"
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  by (auto simp: Pi_def)
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lemma restrict_vimage:
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  assumes "I \<inter> J = {}"
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  shows "(\<lambda>x. (restrict x I, restrict x J)) -` (Pi\<^isub>E I E \<times> Pi\<^isub>E J F) = Pi (I \<union> J) (merge I E J F)"
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  using assms by (auto simp: restrict_Pi_cancel)
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lemma merge_vimage:
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  assumes "I \<inter> J = {}"
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  shows "(\<lambda>(x,y). merge I x J y) -` Pi\<^isub>E (I \<union> J) E = Pi I E \<times> Pi J E"
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  using assms by (auto simp: restrict_Pi_cancel)
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lemma restrict_fupd[simp]: "i \<notin> I \<Longrightarrow> restrict (f (i := x)) I = restrict f I"
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  by (auto simp: restrict_def intro!: ext)
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lemma merge_restrict[simp]:
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  "merge I (restrict x I) J y = merge I x J y"
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  "merge I x J (restrict y J) = merge I x J y"
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  unfolding merge_def by (auto intro!: ext)
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lemma merge_x_x_eq_restrict[simp]:
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  "merge I x J x = restrict x (I \<union> J)"
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  unfolding merge_def by (auto intro!: ext)
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lemma Pi_fupd_iff: "i \<in> I \<Longrightarrow> f \<in> Pi I (B(i := A)) \<longleftrightarrow> f \<in> Pi (I - {i}) B \<and> f i \<in> A"
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  apply auto
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  apply (drule_tac x=x in Pi_mem)
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  apply (simp_all split: split_if_asm)
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  apply (drule_tac x=i in Pi_mem)
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  apply (auto dest!: Pi_mem)
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  done
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lemma Pi_UN:
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  fixes A :: "nat \<Rightarrow> 'i \<Rightarrow> 'a set"
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  assumes "finite I" and mono: "\<And>i n m. i \<in> I \<Longrightarrow> n \<le> m \<Longrightarrow> A n i \<subseteq> A m i"
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  shows "(\<Union>n. Pi I (A n)) = (\<Pi> i\<in>I. \<Union>n. A n i)"
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proof (intro set_eqI iffI)
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  fix f assume "f \<in> (\<Pi> i\<in>I. \<Union>n. A n i)"
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  then have "\<forall>i\<in>I. \<exists>n. f i \<in> A n i" by auto
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  from bchoice[OF this] obtain n where n: "\<And>i. i \<in> I \<Longrightarrow> f i \<in> (A (n i) i)" by auto
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  obtain k where k: "\<And>i. i \<in> I \<Longrightarrow> n i \<le> k"
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    using `finite I` finite_nat_set_iff_bounded_le[of "n`I"] by auto
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  have "f \<in> Pi I (A k)"
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  proof (intro Pi_I)
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    fix i assume "i \<in> I"
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    from mono[OF this, of "n i" k] k[OF this] n[OF this]
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    show "f i \<in> A k i" by auto
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  qed
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  then show "f \<in> (\<Union>n. Pi I (A n))" by auto
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qed auto
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lemma PiE_cong:
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  assumes "\<And>i. i\<in>I \<Longrightarrow> A i = B i"
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  shows "Pi\<^isub>E I A = Pi\<^isub>E I B"
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  using assms by (auto intro!: Pi_cong)
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lemma restrict_upd[simp]:
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  "i \<notin> I \<Longrightarrow> (restrict f I)(i := y) = restrict (f(i := y)) (insert i I)"
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  by (auto simp: fun_eq_iff)
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lemma Pi_eq_subset:
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  assumes ne: "\<And>i. i \<in> I \<Longrightarrow> F i \<noteq> {}" "\<And>i. i \<in> I \<Longrightarrow> F' i \<noteq> {}"
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  assumes eq: "Pi\<^isub>E I F = Pi\<^isub>E I F'" and "i \<in> I"
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  shows "F i \<subseteq> F' i"
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proof
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  fix x assume "x \<in> F i"
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  with ne have "\<forall>j. \<exists>y. ((j \<in> I \<longrightarrow> y \<in> F j \<and> (i = j \<longrightarrow> x = y)) \<and> (j \<notin> I \<longrightarrow> y = undefined))" by auto
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  from choice[OF this] guess f .. note f = this
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  then have "f \<in> Pi\<^isub>E I F" by (auto simp: extensional_def)
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  then have "f \<in> Pi\<^isub>E I F'" using assms by simp
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  then show "x \<in> F' i" using f `i \<in> I` by auto
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qed
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lemma Pi_eq_iff_not_empty:
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  assumes ne: "\<And>i. i \<in> I \<Longrightarrow> F i \<noteq> {}" "\<And>i. i \<in> I \<Longrightarrow> F' i \<noteq> {}"
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  shows "Pi\<^isub>E I F = Pi\<^isub>E I F' \<longleftrightarrow> (\<forall>i\<in>I. F i = F' i)"
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proof (intro iffI ballI)
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  fix i assume eq: "Pi\<^isub>E I F = Pi\<^isub>E I F'" and i: "i \<in> I"
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  show "F i = F' i"
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    using Pi_eq_subset[of I F F', OF ne eq i]
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    using Pi_eq_subset[of I F' F, OF ne(2,1) eq[symmetric] i]
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    by auto
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qed auto
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lemma Pi_eq_empty_iff:
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  "Pi\<^isub>E I F = {} \<longleftrightarrow> (\<exists>i\<in>I. F i = {})"
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proof
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  assume "Pi\<^isub>E I F = {}"
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  show "\<exists>i\<in>I. F i = {}"
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  proof (rule ccontr)
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    assume "\<not> ?thesis"
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    then have "\<forall>i. \<exists>y. (i \<in> I \<longrightarrow> y \<in> F i) \<and> (i \<notin> I \<longrightarrow> y = undefined)" by auto
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    from choice[OF this] guess f ..
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    then have "f \<in> Pi\<^isub>E I F" by (auto simp: extensional_def)
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    with `Pi\<^isub>E I F = {}` show False by auto
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  qed
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qed auto
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lemma Pi_eq_iff:
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  "Pi\<^isub>E I F = Pi\<^isub>E I F' \<longleftrightarrow> (\<forall>i\<in>I. F i = F' i) \<or> ((\<exists>i\<in>I. F i = {}) \<and> (\<exists>i\<in>I. F' i = {}))"
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proof (intro iffI disjCI)
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  assume eq[simp]: "Pi\<^isub>E I F = Pi\<^isub>E I F'"
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  assume "\<not> ((\<exists>i\<in>I. F i = {}) \<and> (\<exists>i\<in>I. F' i = {}))"
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  then have "(\<forall>i\<in>I. F i \<noteq> {}) \<and> (\<forall>i\<in>I. F' i \<noteq> {})"
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    using Pi_eq_empty_iff[of I F] Pi_eq_empty_iff[of I F'] by auto
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  with Pi_eq_iff_not_empty[of I F F'] show "\<forall>i\<in>I. F i = F' i" by auto
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next
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  assume "(\<forall>i\<in>I. F i = F' i) \<or> (\<exists>i\<in>I. F i = {}) \<and> (\<exists>i\<in>I. F' i = {})"
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  then show "Pi\<^isub>E I F = Pi\<^isub>E I F'"
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    using Pi_eq_empty_iff[of I F] Pi_eq_empty_iff[of I F'] by auto
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qed
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section "Binary products"
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definition
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  "pair_measure_generator A B =
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    \<lparr> space = space A \<times> space B,
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      sets = {a \<times> b | a b. a \<in> sets A \<and> b \<in> sets B},
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      measure = \<lambda>X. \<integral>\<^isup>+x. (\<integral>\<^isup>+y. indicator X (x,y) \<partial>B) \<partial>A \<rparr>"
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definition pair_measure (infixr "\<Otimes>\<^isub>M" 80) where
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  "A \<Otimes>\<^isub>M B = sigma (pair_measure_generator A B)"
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locale pair_sigma_algebra = M1: sigma_algebra M1 + M2: sigma_algebra M2
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  for M1 :: "('a, 'c) measure_space_scheme" and M2 :: "('b, 'd) measure_space_scheme"
hoelzl@41689
   257
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   258
abbreviation (in pair_sigma_algebra)
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   259
  "E \<equiv> pair_measure_generator M1 M2"
hoelzl@40859
   260
hoelzl@40859
   261
abbreviation (in pair_sigma_algebra)
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   262
  "P \<equiv> M1 \<Otimes>\<^isub>M M2"
hoelzl@40859
   263
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   264
lemma sigma_algebra_pair_measure:
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   265
  "sets M1 \<subseteq> Pow (space M1) \<Longrightarrow> sets M2 \<subseteq> Pow (space M2) \<Longrightarrow> sigma_algebra (pair_measure M1 M2)"
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   266
  by (force simp: pair_measure_def pair_measure_generator_def intro!: sigma_algebra_sigma)
hoelzl@40859
   267
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   268
sublocale pair_sigma_algebra \<subseteq> sigma_algebra P
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   269
  using M1.space_closed M2.space_closed
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   270
  by (rule sigma_algebra_pair_measure)
hoelzl@40859
   271
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   272
lemma pair_measure_generatorI[intro, simp]:
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   273
  "x \<in> sets A \<Longrightarrow> y \<in> sets B \<Longrightarrow> x \<times> y \<in> sets (pair_measure_generator A B)"
hoelzl@41689
   274
  by (auto simp add: pair_measure_generator_def)
hoelzl@40859
   275
hoelzl@41689
   276
lemma pair_measureI[intro, simp]:
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   277
  "x \<in> sets A \<Longrightarrow> y \<in> sets B \<Longrightarrow> x \<times> y \<in> sets (A \<Otimes>\<^isub>M B)"
hoelzl@41689
   278
  by (auto simp add: pair_measure_def)
hoelzl@40859
   279
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   280
lemma space_pair_measure:
