src/HOL/Probability/Infinite_Product_Measure.thy
 author hoelzl Wed Oct 10 12:12:23 2012 +0200 (2012-10-10) changeset 49784 5e5b2da42a69 parent 49780 92a58f80b20c child 49804 ace9b5a83e60 permissions -rw-r--r--
remove incseq assumption from measure_eqI_generator_eq
```     1 (*  Title:      HOL/Probability/Infinite_Product_Measure.thy
```
```     2     Author:     Johannes Hölzl, TU München
```
```     3 *)
```
```     4
```
```     5 header {*Infinite Product Measure*}
```
```     6
```
```     7 theory Infinite_Product_Measure
```
```     8   imports Probability_Measure Caratheodory
```
```     9 begin
```
```    10
```
```    11 lemma restrict_extensional_sub[intro]: "A \<subseteq> B \<Longrightarrow> restrict f A \<in> extensional B"
```
```    12   unfolding restrict_def extensional_def by auto
```
```    13
```
```    14 lemma restrict_restrict[simp]: "restrict (restrict f A) B = restrict f (A \<inter> B)"
```
```    15   unfolding restrict_def by (simp add: fun_eq_iff)
```
```    16
```
```    17 lemma split_merge: "P (merge I J (x,y) i) \<longleftrightarrow> (i \<in> I \<longrightarrow> P (x i)) \<and> (i \<in> J - I \<longrightarrow> P (y i)) \<and> (i \<notin> I \<union> J \<longrightarrow> P undefined)"
```
```    18   unfolding merge_def by auto
```
```    19
```
```    20 lemma extensional_merge_sub: "I \<union> J \<subseteq> K \<Longrightarrow> merge I J (x, y) \<in> extensional K"
```
```    21   unfolding merge_def extensional_def by auto
```
```    22
```
```    23 lemma injective_vimage_restrict:
```
```    24   assumes J: "J \<subseteq> I"
```
```    25   and sets: "A \<subseteq> (\<Pi>\<^isub>E i\<in>J. S i)" "B \<subseteq> (\<Pi>\<^isub>E i\<in>J. S i)" and ne: "(\<Pi>\<^isub>E i\<in>I. S i) \<noteq> {}"
```
```    26   and eq: "(\<lambda>x. restrict x J) -` A \<inter> (\<Pi>\<^isub>E i\<in>I. S i) = (\<lambda>x. restrict x J) -` B \<inter> (\<Pi>\<^isub>E i\<in>I. S i)"
```
```    27   shows "A = B"
```
```    28 proof  (intro set_eqI)
```
```    29   fix x
```
```    30   from ne obtain y where y: "\<And>i. i \<in> I \<Longrightarrow> y i \<in> S i" by auto
```
```    31   have "J \<inter> (I - J) = {}" by auto
```
```    32   show "x \<in> A \<longleftrightarrow> x \<in> B"
```
```    33   proof cases
```
```    34     assume x: "x \<in> (\<Pi>\<^isub>E i\<in>J. S i)"
```
```    35     have "x \<in> A \<longleftrightarrow> merge J (I - J) (x,y) \<in> (\<lambda>x. restrict x J) -` A \<inter> (\<Pi>\<^isub>E i\<in>I. S i)"
```
```    36       using y x `J \<subseteq> I` by (auto simp add: Pi_iff extensional_restrict extensional_merge_sub split: split_merge)
```
```    37     then show "x \<in> A \<longleftrightarrow> x \<in> B"
```
```    38       using y x `J \<subseteq> I` by (auto simp add: Pi_iff extensional_restrict extensional_merge_sub eq split: split_merge)
```
```    39   next
```
```    40     assume "x \<notin> (\<Pi>\<^isub>E i\<in>J. S i)" with sets show "x \<in> A \<longleftrightarrow> x \<in> B" by auto
```
```    41   qed
```
```    42 qed
```
```    43
```
```    44 lemma prod_algebraI_finite:
```
```    45   "finite I \<Longrightarrow> (\<forall>i\<in>I. E i \<in> sets (M i)) \<Longrightarrow> (Pi\<^isub>E I E) \<in> prod_algebra I M"
```
```    46   using prod_algebraI[of I I E M] prod_emb_PiE_same_index[of I E M, OF sets_into_space] by simp
```
```    47
```
```    48 lemma Int_stable_PiE: "Int_stable {Pi\<^isub>E J E | E. \<forall>i\<in>I. E i \<in> sets (M i)}"
```
```    49 proof (safe intro!: Int_stableI)
```
```    50   fix E F assume "\<forall>i\<in>I. E i \<in> sets (M i)" "\<forall>i\<in>I. F i \<in> sets (M i)"
```