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   281
  "space (A \<Otimes>\<^isub>M B) = space A \<times> space B"
hoelzl@41689
   282
  by (simp add: pair_measure_def pair_measure_generator_def)
hoelzl@41095
   283
hoelzl@41689
   284
lemma sets_pair_measure_generator:
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   285
  "sets (pair_measure_generator N M) = (\<lambda>(x, y). x \<times> y) ` (sets N \<times> sets M)"
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   286
  unfolding pair_measure_generator_def by auto
hoelzl@41095
   287
hoelzl@41689
   288
lemma pair_measure_generator_sets_into_space:
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   289
  assumes "sets M \<subseteq> Pow (space M)" "sets N \<subseteq> Pow (space N)"
hoelzl@41689
   290
  shows "sets (pair_measure_generator M N) \<subseteq> Pow (space (pair_measure_generator M N))"
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   291
  using assms by (auto simp: pair_measure_generator_def)
hoelzl@41689
   292
hoelzl@41689
   293
lemma pair_measure_generator_Int_snd:
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   294
  assumes "sets S1 \<subseteq> Pow (space S1)"
hoelzl@41689
   295
  shows "sets (pair_measure_generator S1 (algebra.restricted_space S2 A)) =
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   296
         sets (algebra.restricted_space (pair_measure_generator S1 S2) (space S1 \<times> A))"
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   297
  (is "?L = ?R")
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   298
  apply (auto simp: pair_measure_generator_def image_iff)
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   299
  using assms
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   300
  apply (rule_tac x="a \<times> xa" in exI)
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   301
  apply force
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   302
  using assms
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   303
  apply (rule_tac x="a" in exI)
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   304
  apply (rule_tac x="b \<inter> A" in exI)
hoelzl@41689
   305
  apply auto
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   306
  done
hoelzl@40859
   307
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   308
lemma (in pair_sigma_algebra)
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   309
  shows measurable_fst[intro!, simp]:
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   310
    "fst \<in> measurable P M1" (is ?fst)
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   311
  and measurable_snd[intro!, simp]:
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   312
    "snd \<in> measurable P M2" (is ?snd)
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   313
proof -
hoelzl@39088
   314
  { fix X assume "X \<in> sets M1"
hoelzl@39088
   315
    then have "\<exists>X1\<in>sets M1. \<exists>X2\<in>sets M2. fst -` X \<inter> space M1 \<times> space M2 = X1 \<times> X2"
hoelzl@39088
   316
      apply - apply (rule bexI[of _ X]) apply (rule bexI[of _ "space M2"])
hoelzl@39088
   317
      using M1.sets_into_space by force+ }
hoelzl@39088
   318
  moreover
hoelzl@39088
   319
  { fix X assume "X \<in> sets M2"
hoelzl@39088
   320
    then have "\<exists>X1\<in>sets M1. \<exists>X2\<in>sets M2. snd -` X \<inter> space M1 \<times> space M2 = X1 \<times> X2"
hoelzl@39088
   321
      apply - apply (rule bexI[of _ "space M1"]) apply (rule bexI[of _ X])
hoelzl@39088
   322
      using M2.sets_into_space by force+ }
hoelzl@40859
   323
  ultimately have "?fst \<and> ?snd"
hoelzl@41689
   324
    by (fastsimp simp: measurable_def sets_sigma space_pair_measure
hoelzl@40859
   325
                 intro!: sigma_sets.Basic)
hoelzl@40859
   326
  then show ?fst ?snd by auto
hoelzl@40859
   327
qed
hoelzl@40859
   328
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   329
lemma (in pair_sigma_algebra) measurable_pair_iff:
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   330
  assumes "sigma_algebra M"
hoelzl@40859
   331
  shows "f \<in> measurable M P \<longleftrightarrow>
hoelzl@40859
   332
    (fst \<circ> f) \<in> measurable M M1 \<and> (snd \<circ> f) \<in> measurable M M2"
hoelzl@40859
   333
proof -
hoelzl@40859
   334
  interpret M: sigma_algebra M by fact
hoelzl@40859
   335
  from assms show ?thesis
hoelzl@40859
   336
  proof (safe intro!: measurable_comp[where b=P])
hoelzl@40859
   337
    assume f: "(fst \<circ> f) \<in> measurable M M1" and s: "(snd \<circ> f) \<in> measurable M M2"
hoelzl@41689
   338
    show "f \<in> measurable M P" unfolding pair_measure_def
hoelzl@40859
   339
    proof (rule M.measurable_sigma)
hoelzl@41689
   340
      show "sets (pair_measure_generator M1 M2) \<subseteq> Pow (space E)"
hoelzl@41689
   341
        unfolding pair_measure_generator_def using M1.sets_into_space M2.sets_into_space by auto
hoelzl@40859
   342
      show "f \<in> space M \<rightarrow> space E"
hoelzl@41689
   343
        using f s by (auto simp: mem_Times_iff measurable_def comp_def space_sigma pair_measure_generator_def)
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   344
      fix A assume "A \<in> sets E"
hoelzl@40859
   345
      then obtain B C where "B \<in> sets M1" "C \<in> sets M2" "A = B \<times> C"
hoelzl@41689
   346
        unfolding pair_measure_generator_def by auto
hoelzl@40859
   347
      moreover have "(fst \<circ> f) -` B \<inter> space M \<in> sets M"
hoelzl@40859
   348
        using f `B \<in> sets M1` unfolding measurable_def by auto
hoelzl@40859
   349
      moreover have "(snd \<circ> f) -` C \<inter> space M \<in> sets M"
hoelzl@40859
   350
        using s `C \<in> sets M2` unfolding measurable_def by auto
hoelzl@40859
   351
      moreover have "f -` A \<inter> space M = ((fst \<circ> f) -` B \<inter> space M) \<inter> ((snd \<circ> f) -` C \<inter> space M)"
hoelzl@40859
   352
        unfolding `A = B \<times> C` by (auto simp: vimage_Times)
hoelzl@40859
   353
      ultimately show "f -` A \<inter> space M \<in> sets M" by auto
hoelzl@40859
   354
    qed
hoelzl@40859
   355
  qed
hoelzl@40859
   356
qed
hoelzl@40859
   357
hoelzl@41095
   358
lemma (in pair_sigma_algebra) measurable_pair:
hoelzl@40859
   359
  assumes "sigma_algebra M"
hoelzl@41095
   360
  assumes "(fst \<circ> f) \<in> measurable M M1" "(snd \<circ> f) \<in> measurable M M2"
hoelzl@40859
   361
  shows "f \<in> measurable M P"
hoelzl@41095
   362
  unfolding measurable_pair_iff[OF assms(1)] using assms(2,3) by simp
hoelzl@40859
   363
hoelzl@41689
   364
lemma pair_measure_generatorE:
hoelzl@41689
   365
  assumes "X \<in> sets (pair_measure_generator M1 M2)"
hoelzl@40859
   366
  obtains A B where "X = A \<times> B" "A \<in> sets M1" "B \<in> sets M2"
hoelzl@41689
   367
  using assms unfolding pair_measure_generator_def by auto
hoelzl@40859
   368
hoelzl@41689
   369
lemma (in pair_sigma_algebra) pair_measure_generator_swap:
hoelzl@41689
   370
  "(\<lambda>X. (\<lambda>(x,y). (y,x)) -` X \<inter> space M2 \<times> space M1) ` sets E = sets (pair_measure_generator M2 M1)"
hoelzl@41689
   371
proof (safe elim!: pair_measure_generatorE)
hoelzl@40859
   372
  fix A B assume "A \<in> sets M1" "B \<in> sets M2"
hoelzl@40859
   373
  moreover then have "(\<lambda>(x, y). (y, x)) -` (A \<times> B) \<inter> space M2 \<times> space M1 = B \<times> A"
hoelzl@40859
   374
    using M1.sets_into_space M2.sets_into_space by auto
hoelzl@41689
   375
  ultimately show "(\<lambda>(x, y). (y, x)) -` (A \<times> B) \<inter> space M2 \<times> space M1 \<in> sets (pair_measure_generator M2 M1)"
hoelzl@41689
   376
    by (auto intro: pair_measure_generatorI)
hoelzl@40859
   377
next
hoelzl@40859
   378
  fix A B assume "A \<in> sets M1" "B \<in> sets M2"
hoelzl@40859
   379
  then show "B \<times> A \<in> (\<lambda>X. (\<lambda>(x, y). (y, x)) -` X \<inter> space M2 \<times> space M1) ` sets E"
hoelzl@40859
   380
    using M1.sets_into_space M2.sets_into_space
hoelzl@41689
   381
    by (auto intro!: image_eqI[where x="A \<times> B"] pair_measure_generatorI)
hoelzl@40859
   382
qed
hoelzl@40859
   383
hoelzl@40859
   384
lemma (in pair_sigma_algebra) sets_pair_sigma_algebra_swap:
hoelzl@40859
   385
  assumes Q: "Q \<in> sets P"
hoelzl@41689
   386
  shows "(\<lambda>(x,y). (y, x)) -` Q \<in> sets (M2 \<Otimes>\<^isub>M M1)" (is "_ \<in> sets ?Q")
hoelzl@40859
   387
proof -
hoelzl@41689
   388
  let "?f Q" = "(\<lambda>(x,y). (y, x)) -` Q \<inter> space M2 \<times> space M1"
hoelzl@41689
   389
  have *: "(\<lambda>(x,y). (y, x)) -` Q = ?f Q"
hoelzl@41689
   390
    using sets_into_space[OF Q] by (auto simp: space_pair_measure)
hoelzl@41689
   391
  have "sets (M2 \<Otimes>\<^isub>M M1) = sets (sigma (pair_measure_generator M2 M1))"
hoelzl@41689
   392
    unfolding pair_measure_def ..
hoelzl@41689
   393
  also have "\<dots> = sigma_sets (space M2 \<times> space M1) (?f ` sets E)"
hoelzl@41689
   394
    unfolding sigma_def pair_measure_generator_swap[symmetric]
hoelzl@41689
   395
    by (simp add: pair_measure_generator_def)
hoelzl@41689
   396
  also have "\<dots> = ?f ` sigma_sets (space M1 \<times> space M2) (sets E)"
hoelzl@41689
   397
    using M1.sets_into_space M2.sets_into_space
hoelzl@41689
   398
    by (intro sigma_sets_vimage) (auto simp: pair_measure_generator_def)
hoelzl@41689
   399
  also have "\<dots> = ?f ` sets P"
hoelzl@41689
   400
    unfolding pair_measure_def pair_measure_generator_def sigma_def by simp
hoelzl@41689
   401
  finally show ?thesis
hoelzl@41689
   402
    using Q by (subst *) auto
hoelzl@40859
   403
qed
hoelzl@40859
   404
hoelzl@40859
   405
lemma (in pair_sigma_algebra) pair_sigma_algebra_swap_measurable:
hoelzl@41689
   406
  shows "(\<lambda>(x,y). (y, x)) \<in> measurable P (M2 \<Otimes>\<^isub>M M1)"
hoelzl@40859
   407
    (is "?f \<in> measurable ?P ?Q")
hoelzl@40859
   408
  unfolding measurable_def
hoelzl@40859
   409
proof (intro CollectI conjI Pi_I ballI)
hoelzl@40859
   410
  fix x assume "x \<in> space ?P" then show "(case x of (x, y) \<Rightarrow> (y, x)) \<in> space ?Q"
hoelzl@41689
   411
    unfolding pair_measure_generator_def pair_measure_def by auto
hoelzl@40859
   412
next
hoelzl@41689
   413
  fix A assume "A \<in> sets (M2 \<Otimes>\<^isub>M M1)"
hoelzl@40859
   414
  interpret Q: pair_sigma_algebra M2 M1 by default
hoelzl@41689
   415
  with Q.sets_pair_sigma_algebra_swap[OF `A \<in> sets (M2 \<Otimes>\<^isub>M M1)`]
hoelzl@40859
   416
  show "?f -` A \<inter> space ?P \<in> sets ?P" by simp
hoelzl@40859
   417
qed
hoelzl@40859
   418
hoelzl@41981
   419
lemma (in pair_sigma_algebra) measurable_cut_fst[simp,intro]:
hoelzl@40859
   420
  assumes "Q \<in> sets P" shows "Pair x -` Q \<in> sets M2"
hoelzl@40859
   421
proof -
hoelzl@40859
   422
  let ?Q' = "{Q. Q \<subseteq> space P \<and> Pair x -` Q \<in> sets M2}"
hoelzl@40859
   423
  let ?Q = "\<lparr> space = space P, sets = ?Q' \<rparr>"
hoelzl@40859
   424
  interpret Q: sigma_algebra ?Q
hoelzl@41689
   425
    proof qed (auto simp: vimage_UN vimage_Diff space_pair_measure)
hoelzl@40859
   426
  have "sets E \<subseteq> sets ?Q"
hoelzl@40859
   427
    using M1.sets_into_space M2.sets_into_space
hoelzl@41689
   428
    by (auto simp: pair_measure_generator_def space_pair_measure)
hoelzl@40859
   429
  then have "sets P \<subseteq> sets ?Q"
hoelzl@41689
   430
    apply (subst pair_measure_def, intro Q.sets_sigma_subset)
hoelzl@41689
   431
    by (simp add: pair_measure_def)
hoelzl@40859
   432
  with assms show ?thesis by auto
hoelzl@40859
   433
qed
hoelzl@40859
   434
hoelzl@40859
   435
lemma (in pair_sigma_algebra) measurable_cut_snd:
hoelzl@40859
   436
  assumes Q: "Q \<in> sets P" shows "(\<lambda>x. (x, y)) -` Q \<in> sets M1" (is "?cut Q \<in> sets M1")
hoelzl@40859
   437
proof -
hoelzl@40859
   438
  interpret Q: pair_sigma_algebra M2 M1 by default
hoelzl@40859
   439
  with Q.measurable_cut_fst[OF sets_pair_sigma_algebra_swap[OF Q], of y]
hoelzl@41689
   440
  show ?thesis by (simp add: vimage_compose[symmetric] comp_def)
hoelzl@40859
   441
qed
hoelzl@40859
   442
hoelzl@40859
   443
lemma (in pair_sigma_algebra) measurable_pair_image_snd:
hoelzl@40859
   444
  assumes m: "f \<in> measurable P M" and "x \<in> space M1"
hoelzl@40859
   445
  shows "(\<lambda>y. f (x, y)) \<in> measurable M2 M"
hoelzl@40859
   446
  unfolding measurable_def
hoelzl@40859
   447
proof (intro CollectI conjI Pi_I ballI)
hoelzl@40859
   448
  fix y assume "y \<in> space M2" with `f \<in> measurable P M` `x \<in> space M1`
hoelzl@41689
   449
  show "f (x, y) \<in> space M"
hoelzl@41689
   450
    unfolding measurable_def pair_measure_generator_def pair_measure_def by auto
hoelzl@40859
   451
next
hoelzl@40859
   452
  fix A assume "A \<in> sets M"
hoelzl@40859
   453
  then have "Pair x -` (f -` A \<inter> space P) \<in> sets M2" (is "?C \<in> _")
hoelzl@40859
   454
    using `f \<in> measurable P M`
hoelzl@40859
   455
    by (intro measurable_cut_fst) (auto simp: measurable_def)
hoelzl@40859
   456
  also have "?C = (\<lambda>y. f (x, y)) -` A \<inter> space M2"
hoelzl@41689
   457
    using `x \<in> space M1` by (auto simp: pair_measure_generator_def pair_measure_def)
hoelzl@40859
   458
  finally show "(\<lambda>y. f (x, y)) -` A \<inter> space M2 \<in> sets M2" .
hoelzl@40859
   459
qed
hoelzl@40859
   460
hoelzl@40859
   461
lemma (in pair_sigma_algebra) measurable_pair_image_fst:
hoelzl@40859
   462
  assumes m: "f \<in> measurable P M" and "y \<in> space M2"
hoelzl@40859
   463
  shows "(\<lambda>x. f (x, y)) \<in> measurable M1 M"
hoelzl@40859
   464
proof -
hoelzl@40859
   465
  interpret Q: pair_sigma_algebra M2 M1 by default
hoelzl@40859
   466
  from Q.measurable_pair_image_snd[OF measurable_comp `y \<in> space M2`,
hoelzl@40859
   467
                                      OF Q.pair_sigma_algebra_swap_measurable m]
hoelzl@40859
   468
  show ?thesis by simp
hoelzl@40859
   469
qed
hoelzl@40859
   470
hoelzl@41689
   471
lemma (in pair_sigma_algebra) Int_stable_pair_measure_generator: "Int_stable E"
hoelzl@40859
   472
  unfolding Int_stable_def
hoelzl@40859
   473
proof (intro ballI)
hoelzl@40859
   474
  fix A B assume "A \<in> sets E" "B \<in> sets E"
hoelzl@40859
   475
  then obtain A1 A2 B1 B2 where "A = A1 \<times> A2" "B = B1 \<times> B2"
hoelzl@40859
   476
    "A1 \<in> sets M1" "A2 \<in> sets M2" "B1 \<in> sets M1" "B2 \<in> sets M2"
hoelzl@41689
   477
    unfolding pair_measure_generator_def by auto
hoelzl@40859
   478
  then show "A \<inter> B \<in> sets E"
hoelzl@41689
   479
    by (auto simp add: times_Int_times pair_measure_generator_def)
hoelzl@40859
   480
qed
hoelzl@40859
   481
hoelzl@40859
   482
lemma finite_measure_cut_measurable:
hoelzl@41689
   483
  fixes M1 :: "('a, 'c) measure_space_scheme" and M2 :: "('b, 'd) measure_space_scheme"
hoelzl@41689
   484
  assumes "sigma_finite_measure M1" "finite_measure M2"
hoelzl@41689
   485
  assumes "Q \<in> sets (M1 \<Otimes>\<^isub>M M2)"
hoelzl@41689
   486
  shows "(\<lambda>x. measure M2 (Pair x -` Q)) \<in> borel_measurable M1"
hoelzl@40859
   487
    (is "?s Q \<in> _")
hoelzl@40859
   488
proof -
hoelzl@41689
   489
  interpret M1: sigma_finite_measure M1 by fact
hoelzl@41689
   490
  interpret M2: finite_measure M2 by fact
hoelzl@40859
   491
  interpret pair_sigma_algebra M1 M2 by default
hoelzl@40859
   492
  have [intro]: "sigma_algebra M1" by fact
hoelzl@40859
   493
  have [intro]: "sigma_algebra M2" by fact
hoelzl@40859
   494
  let ?D = "\<lparr> space = space P, sets = {A\<in>sets P. ?s A \<in> borel_measurable M1}  \<rparr>"
hoelzl@41689
   495
  note space_pair_measure[simp]
hoelzl@40859
   496
  interpret dynkin_system ?D
hoelzl@40859
   497
  proof (intro dynkin_systemI)
hoelzl@40859
   498
    fix A assume "A \<in> sets ?D" then show "A \<subseteq> space ?D"
hoelzl@40859
   499
      using sets_into_space by simp
hoelzl@40859
   500
  next
hoelzl@40859
   501
    from top show "space ?D \<in> sets ?D"
hoelzl@40859
   502
      by (auto simp add: if_distrib intro!: M1.measurable_If)
hoelzl@40859
   503
  next
hoelzl@40859
   504
    fix A assume "A \<in> sets ?D"
hoelzl@41689
   505
    with sets_into_space have "\<And>x. measure M2 (Pair x -` (space M1 \<times> space M2 - A)) =
hoelzl@41689
   506
        (if x \<in> space M1 then measure M2 (space M2) - ?s A x else 0)"
hoelzl@41981
   507
      by (auto intro!: M2.measure_compl simp: vimage_Diff)
hoelzl@40859
   508
    with `A \<in> sets ?D` top show "space ?D - A \<in> sets ?D"
hoelzl@41981
   509
      by (auto intro!: Diff M1.measurable_If M1.borel_measurable_extreal_diff)
hoelzl@40859
   510
  next
hoelzl@40859
   511
    fix F :: "nat \<Rightarrow> ('a\<times>'b) set" assume "disjoint_family F" "range F \<subseteq> sets ?D"
hoelzl@41981
   512
    moreover then have "\<And>x. measure M2 (\<Union>i. Pair x -` F i) = (\<Sum>i. ?s (F i) x)"
hoelzl@40859
   513
      by (intro M2.measure_countably_additive[symmetric])
hoelzl@41981
   514
         (auto simp: disjoint_family_on_def)
hoelzl@40859
   515
    ultimately show "(\<Union>i. F i) \<in> sets ?D"
hoelzl@40859
   516
      by (auto simp: vimage_UN intro!: M1.borel_measurable_psuminf)
hoelzl@40859
   517
  qed
hoelzl@41689
   518
  have "sets P = sets ?D" apply (subst pair_measure_def)
hoelzl@40859
   519
  proof (intro dynkin_lemma)
hoelzl@41689
   520
    show "Int_stable E" by (rule Int_stable_pair_measure_generator)
hoelzl@40859
   521
    from M1.sets_into_space have "\<And>A. A \<in> sets M1 \<Longrightarrow> {x \<in> space M1. x \<in> A} = A"
hoelzl@40859
   522
      by auto
hoelzl@40859
   523
    then show "sets E \<subseteq> sets ?D"
hoelzl@41689
   524
      by (auto simp: pair_measure_generator_def sets_sigma if_distrib
hoelzl@40859
   525
               intro: sigma_sets.Basic intro!: M1.measurable_If)
hoelzl@41689
   526
  qed (auto simp: pair_measure_def)
hoelzl@40859
   527
  with `Q \<in> sets P` have "Q \<in> sets ?D" by simp
hoelzl@40859
   528
  then show "?s Q \<in> borel_measurable M1" by simp
hoelzl@40859
   529
qed
hoelzl@40859
   530
hoelzl@40859
   531
subsection {* Binary products of $\sigma$-finite measure spaces *}
hoelzl@40859
   532
hoelzl@41689
   533
locale pair_sigma_finite = M1: sigma_finite_measure M1 + M2: sigma_finite_measure M2
hoelzl@41689
   534
  for M1 :: "('a, 'c) measure_space_scheme" and M2 :: "('b, 'd) measure_space_scheme"
hoelzl@40859
   535
hoelzl@40859
   536
sublocale pair_sigma_finite \<subseteq> pair_sigma_algebra M1 M2
hoelzl@40859
   537
  by default
hoelzl@40859
   538
hoelzl@41689
   539
lemma times_eq_iff: "A \<times> B = C \<times> D \<longleftrightarrow> A = C \<and> B = D \<or> ((A = {} \<or> B = {}) \<and> (C = {} \<or> D = {}))"
hoelzl@41689
   540
  by auto
hoelzl@41689
   541
hoelzl@40859
   542
lemma (in pair_sigma_finite) measure_cut_measurable_fst:
hoelzl@41689
   543
  assumes "Q \<in> sets P" shows "(\<lambda>x. measure M2 (Pair x -` Q)) \<in> borel_measurable M1" (is "?s Q \<in> _")
hoelzl@40859
   544
proof -
hoelzl@40859
   545
  have [intro]: "sigma_algebra M1" and [intro]: "sigma_algebra M2" by default+
hoelzl@41689
   546
  have M1: "sigma_finite_measure M1" by default
hoelzl@40859
   547
  from M2.disjoint_sigma_finite guess F .. note F = this
hoelzl@41981
   548
  then have F_sets: "\<And>i. F i \<in> sets M2" by auto
hoelzl@40859
   549
  let "?C x i" = "F i \<inter> Pair x -` Q"
hoelzl@40859
   550
  { fix i
hoelzl@40859
   551
    let ?R = "M2.restricted_space (F i)"
hoelzl@40859
   552
    have [simp]: "space M1 \<times> F i \<inter> space M1 \<times> space M2 = space M1 \<times> F i"
hoelzl@40859
   553
      using F M2.sets_into_space by auto
hoelzl@41689
   554
    let ?R2 = "M2.restricted_space (F i)"
hoelzl@41689
   555
    have "(\<lambda>x. measure ?R2 (Pair x -` (space M1 \<times> space ?R2 \<inter> Q))) \<in> borel_measurable M1"
hoelzl@40859
   556
    proof (intro finite_measure_cut_measurable[OF M1])
hoelzl@41689
   557
      show "finite_measure ?R2"
hoelzl@40859
   558
        using F by (intro M2.restricted_to_finite_measure) auto
hoelzl@41689
   559
      have "(space M1 \<times> space ?R2) \<inter> Q \<in> (op \<inter> (space M1 \<times> F i)) ` sets P"
hoelzl@41689
   560
        using `Q \<in> sets P` by (auto simp: image_iff)
hoelzl@41689
   561
      also have "\<dots> = sigma_sets (space M1 \<times> F i) ((op \<inter> (space M1 \<times> F i)) ` sets E)"
hoelzl@41689
   562
        unfolding pair_measure_def pair_measure_generator_def sigma_def
hoelzl@41689
   563
        using `F i \<in> sets M2` M2.sets_into_space
hoelzl@41689
   564
        by (auto intro!: sigma_sets_Int sigma_sets.Basic)
hoelzl@41689
   565
      also have "\<dots> \<subseteq> sets (M1 \<Otimes>\<^isub>M ?R2)"
hoelzl@41689
   566
        using M1.sets_into_space
hoelzl@41689
   567
        apply (auto simp: times_Int_times pair_measure_def pair_measure_generator_def sigma_def
hoelzl@41689
   568
                    intro!: sigma_sets_subseteq)
hoelzl@41689
   569
        apply (rule_tac x="a" in exI)
hoelzl@41689
   570
        apply (rule_tac x="b \<inter> F i" in exI)
hoelzl@41689
   571
        by auto
hoelzl@41689
   572
      finally show "(space M1 \<times> space ?R2) \<inter> Q \<in> sets (M1 \<Otimes>\<^isub>M ?R2)" .
hoelzl@40859
   573
    qed
hoelzl@40859
   574
    moreover have "\<And>x. Pair x -` (space M1 \<times> F i \<inter> Q) = ?C x i"
hoelzl@41689
   575
      using `Q \<in> sets P` sets_into_space by (auto simp: space_pair_measure)
hoelzl@41689
   576
    ultimately have "(\<lambda>x. measure M2 (?C x i)) \<in> borel_measurable M1"
hoelzl@40859
   577
      by simp }
hoelzl@40859
   578
  moreover
hoelzl@40859
   579
  { fix x
hoelzl@41981
   580
    have "(\<Sum>i. measure M2 (?C x i)) = measure M2 (\<Union>i. ?C x i)"
hoelzl@40859
   581
    proof (intro M2.measure_countably_additive)
hoelzl@40859
   582
      show "range (?C x) \<subseteq> sets M2"
hoelzl@41981
   583
        using F `Q \<in> sets P` by (auto intro!: M2.Int)
hoelzl@40859
   584
      have "disjoint_family F" using F by auto
hoelzl@40859
   585
      show "disjoint_family (?C x)"
hoelzl@40859
   586
        by (rule disjoint_family_on_bisimulation[OF `disjoint_family F`]) auto
hoelzl@40859
   587
    qed
hoelzl@40859
   588
    also have "(\<Union>i. ?C x i) = Pair x -` Q"
hoelzl@40859
   589
      using F sets_into_space `Q \<in> sets P`
hoelzl@41689
   590
      by (auto simp: space_pair_measure)
hoelzl@41981
   591
    finally have "measure M2 (Pair x -` Q) = (\<Sum>i. measure M2 (?C x i))"
hoelzl@40859
   592
      by simp }
hoelzl@41981
   593
  ultimately show ?thesis using `Q \<in> sets P` F_sets
hoelzl@41981
   594
    by (auto intro!: M1.borel_measurable_psuminf M2.Int)
hoelzl@40859
   595
qed
hoelzl@40859
   596
hoelzl@40859
   597
lemma (in pair_sigma_finite) measure_cut_measurable_snd:
hoelzl@41689
   598
  assumes "Q \<in> sets P" shows "(\<lambda>y. M1.\<mu> ((\<lambda>x. (x, y)) -` Q)) \<in> borel_measurable M2"
hoelzl@40859
   599
proof -
hoelzl@41689
   600
  interpret Q: pair_sigma_finite M2 M1 by default
hoelzl@40859
   601
  note sets_pair_sigma_algebra_swap[OF assms]
hoelzl@40859
   602
  from Q.measure_cut_measurable_fst[OF this]
hoelzl@41689
   603
  show ?thesis by (simp add: vimage_compose[symmetric] comp_def)
hoelzl@40859
   604
qed
hoelzl@40859
   605
hoelzl@40859
   606
lemma (in pair_sigma_algebra) pair_sigma_algebra_measurable:
hoelzl@41689
   607
  assumes "f \<in> measurable P M" shows "(\<lambda>(x,y). f (y, x)) \<in> measurable (M2 \<Otimes>\<^isub>M M1) M"
hoelzl@40859
   608
proof -
hoelzl@40859
   609
  interpret Q: pair_sigma_algebra M2 M1 by default
hoelzl@40859
   610
  have *: "(\<lambda>(x,y). f (y, x)) = f \<circ> (\<lambda>(x,y). (y, x))" by (simp add: fun_eq_iff)
hoelzl@40859
   611
  show ?thesis
hoelzl@40859
   612
    using Q.pair_sigma_algebra_swap_measurable assms
hoelzl@40859
   613
    unfolding * by (rule measurable_comp)
hoelzl@39088
   614
qed
hoelzl@39088
   615
hoelzl@40859
   616
lemma (in pair_sigma_finite) pair_measure_alt:
hoelzl@40859
   617
  assumes "A \<in> sets P"
hoelzl@41689
   618
  shows "measure (M1 \<Otimes>\<^isub>M M2) A = (\<integral>\<^isup>+ x. measure M2 (Pair x -` A) \<partial>M1)"
hoelzl@41689
   619
  apply (simp add: pair_measure_def pair_measure_generator_def)
hoelzl@40859
   620
proof (rule M1.positive_integral_cong)
hoelzl@40859
   621
  fix x assume "x \<in> space M1"
hoelzl@41981
   622
  have *: "\<And>y. indicator A (x, y) = (indicator (Pair x -` A) y :: extreal)"
hoelzl@40859
   623
    unfolding indicator_def by auto
hoelzl@41689
   624
  show "(\<integral>\<^isup>+ y. indicator A (x, y) \<partial>M2) = measure M2 (Pair x -` A)"
hoelzl@40859
   625
    unfolding *
hoelzl@40859
   626
    apply (subst M2.positive_integral_indicator)