```    51   then show "\<exists>G. Pi\<^isub>E J E \<inter> Pi\<^isub>E J F = Pi\<^isub>E J G \<and> (\<forall>i\<in>I. G i \<in> sets (M i))"
```
```    52     by (auto intro!: exI[of _ "\<lambda>i. E i \<inter> F i"])
```
```    53 qed
```
```    54
```
```    55 lemma prod_emb_trans[simp]:
```
```    56   "J \<subseteq> K \<Longrightarrow> K \<subseteq> L \<Longrightarrow> prod_emb L M K (prod_emb K M J X) = prod_emb L M J X"
```
```    57   by (auto simp add: Int_absorb1 prod_emb_def)
```
```    58
```
```    59 lemma prod_emb_Pi:
```
```    60   assumes "X \<in> (\<Pi> j\<in>J. sets (M j))" "J \<subseteq> K"
```
```    61   shows "prod_emb K M J (Pi\<^isub>E J X) = (\<Pi>\<^isub>E i\<in>K. if i \<in> J then X i else space (M i))"
```
```    62   using assms space_closed
```
```    63   by (auto simp: prod_emb_def Pi_iff split: split_if_asm) blast+
```
```    64
```
```    65 lemma prod_emb_id:
```
```    66   "B \<subseteq> (\<Pi>\<^isub>E i\<in>L. space (M i)) \<Longrightarrow> prod_emb L M L B = B"
```
```    67   by (auto simp: prod_emb_def Pi_iff subset_eq extensional_restrict)
```
```    68
```
```    69 lemma measurable_prod_emb[intro, simp]:
```
```    70   "J \<subseteq> L \<Longrightarrow> X \<in> sets (Pi\<^isub>M J M) \<Longrightarrow> prod_emb L M J X \<in> sets (Pi\<^isub>M L M)"
```
```    71   unfolding prod_emb_def space_PiM[symmetric]
```
```    72   by (auto intro!: measurable_sets measurable_restrict measurable_component_singleton)
```
```    73
```
```    74 lemma measurable_restrict_subset: "J \<subseteq> L \<Longrightarrow> (\<lambda>f. restrict f J) \<in> measurable (Pi\<^isub>M L M) (Pi\<^isub>M J M)"
```
```    75   by (intro measurable_restrict measurable_component_singleton) auto
```
```    76
```
```    77 lemma (in product_prob_space) distr_restrict:
```
```    78   assumes "J \<noteq> {}" "J \<subseteq> K" "finite K"
```
```    79   shows "(\<Pi>\<^isub>M i\<in>J. M i) = distr (\<Pi>\<^isub>M i\<in>K. M i) (\<Pi>\<^isub>M i\<in>J. M i) (\<lambda>f. restrict f J)" (is "?P = ?D")
```
```    80 proof (rule measure_eqI_generator_eq)
```
```    81   have "finite J" using `J \<subseteq> K` `finite K` by (auto simp add: finite_subset)
```
```    82   interpret J: finite_product_prob_space M J proof qed fact
```
```    83   interpret K: finite_product_prob_space M K proof qed fact
```
```    84
```
```    85   let ?J = "{Pi\<^isub>E J E | E. \<forall>i\<in>J. E i \<in> sets (M i)}"
```
```    86   let ?F = "\<lambda>i. \<Pi>\<^isub>E k\<in>J. space (M k)"
```
```    87   let ?\<Omega> = "(\<Pi>\<^isub>E k\<in>J. space (M k))"
```
```    88   show "Int_stable ?J"
```
```    89     by (rule Int_stable_PiE)
```
```    90   show "range ?F \<subseteq> ?J" "(\<Union>i. ?F i) = ?\<Omega>"
```
```    91     using `finite J` by (auto intro!: prod_algebraI_finite)
```
```    92   { fix i show "emeasure ?P (?F i) \<noteq> \<infinity>" by simp }
```
```    93   show "?J \<subseteq> Pow ?\<Omega>" by (auto simp: Pi_iff dest: sets_into_space)
```
```    94   show "sets (\<Pi>\<^isub>M i\<in>J. M i) = sigma_sets ?\<Omega> ?J" "sets ?D = sigma_sets ?\<Omega> ?J"
```
```    95     using `finite J` by (simp_all add: sets_PiM prod_algebra_eq_finite Pi_iff)
```
```    96
```
```    97   fix X assume "X \<in> ?J"
```
```    98   then obtain E where [simp]: "X = Pi\<^isub>E J E" and E: "\<forall>i\<in>J. E i \<in> sets (M i)" by auto
```
```    99   with `finite J` have X: "X \<in> sets (Pi\<^isub>M J M)" by auto
```
```   100
```
```   101   have "emeasure ?P X = (\<Prod> i\<in>J. emeasure (M i) (E i))"
```
```   102     using E by (simp add: J.measure_times)
```
```   103   also have "\<dots> = (\<Prod> i\<in>J. emeasure (M i) (if i \<in> J then E i else space (M i)))"
```
```   104     by simp