hoelzl@40859
   627
    apply (rule measurable_cut_fst[OF assms])
hoelzl@40859
   628
    by simp
hoelzl@40859
   629
qed
hoelzl@40859
   630
hoelzl@40859
   631
lemma (in pair_sigma_finite) pair_measure_times:
hoelzl@40859
   632
  assumes A: "A \<in> sets M1" and "B \<in> sets M2"
hoelzl@41689
   633
  shows "measure (M1 \<Otimes>\<^isub>M M2) (A \<times> B) = M1.\<mu> A * measure M2 B"
hoelzl@40859
   634
proof -
hoelzl@41689
   635
  have "measure (M1 \<Otimes>\<^isub>M M2) (A \<times> B) = (\<integral>\<^isup>+ x. measure M2 B * indicator A x \<partial>M1)"
hoelzl@41689
   636
    using assms by (auto intro!: M1.positive_integral_cong simp: pair_measure_alt)
hoelzl@40859
   637
  with assms show ?thesis
hoelzl@40859
   638
    by (simp add: M1.positive_integral_cmult_indicator ac_simps)
hoelzl@40859
   639
qed
hoelzl@40859
   640
hoelzl@41981
   641
lemma (in measure_space) measure_not_negative[simp,intro]:
hoelzl@41981
   642
  assumes A: "A \<in> sets M" shows "\<mu> A \<noteq> - \<infinity>"
hoelzl@41981
   643
  using positive_measure[OF A] by auto
hoelzl@41981
   644
hoelzl@41689
   645
lemma (in pair_sigma_finite) sigma_finite_up_in_pair_measure_generator:
hoelzl@41981
   646
  "\<exists>F::nat \<Rightarrow> ('a \<times> 'b) set. range F \<subseteq> sets E \<and> incseq F \<and> (\<Union>i. F i) = space E \<and>
hoelzl@41981
   647
    (\<forall>i. measure (M1 \<Otimes>\<^isub>M M2) (F i) \<noteq> \<infinity>)"
hoelzl@40859
   648
proof -
hoelzl@40859
   649
  obtain F1 :: "nat \<Rightarrow> 'a set" and F2 :: "nat \<Rightarrow> 'b set" where
hoelzl@41981
   650
    F1: "range F1 \<subseteq> sets M1" "incseq F1" "(\<Union>i. F1 i) = space M1" "\<And>i. M1.\<mu> (F1 i) \<noteq> \<infinity>" and
hoelzl@41981
   651
    F2: "range F2 \<subseteq> sets M2" "incseq F2" "(\<Union>i. F2 i) = space M2" "\<And>i. M2.\<mu> (F2 i) \<noteq> \<infinity>"
hoelzl@40859
   652
    using M1.sigma_finite_up M2.sigma_finite_up by auto
hoelzl@41981
   653
  then have space: "space M1 = (\<Union>i. F1 i)" "space M2 = (\<Union>i. F2 i)" by auto
hoelzl@40859
   654
  let ?F = "\<lambda>i. F1 i \<times> F2 i"
hoelzl@41981
   655
  show ?thesis unfolding space_pair_measure
hoelzl@40859
   656
  proof (intro exI[of _ ?F] conjI allI)
hoelzl@40859
   657
    show "range ?F \<subseteq> sets E" using F1 F2
hoelzl@41689
   658
      by (fastsimp intro!: pair_measure_generatorI)
hoelzl@40859
   659
  next
hoelzl@40859
   660
    have "space M1 \<times> space M2 \<subseteq> (\<Union>i. ?F i)"
hoelzl@40859
   661
    proof (intro subsetI)
hoelzl@40859
   662
      fix x assume "x \<in> space M1 \<times> space M2"
hoelzl@40859
   663
      then obtain i j where "fst x \<in> F1 i" "snd x \<in> F2 j"
hoelzl@40859
   664
        by (auto simp: space)
hoelzl@40859
   665
      then have "fst x \<in> F1 (max i j)" "snd x \<in> F2 (max j i)"
hoelzl@41981
   666
        using `incseq F1` `incseq F2` unfolding incseq_def
hoelzl@41981
   667
        by (force split: split_max)+
hoelzl@40859
   668
      then have "(fst x, snd x) \<in> F1 (max i j) \<times> F2 (max i j)"
hoelzl@40859
   669
        by (intro SigmaI) (auto simp add: min_max.sup_commute)
hoelzl@40859
   670
      then show "x \<in> (\<Union>i. ?F i)" by auto
hoelzl@40859
   671
    qed
hoelzl@41689
   672
    then show "(\<Union>i. ?F i) = space E"
hoelzl@41689
   673
      using space by (auto simp: space pair_measure_generator_def)
hoelzl@40859
   674
  next
hoelzl@41981
   675
    fix i show "incseq (\<lambda>i. F1 i \<times> F2 i)"
hoelzl@41981
   676
      using `incseq F1` `incseq F2` unfolding incseq_Suc_iff by auto
hoelzl@40859
   677
  next
hoelzl@40859
   678
    fix i
hoelzl@40859
   679
    from F1 F2 have "F1 i \<in> sets M1" "F2 i \<in> sets M2" by auto
hoelzl@41981
   680
    with F1 F2 M1.positive_measure[OF this(1)] M2.positive_measure[OF this(2)]
hoelzl@41981
   681
    show "measure P (F1 i \<times> F2 i) \<noteq> \<infinity>"
hoelzl@40859
   682
      by (simp add: pair_measure_times)
hoelzl@40859
   683
  qed
hoelzl@40859
   684
qed
hoelzl@40859
   685
hoelzl@41689
   686
sublocale pair_sigma_finite \<subseteq> sigma_finite_measure P
hoelzl@40859
   687
proof
hoelzl@41981
   688
  show "positive P (measure P)"
hoelzl@41981
   689
    unfolding pair_measure_def pair_measure_generator_def sigma_def positive_def
hoelzl@41981
   690
    by (auto intro: M1.positive_integral_positive M2.positive_integral_positive)
hoelzl@40859
   691
hoelzl@41689
   692
  show "countably_additive P (measure P)"
hoelzl@40859
   693
    unfolding countably_additive_def
hoelzl@40859
   694
  proof (intro allI impI)
hoelzl@40859
   695
    fix F :: "nat \<Rightarrow> ('a \<times> 'b) set"
hoelzl@40859
   696
    assume F: "range F \<subseteq> sets P" "disjoint_family F"
hoelzl@40859
   697
    from F have *: "\<And>i. F i \<in> sets P" "(\<Union>i. F i) \<in> sets P" by auto
hoelzl@41689
   698
    moreover from F have "\<And>i. (\<lambda>x. measure M2 (Pair x -` F i)) \<in> borel_measurable M1"
hoelzl@40859
   699
      by (intro measure_cut_measurable_fst) auto
hoelzl@40859
   700
    moreover have "\<And>x. disjoint_family (\<lambda>i. Pair x -` F i)"
hoelzl@40859
   701
      by (intro disjoint_family_on_bisimulation[OF F(2)]) auto
hoelzl@40859
   702
    moreover have "\<And>x. x \<in> space M1 \<Longrightarrow> range (\<lambda>i. Pair x -` F i) \<subseteq> sets M2"
hoelzl@41981
   703
      using F by auto
hoelzl@41981
   704
    ultimately show "(\<Sum>n. measure P (F n)) = measure P (\<Union>i. F i)"
hoelzl@41981
   705
      by (simp add: pair_measure_alt vimage_UN M1.positive_integral_suminf[symmetric]
hoelzl@40859
   706
                    M2.measure_countably_additive
hoelzl@40859
   707
               cong: M1.positive_integral_cong)
hoelzl@40859
   708
  qed
hoelzl@40859
   709
hoelzl@41689
   710
  from sigma_finite_up_in_pair_measure_generator guess F :: "nat \<Rightarrow> ('a \<times> 'b) set" .. note F = this
hoelzl@41981
   711
  show "\<exists>F::nat \<Rightarrow> ('a \<times> 'b) set. range F \<subseteq> sets P \<and> (\<Union>i. F i) = space P \<and> (\<forall>i. measure P (F i) \<noteq> \<infinity>)"
hoelzl@40859
   712
  proof (rule exI[of _ F], intro conjI)
hoelzl@41689
   713
    show "range F \<subseteq> sets P" using F by (auto simp: pair_measure_def)
hoelzl@40859
   714
    show "(\<Union>i. F i) = space P"
hoelzl@41981
   715
      using F by (auto simp: pair_measure_def pair_measure_generator_def)
hoelzl@41981
   716
    show "\<forall>i. measure P (F i) \<noteq> \<infinity>" using F by auto
hoelzl@40859
   717
  qed
hoelzl@40859
   718
qed
hoelzl@39088
   719
hoelzl@41661
   720
lemma (in pair_sigma_algebra) sets_swap:
hoelzl@41661
   721
  assumes "A \<in> sets P"
hoelzl@41689
   722
  shows "(\<lambda>(x, y). (y, x)) -` A \<inter> space (M2 \<Otimes>\<^isub>M M1) \<in> sets (M2 \<Otimes>\<^isub>M M1)"
hoelzl@41661
   723
    (is "_ -` A \<inter> space ?Q \<in> sets ?Q")
hoelzl@41661
   724
proof -
hoelzl@41689
   725
  have *: "(\<lambda>(x, y). (y, x)) -` A \<inter> space ?Q = (\<lambda>(x, y). (y, x)) -` A"
hoelzl@41689
   726
    using `A \<in> sets P` sets_into_space by (auto simp: space_pair_measure)
hoelzl@41661
   727
  show ?thesis
hoelzl@41661
   728
    unfolding * using assms by (rule sets_pair_sigma_algebra_swap)
hoelzl@41661
   729
qed
hoelzl@41661
   730
hoelzl@40859
   731
lemma (in pair_sigma_finite) pair_measure_alt2:
hoelzl@41706
   732
  assumes A: "A \<in> sets P"
hoelzl@41689
   733
  shows "\<mu> A = (\<integral>\<^isup>+y. M1.\<mu> ((\<lambda>x. (x, y)) -` A) \<partial>M2)"
hoelzl@40859
   734
    (is "_ = ?\<nu> A")
hoelzl@40859
   735
proof -
hoelzl@41706
   736
  interpret Q: pair_sigma_finite M2 M1 by default
hoelzl@41689
   737
  from sigma_finite_up_in_pair_measure_generator guess F :: "nat \<Rightarrow> ('a \<times> 'b) set" .. note F = this
hoelzl@41689
   738
  have [simp]: "\<And>m. \<lparr> space = space E, sets = sets (sigma E), measure = m \<rparr> = P\<lparr> measure := m \<rparr>"
hoelzl@41689
   739
    unfolding pair_measure_def by simp
hoelzl@41706
   740
hoelzl@41706
   741
  have "\<mu> A = Q.\<mu> ((\<lambda>(y, x). (x, y)) -` A \<inter> space Q.P)"
hoelzl@41706
   742
  proof (rule measure_unique_Int_stable_vimage[OF Int_stable_pair_measure_generator])
hoelzl@41706
   743
    show "measure_space P" "measure_space Q.P" by default
hoelzl@41706
   744
    show "(\<lambda>(y, x). (x, y)) \<in> measurable Q.P P" by (rule Q.pair_sigma_algebra_swap_measurable)
hoelzl@41706
   745
    show "sets (sigma E) = sets P" "space E = space P" "A \<in> sets (sigma E)"
hoelzl@41706
   746
      using assms unfolding pair_measure_def by auto
hoelzl@41981
   747
    show "range F \<subseteq> sets E" "incseq F" "(\<Union>i. F i) = space E" "\<And>i. \<mu> (F i) \<noteq> \<infinity>"
hoelzl@41689
   748
      using F `A \<in> sets P` by (auto simp: pair_measure_def)
hoelzl@40859
   749
    fix X assume "X \<in> sets E"
hoelzl@41706
   750
    then obtain A B where X[simp]: "X = A \<times> B" and AB: "A \<in> sets M1" "B \<in> sets M2"
hoelzl@41689
   751
      unfolding pair_measure_def pair_measure_generator_def by auto
hoelzl@41706
   752
    then have "(\<lambda>(y, x). (x, y)) -` X \<inter> space Q.P = B \<times> A"
hoelzl@41706
   753
      using M1.sets_into_space M2.sets_into_space by (auto simp: space_pair_measure)
hoelzl@41706
   754
    then show "\<mu> X = Q.\<mu> ((\<lambda>(y, x). (x, y)) -` X \<inter> space Q.P)"
hoelzl@41706
   755
      using AB by (simp add: pair_measure_times Q.pair_measure_times ac_simps)
hoelzl@41689
   756
  qed
hoelzl@41706
   757
  then show ?thesis
hoelzl@41706
   758
    using sets_into_space[OF A] Q.pair_measure_alt[OF sets_swap[OF A]]
hoelzl@41706
   759
    by (auto simp add: Q.pair_measure_alt space_pair_measure
hoelzl@41706
   760
             intro!: M2.positive_integral_cong arg_cong[where f="M1.\<mu>"])
hoelzl@41689
   761
qed
hoelzl@41689
   762
hoelzl@41689
   763
lemma pair_sigma_algebra_sigma:
hoelzl@41981
   764
  assumes 1: "incseq S1" "(\<Union>i. S1 i) = space E1" "range S1 \<subseteq> sets E1" and E1: "sets E1 \<subseteq> Pow (space E1)"
hoelzl@41981
   765
  assumes 2: "decseq S2" "(\<Union>i. S2 i) = space E2" "range S2 \<subseteq> sets E2" and E2: "sets E2 \<subseteq> Pow (space E2)"
hoelzl@41689
   766
  shows "sets (sigma (pair_measure_generator (sigma E1) (sigma E2))) = sets (sigma (pair_measure_generator E1 E2))"
hoelzl@41689
   767
    (is "sets ?S = sets ?E")
hoelzl@41689
   768
proof -
hoelzl@41689
   769
  interpret M1: sigma_algebra "sigma E1" using E1 by (rule sigma_algebra_sigma)
hoelzl@41689
   770
  interpret M2: sigma_algebra "sigma E2" using E2 by (rule sigma_algebra_sigma)
hoelzl@41689
   771
  have P: "sets (pair_measure_generator E1 E2) \<subseteq> Pow (space E1 \<times> space E2)"
hoelzl@41689
   772
    using E1 E2 by (auto simp add: pair_measure_generator_def)
hoelzl@41689
   773
  interpret E: sigma_algebra ?E unfolding pair_measure_generator_def
hoelzl@41689
   774
    using E1 E2 by (intro sigma_algebra_sigma) auto
hoelzl@41689
   775
  { fix A assume "A \<in> sets E1"
hoelzl@41689
   776
    then have "fst -` A \<inter> space ?E = A \<times> (\<Union>i. S2 i)"
hoelzl@41981
   777
      using E1 2 unfolding pair_measure_generator_def by auto
hoelzl@41689
   778
    also have "\<dots> = (\<Union>i. A \<times> S2 i)" by auto
hoelzl@41689
   779
    also have "\<dots> \<in> sets ?E" unfolding pair_measure_generator_def sets_sigma
hoelzl@41689
   780
      using 2 `A \<in> sets E1`
hoelzl@41689
   781
      by (intro sigma_sets.Union)
hoelzl@41981
   782
         (force simp: image_subset_iff intro!: sigma_sets.Basic)
hoelzl@41689
   783
    finally have "fst -` A \<inter> space ?E \<in> sets ?E" . }
hoelzl@41689
   784
  moreover
hoelzl@41689
   785
  { fix B assume "B \<in> sets E2"
hoelzl@41689
   786
    then have "snd -` B \<inter> space ?E = (\<Union>i. S1 i) \<times> B"
hoelzl@41981
   787
      using E2 1 unfolding pair_measure_generator_def by auto
hoelzl@41689
   788
    also have "\<dots> = (\<Union>i. S1 i \<times> B)" by auto
hoelzl@41689
   789
    also have "\<dots> \<in> sets ?E"
hoelzl@41689
   790
      using 1 `B \<in> sets E2` unfolding pair_measure_generator_def sets_sigma
hoelzl@41689
   791
      by (intro sigma_sets.Union)
hoelzl@41981
   792
         (force simp: image_subset_iff intro!: sigma_sets.Basic)
hoelzl@41689
   793
    finally have "snd -` B \<inter> space ?E \<in> sets ?E" . }
hoelzl@41689
   794
  ultimately have proj:
hoelzl@41689
   795
    "fst \<in> measurable ?E (sigma E1) \<and> snd \<in> measurable ?E (sigma E2)"
hoelzl@41689
   796
    using E1 E2 by (subst (1 2) E.measurable_iff_sigma)
hoelzl@41689
   797
                   (auto simp: pair_measure_generator_def sets_sigma)
hoelzl@41689
   798
  { fix A B assume A: "A \<in> sets (sigma E1)" and B: "B \<in> sets (sigma E2)"
hoelzl@41689
   799
    with proj have "fst -` A \<inter> space ?E \<in> sets ?E" "snd -` B \<inter> space ?E \<in> sets ?E"
hoelzl@41689
   800
      unfolding measurable_def by simp_all
hoelzl@41689
   801
    moreover have "A \<times> B = (fst -` A \<inter> space ?E) \<inter> (snd -` B \<inter> space ?E)"
hoelzl@41689
   802
      using A B M1.sets_into_space M2.sets_into_space
hoelzl@41689
   803
      by (auto simp: pair_measure_generator_def)
hoelzl@41689
   804
    ultimately have "A \<times> B \<in> sets ?E" by auto }
hoelzl@41689
   805
  then have "sigma_sets (space ?E) (sets (pair_measure_generator (sigma E1) (sigma E2))) \<subseteq> sets ?E"
hoelzl@41689
   806
    by (intro E.sigma_sets_subset) (auto simp add: pair_measure_generator_def sets_sigma)
hoelzl@41689
   807
  then have subset: "sets ?S \<subseteq> sets ?E"
hoelzl@41689
   808
    by (simp add: sets_sigma pair_measure_generator_def)
hoelzl@41689
   809
  show "sets ?S = sets ?E"
hoelzl@41689
   810
  proof (intro set_eqI iffI)
hoelzl@41689
   811
    fix A assume "A \<in> sets ?E" then show "A \<in> sets ?S"
hoelzl@41689
   812
      unfolding sets_sigma
hoelzl@41689
   813
    proof induct
hoelzl@41689
   814
      case (Basic A) then show ?case
hoelzl@41689
   815
        by (auto simp: pair_measure_generator_def sets_sigma intro: sigma_sets.Basic)
hoelzl@41689
   816
    qed (auto intro: sigma_sets.intros simp: pair_measure_generator_def)
hoelzl@41689
   817
  next
hoelzl@41689
   818
    fix A assume "A \<in> sets ?S" then show "A \<in> sets ?E" using subset by auto
hoelzl@41689
   819
  qed
hoelzl@40859
   820
qed
hoelzl@40859
   821
hoelzl@40859
   822
section "Fubinis theorem"
hoelzl@40859
   823
hoelzl@40859
   824
lemma (in pair_sigma_finite) simple_function_cut:
hoelzl@41981
   825
  assumes f: "simple_function P f" "\<And>x. 0 \<le> f x"
hoelzl@41689
   826
  shows "(\<lambda>x. \<integral>\<^isup>+y. f (x, y) \<partial>M2) \<in> borel_measurable M1"
hoelzl@41689
   827
    and "(\<integral>\<^isup>+ x. (\<integral>\<^isup>+ y. f (x, y) \<partial>M2) \<partial>M1) = integral\<^isup>P P f"
hoelzl@40859
   828
proof -
hoelzl@40859
   829
  have f_borel: "f \<in> borel_measurable P"
hoelzl@41981
   830
    using f(1) by (rule borel_measurable_simple_function)
hoelzl@40859
   831
  let "?F z" = "f -` {z} \<inter> space P"
hoelzl@40859
   832
  let "?F' x z" = "Pair x -` ?F z"
hoelzl@40859
   833
  { fix x assume "x \<in> space M1"
hoelzl@40859
   834
    have [simp]: "\<And>z y. indicator (?F z) (x, y) = indicator (?F' x z) y"
hoelzl@40859
   835
      by (auto simp: indicator_def)
hoelzl@40859
   836
    have "\<And>y. y \<in> space M2 \<Longrightarrow> (x, y) \<in> space P" using `x \<in> space M1`
hoelzl@41689
   837
      by (simp add: space_pair_measure)
hoelzl@40859
   838
    moreover have "\<And>x z. ?F' x z \<in> sets M2" using f_borel
hoelzl@40859
   839
      by (intro borel_measurable_vimage measurable_cut_fst)
hoelzl@41689
   840
    ultimately have "simple_function M2 (\<lambda> y. f (x, y))"
hoelzl@40859
   841
      apply (rule_tac M2.simple_function_cong[THEN iffD2, OF _])
hoelzl@41981
   842
      apply (rule simple_function_indicator_representation[OF f(1)])
hoelzl@40859
   843
      using `x \<in> space M1` by (auto simp del: space_sigma) }
hoelzl@40859
   844
  note M2_sf = this
hoelzl@40859
   845
  { fix x assume x: "x \<in> space M1"
hoelzl@41689
   846
    then have "(\<integral>\<^isup>+y. f (x, y) \<partial>M2) = (\<Sum>z\<in>f ` space P. z * M2.\<mu> (?F' x z))"
hoelzl@41981
   847
      unfolding M2.positive_integral_eq_simple_integral[OF M2_sf[OF x] f(2)]
hoelzl@41689
   848
      unfolding simple_integral_def
hoelzl@40859
   849
    proof (safe intro!: setsum_mono_zero_cong_left)
hoelzl@41981
   850
      from f(1) show "finite (f ` space P)" by (rule simple_functionD)
hoelzl@40859
   851
    next
hoelzl@40859
   852
      fix y assume "y \<in> space M2" then show "f (x, y) \<in> f ` space P"
hoelzl@41689
   853
        using `x \<in> space M1` by (auto simp: space_pair_measure)
hoelzl@40859
   854
    next
hoelzl@40859
   855
      fix x' y assume "(x', y) \<in> space P"
hoelzl@40859
   856
        "f (x', y) \<notin> (\<lambda>y. f (x, y)) ` space M2"
hoelzl@40859
   857
      then have *: "?F' x (f (x', y)) = {}"
hoelzl@41689
   858
        by (force simp: space_pair_measure)
hoelzl@41689
   859
      show  "f (x', y) * M2.\<mu> (?F' x (f (x', y))) = 0"
hoelzl@40859
   860
        unfolding * by simp
hoelzl@40859
   861
    qed (simp add: vimage_compose[symmetric] comp_def
hoelzl@41689
   862
                   space_pair_measure) }
hoelzl@40859
   863
  note eq = this
hoelzl@40859
   864
  moreover have "\<And>z. ?F z \<in> sets P"
hoelzl@40859
   865
    by (auto intro!: f_borel borel_measurable_vimage simp del: space_sigma)
hoelzl@41689
   866
  moreover then have "\<And>z. (\<lambda>x. M2.\<mu> (?F' x z)) \<in> borel_measurable M1"
hoelzl@40859
   867
    by (auto intro!: measure_cut_measurable_fst simp del: vimage_Int)
hoelzl@41981
   868
  moreover have *: "\<And>i x. 0 \<le> M2.\<mu> (Pair x -` (f -` {i} \<inter> space P))"
hoelzl@41981
   869
    using f(1)[THEN simple_functionD(2)] f(2) by (intro M2.positive_measure measurable_cut_fst)
hoelzl@41981
   870
  moreover { fix i assume "i \<in> f`space P"
hoelzl@41981
   871
    with * have "\<And>x. 0 \<le> i * M2.\<mu> (Pair x -` (f -` {i} \<inter> space P))"
hoelzl@41981
   872
      using f(2) by auto }
hoelzl@40859
   873
  ultimately
hoelzl@41689
   874
  show "(\<lambda>x. \<integral>\<^isup>+y. f (x, y) \<partial>M2) \<in> borel_measurable M1"
hoelzl@41981
   875
    and "(\<integral>\<^isup>+ x. (\<integral>\<^isup>+ y. f (x, y) \<partial>M2) \<partial>M1) = integral\<^isup>P P f" using f(2)
hoelzl@40859
   876
    by (auto simp del: vimage_Int cong: measurable_cong
hoelzl@41981
   877
             intro!: M1.borel_measurable_extreal_setsum setsum_cong
hoelzl@40859
   878
             simp add: M1.positive_integral_setsum simple_integral_def
hoelzl@40859
   879
                       M1.positive_integral_cmult
hoelzl@40859
   880
                       M1.positive_integral_cong[OF eq]
hoelzl@40859
   881
                       positive_integral_eq_simple_integral[OF f]
hoelzl@40859
   882
                       pair_measure_alt[symmetric])
hoelzl@40859
   883
qed
hoelzl@40859
   884
hoelzl@40859
   885
lemma (in pair_sigma_finite) positive_integral_fst_measurable:
hoelzl@40859
   886
  assumes f: "f \<in> borel_measurable P"
hoelzl@41689
   887
  shows "(\<lambda>x. \<integral>\<^isup>+ y. f (x, y) \<partial>M2) \<in> borel_measurable M1"
hoelzl@40859
   888
      (is "?C f \<in> borel_measurable M1")
hoelzl@41689
   889
    and "(\<integral>\<^isup>+ x. (\<integral>\<^isup>+ y. f (x, y) \<partial>M2) \<partial>M1) = integral\<^isup>P P f"
hoelzl@40859
   890
proof -
hoelzl@41981
   891
  from borel_measurable_implies_simple_function_sequence'[OF f] guess F . note F = this
hoelzl@40859
   892
  then have F_borel: "\<And>i. F i \<in> borel_measurable P"
hoelzl@40859
   893
    by (auto intro: borel_measurable_simple_function)
hoelzl@41981
   894
  note sf = simple_function_cut[OF F(1,5)]
hoelzl@41097
   895
  then have "(\<lambda>x. SUP i. ?C (F i) x) \<in> borel_measurable M1"
hoelzl@41097
   896
    using F(1) by auto
hoelzl@40859
   897
  moreover
hoelzl@40859
   898
  { fix x assume "x \<in> space M1"
hoelzl@41981
   899
    from F measurable_pair_image_snd[OF F_borel`x \<in> space M1`]
hoelzl@41981
   900
    have "(\<integral>\<^isup>+y. (SUP i. F i (x, y)) \<partial>M2) = (SUP i. ?C (F i) x)"
hoelzl@41981
   901
      by (intro M2.positive_integral_monotone_convergence_SUP)
hoelzl@41981
   902
         (auto simp: incseq_Suc_iff le_fun_def)
hoelzl@41981
   903
    then have "(SUP i. ?C (F i) x) = ?C f x"
hoelzl@41981
   904
      unfolding F(4) positive_integral_max_0 by simp }
hoelzl@40859
   905
  note SUPR_C = this
hoelzl@40859
   906
  ultimately show "?C f \<in> borel_measurable M1"
hoelzl@41097
   907
    by (simp cong: measurable_cong)
hoelzl@41689
   908
  have "(\<integral>\<^isup>+x. (SUP i. F i x) \<partial>P) = (SUP i. integral\<^isup>P P (F i))"
hoelzl@41981
   909
    using F_borel F
hoelzl@41981
   910
    by (intro positive_integral_monotone_convergence_SUP) auto
hoelzl@41689
   911
  also have "(SUP i. integral\<^isup>P P (F i)) = (SUP i. \<integral>\<^isup>+ x. (\<integral>\<^isup>+ y. F i (x, y) \<partial>M2) \<partial>M1)"
hoelzl@40859
   912
    unfolding sf(2) by simp
hoelzl@41981
   913
  also have "\<dots> = \<integral>\<^isup>+ x. (SUP i. \<integral>\<^isup>+ y. F i (x, y) \<partial>M2) \<partial>M1" using F sf(1)
hoelzl@41981
   914
    by (intro M1.positive_integral_monotone_convergence_SUP[symmetric])
hoelzl@41981
   915
       (auto intro!: M2.positive_integral_mono M2.positive_integral_positive
hoelzl@41981
   916
                simp: incseq_Suc_iff le_fun_def)
hoelzl@41689
   917
  also have "\<dots> = \<integral>\<^isup>+ x. (\<integral>\<^isup>+ y. (SUP i. F i (x, y)) \<partial>M2) \<partial>M1"
hoelzl@41981
   918
    using F_borel F(2,5)
hoelzl@41981
   919
    by (auto intro!: M1.positive_integral_cong M2.positive_integral_monotone_convergence_SUP[symmetric]
hoelzl@41981
   920
             simp: incseq_Suc_iff le_fun_def measurable_pair_image_snd)
hoelzl@41689
   921
  finally show "(\<integral>\<^isup>+ x. (\<integral>\<^isup>+ y. f (x, y) \<partial>M2) \<partial>M1) = integral\<^isup>P P f"
hoelzl@41981
   922
    using F by (simp add: positive_integral_max_0)
hoelzl@40859
   923
qed
hoelzl@40859
   924
hoelzl@41831
   925
lemma (in pair_sigma_finite) measure_preserving_swap:
hoelzl@41831
   926
  "(\<lambda>(x,y). (y, x)) \<in> measure_preserving (M1 \<Otimes>\<^isub>M M2) (M2 \<Otimes>\<^isub>M M1)"
hoelzl@41831
   927
proof
hoelzl@41831
   928
  interpret Q: pair_sigma_finite M2 M1 by default
hoelzl@41831
   929
  show *: "(\<lambda>(x,y). (y, x)) \<in> measurable (M1 \<Otimes>\<^isub>M M2) (M2 \<Otimes>\<^isub>M M1)"
hoelzl@41831
   930
    using pair_sigma_algebra_swap_measurable .