```
```   105   also have "\<dots> = (\<Prod> i\<in>K. emeasure (M i) (if i \<in> J then E i else space (M i)))"
```
```   106     using `finite K` `J \<subseteq> K`
```
```   107     by (intro setprod_mono_one_left) (auto simp: M.emeasure_space_1)
```
```   108   also have "\<dots> = emeasure (Pi\<^isub>M K M) (\<Pi>\<^isub>E i\<in>K. if i \<in> J then E i else space (M i))"
```
```   109     using E by (simp add: K.measure_times)
```
```   110   also have "(\<Pi>\<^isub>E i\<in>K. if i \<in> J then E i else space (M i)) = (\<lambda>f. restrict f J) -` Pi\<^isub>E J E \<inter> (\<Pi>\<^isub>E i\<in>K. space (M i))"
```
```   111     using `J \<subseteq> K` sets_into_space E by (force simp:  Pi_iff split: split_if_asm)
```
```   112   finally show "emeasure (Pi\<^isub>M J M) X = emeasure ?D X"
```
```   113     using X `J \<subseteq> K` apply (subst emeasure_distr)
```
```   114     by (auto intro!: measurable_restrict_subset simp: space_PiM)
```
```   115 qed
```
```   116
```
```   117 abbreviation (in product_prob_space)
```
```   118   "emb L K X \<equiv> prod_emb L M K X"
```
```   119
```
```   120 lemma (in product_prob_space) emeasure_prod_emb[simp]:
```
```   121   assumes L: "J \<noteq> {}" "J \<subseteq> L" "finite L" and X: "X \<in> sets (Pi\<^isub>M J M)"
```
```   122   shows "emeasure (Pi\<^isub>M L M) (emb L J X) = emeasure (Pi\<^isub>M J M) X"
```
```   123   by (subst distr_restrict[OF L])
```
```   124      (simp add: prod_emb_def space_PiM emeasure_distr measurable_restrict_subset L X)
```
```   125
```
```   126 lemma (in product_prob_space) prod_emb_injective:
```
```   127   assumes "J \<noteq> {}" "J \<subseteq> L" "finite J" and sets: "X \<in> sets (Pi\<^isub>M J M)" "Y \<in> sets (Pi\<^isub>M J M)"
```
```   128   assumes "prod_emb L M J X = prod_emb L M J Y"
```
```   129   shows "X = Y"
```
```   130 proof (rule injective_vimage_restrict)
```
```   131   show "X \<subseteq> (\<Pi>\<^isub>E i\<in>J. space (M i))" "Y \<subseteq> (\<Pi>\<^isub>E i\<in>J. space (M i))"
```
```   132     using sets[THEN sets_into_space] by (auto simp: space_PiM)
```
```   133   have "\<forall>i\<in>L. \<exists>x. x \<in> space (M i)"
```
```   134       using M.not_empty by auto
```
```   135   from bchoice[OF this]
```
```   136   show "(\<Pi>\<^isub>E i\<in>L. space (M i)) \<noteq> {}" by auto
```
```   137   show "(\<lambda>x. restrict x J) -` X \<inter> (\<Pi>\<^isub>E i\<in>L. space (M i)) = (\<lambda>x. restrict x J) -` Y \<inter> (\<Pi>\<^isub>E i\<in>L. space (M i))"
```
```   138     using `prod_emb L M J X = prod_emb L M J Y` by (simp add: prod_emb_def)
```
```   139 qed fact
```
```   140
```
```   141 definition (in product_prob_space) generator :: "('i \<Rightarrow> 'a) set set" where
```
```   142   "generator = (\<Union>J\<in>{J. J \<noteq> {} \<and> finite J \<and> J \<subseteq> I}. emb I J ` sets (Pi\<^isub>M J M))"
```
```   143
```
```   144 lemma (in product_prob_space) generatorI':
```
```   145   "J \<noteq> {} \<Longrightarrow> finite J \<Longrightarrow> J \<subseteq> I \<Longrightarrow> X \<in> sets (Pi\<^isub>M J M) \<Longrightarrow> emb I J X \<in> generator"
```
```   146   unfolding generator_def by auto
```
```   147
```
```   148 lemma (in product_prob_space) algebra_generator:
```
```   149   assumes "I \<noteq> {}" shows "algebra (\<Pi>\<^isub>E i\<in>I. space (M i)) generator" (is "algebra ?\<Omega> ?G")
```
```   150   unfolding algebra_def algebra_axioms_def ring_of_sets_iff
```
```   151 proof (intro conjI ballI)
```
```   152   let ?G = generator
```
```   153   show "?G \<subseteq> Pow ?\<Omega>"
```
```   154     by (auto simp: generator_def prod_emb_def)
```