hoelzl@41831
   931
  fix X assume "X \<in> sets (M2 \<Otimes>\<^isub>M M1)"
hoelzl@41831
   932
  from measurable_sets[OF * this] this Q.sets_into_space[OF this]
hoelzl@41831
   933
  show "measure (M1 \<Otimes>\<^isub>M M2) ((\<lambda>(x, y). (y, x)) -` X \<inter> space P) = measure (M2 \<Otimes>\<^isub>M M1) X"
hoelzl@41831
   934
    by (auto intro!: M1.positive_integral_cong arg_cong[where f="M2.\<mu>"]
hoelzl@41831
   935
      simp: pair_measure_alt Q.pair_measure_alt2 space_pair_measure)
hoelzl@41831
   936
qed
hoelzl@41831
   937
hoelzl@41661
   938
lemma (in pair_sigma_finite) positive_integral_product_swap:
hoelzl@41661
   939
  assumes f: "f \<in> borel_measurable P"
hoelzl@41689
   940
  shows "(\<integral>\<^isup>+x. f (case x of (x,y)\<Rightarrow>(y,x)) \<partial>(M2 \<Otimes>\<^isub>M M1)) = integral\<^isup>P P f"
hoelzl@41661
   941
proof -
hoelzl@41689
   942
  interpret Q: pair_sigma_finite M2 M1 by default
hoelzl@41689
   943
  have "sigma_algebra P" by default
hoelzl@41831
   944
  with f show ?thesis
hoelzl@41831
   945
    by (subst Q.positive_integral_vimage[OF _ Q.measure_preserving_swap]) auto
hoelzl@41661
   946
qed
hoelzl@41661
   947
hoelzl@40859
   948
lemma (in pair_sigma_finite) positive_integral_snd_measurable:
hoelzl@40859
   949
  assumes f: "f \<in> borel_measurable P"
hoelzl@41689
   950
  shows "(\<integral>\<^isup>+ y. (\<integral>\<^isup>+ x. f (x, y) \<partial>M1) \<partial>M2) = integral\<^isup>P P f"
hoelzl@40859
   951
proof -
hoelzl@41689
   952
  interpret Q: pair_sigma_finite M2 M1 by default
hoelzl@40859
   953
  note pair_sigma_algebra_measurable[OF f]
hoelzl@40859
   954
  from Q.positive_integral_fst_measurable[OF this]
hoelzl@41689
   955
  have "(\<integral>\<^isup>+ y. (\<integral>\<^isup>+ x. f (x, y) \<partial>M1) \<partial>M2) = (\<integral>\<^isup>+ (x, y). f (y, x) \<partial>Q.P)"
hoelzl@40859
   956
    by simp
hoelzl@41689
   957
  also have "(\<integral>\<^isup>+ (x, y). f (y, x) \<partial>Q.P) = integral\<^isup>P P f"
hoelzl@41661
   958
    unfolding positive_integral_product_swap[OF f, symmetric]
hoelzl@41661
   959
    by (auto intro!: Q.positive_integral_cong)
hoelzl@40859
   960
  finally show ?thesis .
hoelzl@40859
   961
qed
hoelzl@40859
   962
hoelzl@40859
   963
lemma (in pair_sigma_finite) Fubini:
hoelzl@40859
   964
  assumes f: "f \<in> borel_measurable P"
hoelzl@41689
   965
  shows "(\<integral>\<^isup>+ y. (\<integral>\<^isup>+ x. f (x, y) \<partial>M1) \<partial>M2) = (\<integral>\<^isup>+ x. (\<integral>\<^isup>+ y. f (x, y) \<partial>M2) \<partial>M1)"
hoelzl@40859
   966
  unfolding positive_integral_snd_measurable[OF assms]
hoelzl@40859
   967
  unfolding positive_integral_fst_measurable[OF assms] ..
hoelzl@40859
   968
hoelzl@40859
   969
lemma (in pair_sigma_finite) AE_pair:
hoelzl@41981
   970
  assumes "AE x in P. Q x"
hoelzl@41981
   971
  shows "AE x in M1. (AE y in M2. Q (x, y))"
hoelzl@40859
   972
proof -
hoelzl@41689
   973
  obtain N where N: "N \<in> sets P" "\<mu> N = 0" "{x\<in>space P. \<not> Q x} \<subseteq> N"
hoelzl@40859
   974
    using assms unfolding almost_everywhere_def by auto
hoelzl@40859
   975
  show ?thesis
hoelzl@40859
   976
  proof (rule M1.AE_I)
hoelzl@40859
   977
    from N measure_cut_measurable_fst[OF `N \<in> sets P`]
hoelzl@41689
   978
    show "M1.\<mu> {x\<in>space M1. M2.\<mu> (Pair x -` N) \<noteq> 0} = 0"
hoelzl@41981
   979
      by (auto simp: pair_measure_alt M1.positive_integral_0_iff)
hoelzl@41689
   980
    show "{x \<in> space M1. M2.\<mu> (Pair x -` N) \<noteq> 0} \<in> sets M1"
hoelzl@41981
   981
      by (intro M1.borel_measurable_extreal_neq_const measure_cut_measurable_fst N)
hoelzl@41689
   982
    { fix x assume "x \<in> space M1" "M2.\<mu> (Pair x -` N) = 0"
hoelzl@40859
   983
      have "M2.almost_everywhere (\<lambda>y. Q (x, y))"
hoelzl@40859
   984
      proof (rule M2.AE_I)
hoelzl@41689
   985
        show "M2.\<mu> (Pair x -` N) = 0" by fact
hoelzl@40859
   986
        show "Pair x -` N \<in> sets M2" by (intro measurable_cut_fst N)
hoelzl@40859
   987
        show "{y \<in> space M2. \<not> Q (x, y)} \<subseteq> Pair x -` N"
hoelzl@41689
   988
          using N `x \<in> space M1` unfolding space_sigma space_pair_measure by auto
hoelzl@40859
   989
      qed }
hoelzl@41689
   990
    then show "{x \<in> space M1. \<not> M2.almost_everywhere (\<lambda>y. Q (x, y))} \<subseteq> {x \<in> space M1. M2.\<mu> (Pair x -` N) \<noteq> 0}"
hoelzl@40859
   991
      by auto
hoelzl@39088
   992
  qed
hoelzl@39088
   993
qed
hoelzl@35833
   994
hoelzl@41026
   995
lemma (in pair_sigma_algebra) measurable_product_swap:
hoelzl@41689
   996
  "f \<in> measurable (M2 \<Otimes>\<^isub>M M1) M \<longleftrightarrow> (\<lambda>(x,y). f (y,x)) \<in> measurable P M"
hoelzl@41026
   997
proof -
hoelzl@41026
   998
  interpret Q: pair_sigma_algebra M2 M1 by default
hoelzl@41026
   999
  show ?thesis
hoelzl@41026
  1000
    using pair_sigma_algebra_measurable[of "\<lambda>(x,y). f (y, x)"]
hoelzl@41026
  1001
    by (auto intro!: pair_sigma_algebra_measurable Q.pair_sigma_algebra_measurable iffI)
hoelzl@41026
  1002
qed
hoelzl@41026
  1003
hoelzl@41026
  1004
lemma (in pair_sigma_finite) integrable_product_swap:
hoelzl@41689
  1005
  assumes "integrable P f"
hoelzl@41689
  1006
  shows "integrable (M2 \<Otimes>\<^isub>M M1) (\<lambda>(x,y). f (y,x))"
hoelzl@41026
  1007
proof -
hoelzl@41689
  1008
  interpret Q: pair_sigma_finite M2 M1 by default
hoelzl@41661
  1009
  have *: "(\<lambda>(x,y). f (y,x)) = (\<lambda>x. f (case x of (x,y)\<Rightarrow>(y,x)))" by (auto simp: fun_eq_iff)
hoelzl@41661
  1010
  show ?thesis unfolding *
hoelzl@41689
  1011
    using assms unfolding integrable_def
hoelzl@41661
  1012
    apply (subst (1 2) positive_integral_product_swap)
hoelzl@41689
  1013
    using `integrable P f` unfolding integrable_def
hoelzl@41661
  1014
    by (auto simp: *[symmetric] Q.measurable_product_swap[symmetric])
hoelzl@41661
  1015
qed
hoelzl@41661
  1016
hoelzl@41661
  1017
lemma (in pair_sigma_finite) integrable_product_swap_iff:
hoelzl@41689
  1018
  "integrable (M2 \<Otimes>\<^isub>M M1) (\<lambda>(x,y). f (y,x)) \<longleftrightarrow> integrable P f"
hoelzl@41661
  1019
proof -
hoelzl@41689
  1020
  interpret Q: pair_sigma_finite M2 M1 by default
hoelzl@41661
  1021
  from Q.integrable_product_swap[of "\<lambda>(x,y). f (y,x)"] integrable_product_swap[of f]
hoelzl@41661
  1022
  show ?thesis by auto
hoelzl@41026
  1023
qed
hoelzl@41026
  1024
hoelzl@41026
  1025
lemma (in pair_sigma_finite) integral_product_swap:
hoelzl@41689
  1026
  assumes "integrable P f"
hoelzl@41689
  1027
  shows "(\<integral>(x,y). f (y,x) \<partial>(M2 \<Otimes>\<^isub>M M1)) = integral\<^isup>L P f"
hoelzl@41026
  1028
proof -
hoelzl@41689
  1029
  interpret Q: pair_sigma_finite M2 M1 by default
hoelzl@41661
  1030
  have *: "(\<lambda>(x,y). f (y,x)) = (\<lambda>x. f (case x of (x,y)\<Rightarrow>(y,x)))" by (auto simp: fun_eq_iff)
hoelzl@41026
  1031
  show ?thesis
hoelzl@41689
  1032
    unfolding lebesgue_integral_def *
hoelzl@41661
  1033
    apply (subst (1 2) positive_integral_product_swap)
hoelzl@41689
  1034
    using `integrable P f` unfolding integrable_def
hoelzl@41661
  1035
    by (auto simp: *[symmetric] Q.measurable_product_swap[symmetric])
hoelzl@41026
  1036
qed
hoelzl@41026
  1037
hoelzl@41026
  1038
lemma (in pair_sigma_finite) integrable_fst_measurable:
hoelzl@41689
  1039
  assumes f: "integrable P f"
hoelzl@41689
  1040
  shows "M1.almost_everywhere (\<lambda>x. integrable M2 (\<lambda> y. f (x, y)))" (is "?AE")
hoelzl@41689
  1041
    and "(\<integral>x. (\<integral>y. f (x, y) \<partial>M2) \<partial>M1) = integral\<^isup>L P f" (is "?INT")
hoelzl@41026
  1042
proof -
hoelzl@41981
  1043
  let "?pf x" = "extreal (f x)" and "?nf x" = "extreal (- f x)"
hoelzl@41026
  1044
  have
hoelzl@41026
  1045
    borel: "?nf \<in> borel_measurable P""?pf \<in> borel_measurable P" and
hoelzl@41981
  1046
    int: "integral\<^isup>P P ?nf \<noteq> \<infinity>" "integral\<^isup>P P ?pf \<noteq> \<infinity>"
hoelzl@41026
  1047
    using assms by auto
hoelzl@41981
  1048
  have "(\<integral>\<^isup>+x. (\<integral>\<^isup>+y. extreal (f (x, y)) \<partial>M2) \<partial>M1) \<noteq> \<infinity>"
hoelzl@41981
  1049
     "(\<integral>\<^isup>+x. (\<integral>\<^isup>+y. extreal (- f (x, y)) \<partial>M2) \<partial>M1) \<noteq> \<infinity>"
hoelzl@41026
  1050
    using borel[THEN positive_integral_fst_measurable(1)] int
hoelzl@41026
  1051
    unfolding borel[THEN positive_integral_fst_measurable(2)] by simp_all
hoelzl@41026
  1052
  with borel[THEN positive_integral_fst_measurable(1)]
hoelzl@41981
  1053
  have AE_pos: "AE x in M1. (\<integral>\<^isup>+y. extreal (f (x, y)) \<partial>M2) \<noteq> \<infinity>"
hoelzl@41981
  1054
    "AE x in M1. (\<integral>\<^isup>+y. extreal (- f (x, y)) \<partial>M2) \<noteq> \<infinity>"
hoelzl@41981
  1055
    by (auto intro!: M1.positive_integral_PInf_AE )
hoelzl@41981
  1056
  then have AE: "AE x in M1. \<bar>\<integral>\<^isup>+y. extreal (f (x, y)) \<partial>M2\<bar> \<noteq> \<infinity>"
hoelzl@41981
  1057
    "AE x in M1. \<bar>\<integral>\<^isup>+y. extreal (- f (x, y)) \<partial>M2\<bar> \<noteq> \<infinity>"
hoelzl@41981
  1058
    by (auto simp: M2.positive_integral_positive)
hoelzl@41981
  1059
  from AE_pos show ?AE using assms
hoelzl@41705
  1060
    by (simp add: measurable_pair_image_snd integrable_def)
hoelzl@41981
  1061
  { fix f have "(\<integral>\<^isup>+ x. - \<integral>\<^isup>+ y. extreal (f x y) \<partial>M2 \<partial>M1) = (\<integral>\<^isup>+x. 0 \<partial>M1)"
hoelzl@41981
  1062
      using M2.positive_integral_positive
hoelzl@41981
  1063
      by (intro M1.positive_integral_cong_pos) (auto simp: extreal_uminus_le_reorder)
hoelzl@41981
  1064
    then have "(\<integral>\<^isup>+ x. - \<integral>\<^isup>+ y. extreal (f x y) \<partial>M2 \<partial>M1) = 0" by simp }
hoelzl@41981
  1065
  note this[simp]
hoelzl@41981
  1066
  { fix f assume borel: "(\<lambda>x. extreal (f x)) \<in> borel_measurable P"
hoelzl@41981
  1067
      and int: "integral\<^isup>P P (\<lambda>x. extreal (f x)) \<noteq> \<infinity>"
hoelzl@41981
  1068
      and AE: "M1.almost_everywhere (\<lambda>x. (\<integral>\<^isup>+y. extreal (f (x, y)) \<partial>M2) \<noteq> \<infinity>)"
hoelzl@41981
  1069
    have "integrable M1 (\<lambda>x. real (\<integral>\<^isup>+y. extreal (f (x, y)) \<partial>M2))" (is "integrable M1 ?f")
hoelzl@41705
  1070
    proof (intro integrable_def[THEN iffD2] conjI)
hoelzl@41705
  1071
      show "?f \<in> borel_measurable M1"
hoelzl@41981
  1072
        using borel by (auto intro!: M1.borel_measurable_real_of_extreal positive_integral_fst_measurable)
hoelzl@41981
  1073
      have "(\<integral>\<^isup>+x. extreal (?f x) \<partial>M1) = (\<integral>\<^isup>+x. (\<integral>\<^isup>+y. extreal (f (x, y))  \<partial>M2) \<partial>M1)"
hoelzl@41981
  1074
        using AE M2.positive_integral_positive
hoelzl@41981
  1075
        by (auto intro!: M1.positive_integral_cong_AE simp: extreal_real)
hoelzl@41981
  1076
      then show "(\<integral>\<^isup>+x. extreal (?f x) \<partial>M1) \<noteq> \<infinity>"
hoelzl@41705
  1077
        using positive_integral_fst_measurable[OF borel] int by simp
hoelzl@41981
  1078
      have "(\<integral>\<^isup>+x. extreal (- ?f x) \<partial>M1) = (\<integral>\<^isup>+x. 0 \<partial>M1)"
hoelzl@41981
  1079
        by (intro M1.positive_integral_cong_pos)
hoelzl@41981
  1080
           (simp add: M2.positive_integral_positive real_of_extreal_pos)
hoelzl@41981
  1081
      then show "(\<integral>\<^isup>+x. extreal (- ?f x) \<partial>M1) \<noteq> \<infinity>" by simp
hoelzl@41705
  1082
    qed }
hoelzl@41981
  1083
  with this[OF borel(1) int(1) AE_pos(2)] this[OF borel(2) int(2) AE_pos(1)]
hoelzl@41705
  1084
  show ?INT
hoelzl@41689
  1085
    unfolding lebesgue_integral_def[of P] lebesgue_integral_def[of M2]
hoelzl@41026
  1086
      borel[THEN positive_integral_fst_measurable(2), symmetric]
hoelzl@41981
  1087
    using AE[THEN M1.integral_real]
hoelzl@41981
  1088
    by simp
hoelzl@41026
  1089
qed
hoelzl@41026
  1090
hoelzl@41026
  1091
lemma (in pair_sigma_finite) integrable_snd_measurable:
hoelzl@41689
  1092
  assumes f: "integrable P f"
hoelzl@41689
  1093
  shows "M2.almost_everywhere (\<lambda>y. integrable M1 (\<lambda>x. f (x, y)))" (is "?AE")
hoelzl@41689
  1094
    and "(\<integral>y. (\<integral>x. f (x, y) \<partial>M1) \<partial>M2) = integral\<^isup>L P f" (is "?INT")
hoelzl@41026
  1095
proof -
hoelzl@41689
  1096
  interpret Q: pair_sigma_finite M2 M1 by default
hoelzl@41689
  1097
  have Q_int: "integrable Q.P (\<lambda>(x, y). f (y, x))"
hoelzl@41661
  1098
    using f unfolding integrable_product_swap_iff .
hoelzl@41026
  1099
  show ?INT
hoelzl@41026
  1100
    using Q.integrable_fst_measurable(2)[OF Q_int]
hoelzl@41661
  1101
    using integral_product_swap[OF f] by simp
hoelzl@41026
  1102
  show ?AE
hoelzl@41026
  1103
    using Q.integrable_fst_measurable(1)[OF Q_int]
hoelzl@41026
  1104
    by simp
hoelzl@41026
  1105
qed
hoelzl@41026
  1106
hoelzl@41026
  1107
lemma (in pair_sigma_finite) Fubini_integral:
hoelzl@41689
  1108
  assumes f: "integrable P f"
hoelzl@41689
  1109
  shows "(\<integral>y. (\<integral>x. f (x, y) \<partial>M1) \<partial>M2) = (\<integral>x. (\<integral>y. f (x, y) \<partial>M2) \<partial>M1)"
hoelzl@41026
  1110
  unfolding integrable_snd_measurable[OF assms]
hoelzl@41026
  1111
  unfolding integrable_fst_measurable[OF assms] ..
hoelzl@41026
  1112
hoelzl@40859
  1113
section "Finite product spaces"
hoelzl@40859
  1114
hoelzl@40859
  1115
section "Products"
hoelzl@40859
  1116
hoelzl@40859
  1117
locale product_sigma_algebra =
hoelzl@41689
  1118
  fixes M :: "'i \<Rightarrow> ('a, 'b) measure_space_scheme"
hoelzl@40859
  1119
  assumes sigma_algebras: "\<And>i. sigma_algebra (M i)"
hoelzl@40859
  1120
hoelzl@41689
  1121
locale finite_product_sigma_algebra = product_sigma_algebra M
hoelzl@41689
  1122
  for M :: "'i \<Rightarrow> ('a, 'b) measure_space_scheme" +
hoelzl@40859
  1123
  fixes I :: "'i set"
hoelzl@40859
  1124
  assumes finite_index: "finite I"
hoelzl@40859
  1125
hoelzl@41689
  1126
definition
hoelzl@41689
  1127
  "product_algebra_generator I M = \<lparr> space = (\<Pi>\<^isub>E i \<in> I. space (M i)),
hoelzl@41689
  1128
    sets = Pi\<^isub>E I ` (\<Pi> i \<in> I. sets (M i)),
hoelzl@41689
  1129
    measure = \<lambda>A. (\<Prod>i\<in>I. measure (M i) ((SOME F. A = Pi\<^isub>E I F) i)) \<rparr>"
hoelzl@41689
  1130
hoelzl@41689
  1131
definition product_algebra_def:
hoelzl@41689
  1132
  "Pi\<^isub>M I M = sigma (product_algebra_generator I M)
hoelzl@41689
  1133
    \<lparr> measure := (SOME \<mu>. sigma_finite_measure (sigma (product_algebra_generator I M) \<lparr> measure := \<mu> \<rparr>) \<and>
hoelzl@41689
  1134
      (\<forall>A\<in>\<Pi> i\<in>I. sets (M i). \<mu> (Pi\<^isub>E I A) = (\<Prod>i\<in>I. measure (M i) (A i))))\<rparr>"
hoelzl@41689
  1135
hoelzl@40859
  1136
syntax
hoelzl@41689
  1137
  "_PiM"  :: "[pttrn, 'i set, ('a, 'b) measure_space_scheme] =>
hoelzl@41689
  1138
              ('i => 'a, 'b) measure_space_scheme"  ("(3PIM _:_./ _)" 10)
hoelzl@40859
  1139
hoelzl@40859
  1140
syntax (xsymbols)
hoelzl@41689
  1141
  "_PiM" :: "[pttrn, 'i set, ('a, 'b) measure_space_scheme] =>
hoelzl@41689
  1142
             ('i => 'a, 'b) measure_space_scheme"  ("(3\<Pi>\<^isub>M _\<in>_./ _)"   10)
hoelzl@40859
  1143
hoelzl@40859
  1144
syntax (HTML output)
hoelzl@41689
  1145
  "_PiM" :: "[pttrn, 'i set, ('a, 'b) measure_space_scheme] =>
hoelzl@41689
  1146
             ('i => 'a, 'b) measure_space_scheme"  ("(3\<Pi>\<^isub>M _\<in>_./ _)"   10)
hoelzl@40859
  1147
hoelzl@40859
  1148
translations
hoelzl@41689
  1149
  "PIM x:I. M" == "CONST Pi\<^isub>M I (%x. M)"
hoelzl@40859
  1150
hoelzl@41689
  1151
abbreviation (in finite_product_sigma_algebra) "G \<equiv> product_algebra_generator I M"
hoelzl@41689
  1152
abbreviation (in finite_product_sigma_algebra) "P \<equiv> Pi\<^isub>M I M"
hoelzl@40859
  1153
hoelzl@40859
  1154
sublocale product_sigma_algebra \<subseteq> M: sigma_algebra "M i" for i by (rule sigma_algebras)
hoelzl@40859
  1155
hoelzl@41689
  1156
lemma sigma_into_space:
hoelzl@41689
  1157
  assumes "sets M \<subseteq> Pow (space M)"
hoelzl@41689
  1158
  shows "sets (sigma M) \<subseteq> Pow (space M)"
hoelzl@41689
  1159
  using sigma_sets_into_sp[OF assms] unfolding sigma_def by auto
hoelzl@41689
  1160
hoelzl@41689
  1161
lemma (in product_sigma_algebra) product_algebra_generator_into_space:
hoelzl@41689
  1162
  "sets (product_algebra_generator I M) \<subseteq> Pow (space (product_algebra_generator I M))"
hoelzl@41689
  1163
  using M.sets_into_space unfolding product_algebra_generator_def
hoelzl@40859
  1164
  by auto blast
hoelzl@40859
  1165
hoelzl@41689
  1166
lemma (in product_sigma_algebra) product_algebra_into_space:
hoelzl@41689
  1167
  "sets (Pi\<^isub>M I M) \<subseteq> Pow (space (Pi\<^isub>M I M))"
hoelzl@41689
  1168
  using product_algebra_generator_into_space
hoelzl@41689
  1169
  by (auto intro!: sigma_into_space simp add: product_algebra_def)
hoelzl@41689
  1170
hoelzl@41689
  1171
lemma (in product_sigma_algebra) sigma_algebra_product_algebra: "sigma_algebra (Pi\<^isub>M I M)"
hoelzl@41689
  1172
  using product_algebra_generator_into_space unfolding product_algebra_def
hoelzl@41689
  1173
  by (rule sigma_algebra.sigma_algebra_cong[OF sigma_algebra_sigma]) simp_all
hoelzl@41689
  1174
hoelzl@40859
  1175
sublocale finite_product_sigma_algebra \<subseteq> sigma_algebra P
hoelzl@41689
  1176
  using sigma_algebra_product_algebra .
hoelzl@40859
  1177
hoelzl@41095
  1178
lemma product_algebraE:
hoelzl@41689
  1179
  assumes "A \<in> sets (product_algebra_generator I M)"
hoelzl@41095
  1180
  obtains E where "A = Pi\<^isub>E I E" "E \<in> (\<Pi> i\<in>I. sets (M i))"
hoelzl@41689
  1181
  using assms unfolding product_algebra_generator_def by auto
hoelzl@41095
  1182
hoelzl@41689
  1183
lemma product_algebra_generatorI[intro]:
hoelzl@41095
  1184
  assumes "E \<in> (\<Pi> i\<in>I. sets (M i))"
hoelzl@41689
  1185
  shows "Pi\<^isub>E I E \<in> sets (product_algebra_generator I M)"
hoelzl@41689
  1186
  using assms unfolding product_algebra_generator_def by auto
hoelzl@41689
  1187
hoelzl@41689
  1188
lemma space_product_algebra_generator[simp]:
hoelzl@41689
  1189
  "space (product_algebra_generator I M) = Pi\<^isub>E I (\<lambda>i. space (M i))"
hoelzl@41689
  1190
  unfolding product_algebra_generator_def by simp
hoelzl@41095
  1191
hoelzl@40859
  1192
lemma space_product_algebra[simp]:
hoelzl@41689
  1193
  "space (Pi\<^isub>M I M) = (\<Pi>\<^isub>E i\<in>I. space (M i))"
hoelzl@41689
  1194
  unfolding product_algebra_def product_algebra_generator_def by simp
hoelzl@40859
  1195
hoelzl@41689
  1196
lemma sets_product_algebra:
hoelzl@41689
  1197
  "sets (Pi\<^isub>M I M) = sets (sigma (product_algebra_generator I M))"
hoelzl@41689
  1198
  unfolding product_algebra_def sigma_def by simp
hoelzl@41689
  1199
hoelzl@41689
  1200
lemma product_algebra_generator_sets_into_space:
hoelzl@41095
  1201
  assumes "\<And>i. i\<in>I \<Longrightarrow> sets (M i) \<subseteq> Pow (space (M i))"
hoelzl@41689
  1202
  shows "sets (product_algebra_generator I M) \<subseteq> Pow (space (product_algebra_generator I M))"
hoelzl@41689
  1203
  using assms by (auto simp: product_algebra_generator_def) blast
hoelzl@40859
  1204
hoelzl@40859
  1205
lemma (in finite_product_sigma_algebra) in_P[simp, intro]:
hoelzl@40859
  1206
  "\<lbrakk> \<And>i. i \<in> I \<Longrightarrow> A i \<in> sets (M i) \<rbrakk> \<Longrightarrow> Pi\<^isub>E I A \<in> sets P"
hoelzl@41689
  1207
  by (auto simp: sets_product_algebra)
hoelzl@41026
  1208
hoelzl@40859
  1209
section "Generating set generates also product algebra"
hoelzl@40859
  1210
hoelzl@40859
  1211
lemma sigma_product_algebra_sigma_eq:
hoelzl@40859
  1212
  assumes "finite I"
hoelzl@41981
  1213
  assumes mono: "\<And>i. i \<in> I \<Longrightarrow> incseq (S i)"
hoelzl@41981
  1214
  assumes union: "\<And>i. i \<in> I \<Longrightarrow> (\<Union>j. S i j) = space (E i)"
hoelzl@40859
  1215
  assumes sets_into: "\<And>i. i \<in> I \<Longrightarrow> range (S i) \<subseteq> sets (E i)"
hoelzl@40859
  1216
  and E: "\<And>i. sets (E i) \<subseteq> Pow (space (E i))"
hoelzl@41689
  1217
  shows "sets (\<Pi>\<^isub>M i\<in>I. sigma (E i)) = sets (\<Pi>\<^isub>M i\<in>I. E i)"
hoelzl@41689
  1218
    (is "sets ?S = sets ?E")
hoelzl@40859
  1219
proof cases
hoelzl@41689
  1220
  assume "I = {}" then show ?thesis
hoelzl@41689
  1221
    by (simp add: product_algebra_def product_algebra_generator_def)
hoelzl@40859
  1222
next
hoelzl@40859
  1223
  assume "I \<noteq> {}"
hoelzl@40859
  1224
  interpret E: sigma_algebra "sigma (E i)" for i
hoelzl@40859
  1225
    using E by (rule sigma_algebra_sigma)
hoelzl@40859
  1226
  have into_space[intro]: "\<And>i x A. A \<in> sets (E i) \<Longrightarrow> x i \<in> A \<Longrightarrow> x i \<in> space (E i)"
hoelzl@40859
  1227
    using E by auto
hoelzl@40859
  1228
  interpret G: sigma_algebra ?E
hoelzl@41689
  1229
    unfolding product_algebra_def product_algebra_generator_def using E
hoelzl@41689
  1230
    by (intro sigma_algebra.sigma_algebra_cong[OF sigma_algebra_sigma]) (auto dest: Pi_mem)
hoelzl@40859
  1231
  { fix A i assume "i \<in> I" and A: "A \<in> sets (E i)"
hoelzl@40859
  1232
    then have "(\<lambda>x. x i) -` A \<inter> space ?E = (\<Pi>\<^isub>E j\<in>I. if j = i then A else \<Union>n. S j n) \<inter> space ?E"
hoelzl@41981
  1233
      using mono union unfolding incseq_Suc_iff space_product_algebra
hoelzl@41689
  1234
      by (auto dest: Pi_mem)
hoelzl@40859
  1235
    also have "\<dots> = (\<Union>n. (\<Pi>\<^isub>E j\<in>I. if j = i then A else S j n))"
hoelzl@41689
  1236
      unfolding space_product_algebra
hoelzl@40859
  1237
      apply simp
hoelzl@40859
  1238
      apply (subst Pi_UN[OF `finite I`])
hoelzl@41981
  1239
      using mono[THEN incseqD] apply simp
hoelzl@40859
  1240
      apply (simp add: PiE_Int)
hoelzl@40859
  1241
      apply (intro PiE_cong)
hoelzl@40859
  1242
      using A sets_into by (auto intro!: into_space)
hoelzl@41689
  1243
    also have "\<dots> \<in> sets ?E"
hoelzl@40859
  1244
      using sets_into `A \<in> sets (E i)`
hoelzl@41689
  1245
      unfolding sets_product_algebra sets_sigma
hoelzl@40859
  1246
      by (intro sigma_sets.Union)
hoelzl@40859
  1247
         (auto simp: image_subset_iff intro!: sigma_sets.Basic)
hoelzl@40859
  1248
    finally have "(\<lambda>x. x i) -` A \<inter> space ?E \<in> sets ?E" . }
hoelzl@40859
  1249
  then have proj:
hoelzl@40859
  1250
    "\<And>i. i\<in>I \<Longrightarrow> (\<lambda>x. x i) \<in> measurable ?E (sigma (E i))"
hoelzl@40859
  1251
    using E by (subst G.measurable_iff_sigma)
hoelzl@41689
  1252
               (auto simp: sets_product_algebra sets_sigma)
hoelzl@40859
  1253
  { fix A assume A: "\<And>i. i \<in> I \<Longrightarrow> A i \<in> sets (sigma (E i))"
hoelzl@40859
  1254
    with proj have basic: "\<And>i. i \<in> I \<Longrightarrow> (\<lambda>x. x i) -` (A i) \<inter> space ?E \<in> sets ?E"
hoelzl@40859
  1255
      unfolding measurable_def by simp
hoelzl@40859
  1256
    have "Pi\<^isub>E I A = (\<Inter>i\<in>I. (\<lambda>x. x i) -` (A i) \<inter> space ?E)"
hoelzl@40859
  1257
      using A E.sets_into_space `I \<noteq> {}` unfolding product_algebra_def by auto blast
hoelzl@40859
  1258
    then have "Pi\<^isub>E I A \<in> sets ?E"
hoelzl@40859
  1259
      using G.finite_INT[OF `finite I` `I \<noteq> {}` basic, of "\<lambda>i. i"] by simp }
hoelzl@41689
  1260
  then have "sigma_sets (space ?E) (sets (product_algebra_generator I (\<lambda>i. sigma (E i)))) \<subseteq> sets ?E"
hoelzl@41689
  1261
    by (intro G.sigma_sets_subset) (auto simp add: product_algebra_generator_def)
hoelzl@40859
  1262
  then have subset: "sets ?S \<subseteq> sets ?E"
hoelzl@41689
  1263
    by (simp add: sets_sigma sets_product_algebra)
hoelzl@41689
  1264
  show "sets ?S = sets ?E"
hoelzl@40859
  1265
  proof (intro set_eqI iffI)
hoelzl@40859
  1266
    fix A assume "A \<in> sets ?E" then show "A \<in> sets ?S"
hoelzl@41689
  1267
      unfolding sets_sigma sets_product_algebra
hoelzl@40859
  1268
    proof induct
hoelzl@40859
  1269
      case (Basic A) then show ?case
hoelzl@41689
  1270
        by (auto simp: sets_sigma product_algebra_generator_def intro: sigma_sets.Basic)
hoelzl@41689
  1271
    qed (auto intro: sigma_sets.intros simp: product_algebra_generator_def)
hoelzl@40859
  1272
  next
hoelzl@40859
  1273
    fix A assume "A \<in> sets ?S" then show "A \<in> sets ?E" using subset by auto
hoelzl@40859
  1274
  qed
hoelzl@41689
  1275
qed
hoelzl@41689
  1276
hoelzl@41689
  1277
lemma product_algebraI[intro]:
hoelzl@41689
  1278
    "E \<in> (\<Pi> i\<in>I. sets (M i)) \<Longrightarrow> Pi\<^isub>E I E \<in> sets (Pi\<^isub>M I M)"
hoelzl@41689
  1279
  using assms unfolding product_algebra_def by (auto intro: product_algebra_generatorI)
hoelzl@41689
  1280
hoelzl@41689
  1281
lemma (in product_sigma_algebra) measurable_component_update:
hoelzl@41689
  1282
  assumes "x \<in> space (Pi\<^isub>M I M)" and "i \<notin> I"
hoelzl@41689
  1283
  shows "(\<lambda>v. x(i := v)) \<in> measurable (M i) (Pi\<^isub>M (insert i I) M)" (is "?f \<in> _")
hoelzl@41689
  1284
  unfolding product_algebra_def apply simp
hoelzl@41689
  1285
proof (intro measurable_sigma)
hoelzl@41689
  1286
  let ?G = "product_algebra_generator (insert i I) M"
hoelzl@41689
  1287
  show "sets ?G \<subseteq> Pow (space ?G)" using product_algebra_generator_into_space .
hoelzl@41689
  1288
  show "?f \<in> space (M i) \<rightarrow> space ?G"
hoelzl@41689
  1289
    using M.sets_into_space assms by auto
hoelzl@41689
  1290
  fix A assume "A \<in> sets ?G"
hoelzl@41689
  1291
  from product_algebraE[OF this] guess E . note E = this
hoelzl@41689
  1292
  then have "?f -` A \<inter> space (M i) = E i \<or> ?f -` A \<inter> space (M i) = {}"
hoelzl@41689
  1293
    using M.sets_into_space assms by auto
hoelzl@41689
  1294
  then show "?f -` A \<inter> space (M i) \<in> sets (M i)"
hoelzl@41689
  1295
    using E by (auto intro!: product_algebraI)
hoelzl@40859
  1296
qed
hoelzl@40859
  1297
hoelzl@41689
  1298
lemma (in product_sigma_algebra) measurable_add_dim:
hoelzl@41689
  1299
  assumes "i \<notin> I"
hoelzl@41689
  1300
  shows "(\<lambda>(f, y). f(i := y)) \<in> measurable (Pi\<^isub>M I M \<Otimes>\<^isub>M M i) (Pi\<^isub>M (insert i I) M)"
hoelzl@41689
  1301
proof -
hoelzl@41689
  1302
  let ?f = "(\<lambda>(f, y). f(i := y))" and ?G = "product_algebra_generator (insert i I) M"
hoelzl@41689
  1303
  interpret Ii: pair_sigma_algebra "Pi\<^isub>M I M" "M i"
hoelzl@41689
  1304
    unfolding pair_sigma_algebra_def
hoelzl@41689
  1305
    by (intro sigma_algebra_product_algebra sigma_algebras conjI)
hoelzl@41689
  1306
  have "?f \<in> measurable Ii.P (sigma ?G)"
hoelzl@41689
  1307
  proof (rule Ii.measurable_sigma)
hoelzl@41689
  1308
    show "sets ?G \<subseteq> Pow (space ?G)"
hoelzl@41689
  1309
      using product_algebra_generator_into_space .
hoelzl@41689
  1310
    show "?f \<in> space (Pi\<^isub>M I M \<Otimes>\<^isub>M M i) \<rightarrow> space ?G"
hoelzl@41689
  1311
      by (auto simp: space_pair_measure)
hoelzl@41689
  1312
  next
hoelzl@41689
  1313
    fix A assume "A \<in> sets ?G"
hoelzl@41689
  1314
    then obtain F where "A = Pi\<^isub>E (insert i I) F"
hoelzl@41689
  1315
      and F: "\<And>j. j \<in> I \<Longrightarrow> F j \<in> sets (M j)" "F i \<in> sets (M i)"
hoelzl@41689
  1316
      by (auto elim!: product_algebraE)
hoelzl@41689
  1317
    then have "?f -` A \<inter> space (Pi\<^isub>M I M \<Otimes>\<^isub>M M i) = Pi\<^isub>E I F \<times> (F i)"
hoelzl@41689
  1318
      using sets_into_space `i \<notin> I`
hoelzl@41689
  1319
      by (auto simp add: space_pair_measure) blast+
hoelzl@41689
  1320
    then show "?f -` A \<inter> space (Pi\<^isub>M I M \<Otimes>\<^isub>M M i) \<in> sets (Pi\<^isub>M I M \<Otimes>\<^isub>M M i)"
hoelzl@41689
  1321
      using F by (auto intro!: pair_measureI)
hoelzl@41689
  1322
  qed
hoelzl@41689
  1323
  then show ?thesis
hoelzl@41689
  1324
    by (simp add: product_algebra_def)
hoelzl@41689
  1325
qed
hoelzl@41095
  1326
hoelzl@41095
  1327
lemma (in product_sigma_algebra) measurable_merge:
hoelzl@41095
  1328
  assumes [simp]: "I \<inter> J = {}"
hoelzl@41689
  1329
  shows "(\<lambda>(x, y). merge I x J y) \<in> measurable (Pi\<^isub>M I M \<Otimes>\<^isub>M Pi\<^isub>M J M) (Pi\<^isub>M (I \<union> J) M)"
hoelzl@40859
  1330
proof -
hoelzl@41689
  1331
  let ?I = "Pi\<^isub>M I M" and ?J = "Pi\<^isub>M J M"
hoelzl@41689
  1332
  interpret P: sigma_algebra "?I \<Otimes>\<^isub>M ?J"
hoelzl@41689
  1333
    by (intro sigma_algebra_pair_measure product_algebra_into_space)
hoelzl@41689
  1334
  let ?f = "\<lambda>(x, y). merge I x J y"
hoelzl@41689
  1335
  let ?G = "product_algebra_generator (I \<union> J) M"
hoelzl@41689
  1336
  have "?f \<in> measurable (?I \<Otimes>\<^isub>M ?J) (sigma ?G)"
hoelzl@41689
  1337
  proof (rule P.measurable_sigma)
hoelzl@41689
  1338
    fix A assume "A \<in> sets ?G"
hoelzl@41689
  1339
    from product_algebraE[OF this]
hoelzl@41689
  1340
    obtain E where E: "A = Pi\<^isub>E (I \<union> J) E" "E \<in> (\<Pi> i\<in>I \<union> J. sets (M i))" .
hoelzl@41689
  1341
    then have *: "?f -` A \<inter> space (?I \<Otimes>\<^isub>M ?J) = Pi\<^isub>E I E \<times> Pi\<^isub>E J E"
hoelzl@41689
  1342
      using sets_into_space `I \<inter> J = {}`
hoelzl@41981
  134