```   155   from `I \<noteq> {}` obtain i where "i \<in> I" by auto
```
```   156   then show "{} \<in> ?G"
```
```   157     by (auto intro!: exI[of _ "{i}"] image_eqI[where x="\<lambda>i. {}"]
```
```   158              simp: sigma_sets.Empty generator_def prod_emb_def)
```
```   159   from `i \<in> I` show "?\<Omega> \<in> ?G"
```
```   160     by (auto intro!: exI[of _ "{i}"] image_eqI[where x="Pi\<^isub>E {i} (\<lambda>i. space (M i))"]
```
```   161              simp: generator_def prod_emb_def)
```
```   162   fix A assume "A \<in> ?G"
```
```   163   then obtain JA XA where XA: "JA \<noteq> {}" "finite JA" "JA \<subseteq> I" "XA \<in> sets (Pi\<^isub>M JA M)" and A: "A = emb I JA XA"
```
```   164     by (auto simp: generator_def)
```
```   165   fix B assume "B \<in> ?G"
```
```   166   then obtain JB XB where XB: "JB \<noteq> {}" "finite JB" "JB \<subseteq> I" "XB \<in> sets (Pi\<^isub>M JB M)" and B: "B = emb I JB XB"
```
```   167     by (auto simp: generator_def)
```
```   168   let ?RA = "emb (JA \<union> JB) JA XA"
```
```   169   let ?RB = "emb (JA \<union> JB) JB XB"
```
```   170   have *: "A - B = emb I (JA \<union> JB) (?RA - ?RB)" "A \<union> B = emb I (JA \<union> JB) (?RA \<union> ?RB)"
```
```   171     using XA A XB B by auto
```
```   172   show "A - B \<in> ?G" "A \<union> B \<in> ?G"
```
```   173     unfolding * using XA XB by (safe intro!: generatorI') auto
```
```   174 qed
```
```   175
```
```   176 lemma (in product_prob_space) sets_PiM_generator:
```
```   177   assumes "I \<noteq> {}" shows "sets (PiM I M) = sigma_sets (\<Pi>\<^isub>E i\<in>I. space (M i)) generator"
```
```   178 proof
```
```   179   show "sets (Pi\<^isub>M I M) \<subseteq> sigma_sets (\<Pi>\<^isub>E i\<in>I. space (M i)) generator"
```
```   180     unfolding sets_PiM
```
```   181   proof (safe intro!: sigma_sets_subseteq)
```
```   182     fix A assume "A \<in> prod_algebra I M" with `I \<noteq> {}` show "A \<in> generator"
```
```   183       by (auto intro!: generatorI' elim!: prod_algebraE)
```
```   184   qed
```
```   185 qed (auto simp: generator_def space_PiM[symmetric] intro!: sigma_sets_subset)
```
```   186
```
```   187 lemma (in product_prob_space) generatorI:
```
```   188   "J \<noteq> {} \<Longrightarrow> finite J \<Longrightarrow> J \<subseteq> I \<Longrightarrow> X \<in> sets (Pi\<^isub>M J M) \<Longrightarrow> A = emb I J X \<Longrightarrow> A \<in> generator"
```
```   189   unfolding generator_def by auto
```
```   190
```
```   191 definition (in product_prob_space)
```
```   192   "\<mu>G A =
```
```   193     (THE x. \<forall>J. J \<noteq> {} \<longrightarrow> finite J \<longrightarrow> J \<subseteq> I \<longrightarrow> (\<forall>X\<in>sets (Pi\<^isub>M J M). A = emb I J X \<longrightarrow> x = emeasure (Pi\<^isub>M J M) X))"
```
```   194
```
```   195 lemma (in product_prob_space) \<mu>G_spec:
```
```   196   assumes J: "J \<noteq> {}" "finite J" "J \<subseteq> I" "A = emb I J X" "X \<in> sets (Pi\<^isub>M J M)"
```
```   197   shows "\<mu>G A = emeasure (Pi\<^isub>M J M) X"
```
```   198   unfolding \<mu>G_def
```
```   199 proof (intro the_equality allI impI ballI)
```
```   200   fix K Y assume K: "K \<noteq> {}" "finite K" "K \<subseteq> I" "A = emb I K Y" "Y \<in> sets (Pi\<^isub>M K M)"
```
```   201   have "emeasure (Pi\<^isub>M K M) Y = emeasure (Pi\<^isub>M (K \<union> J) M) (emb (K \<union> J) K Y)"
```
```   202     using K J by simp
```
```   203   also have "emb (K \<union> J) K Y = emb (K \<union> J) J X"
```
```   204     using K J by (simp add: prod_emb_injective[of "K \<union> J" I])
```
```   205   also have "emeasure (Pi\<^isub>M (K \<union> J) M) (emb (K \<union> J) J X) = emeasure (Pi\<^isub>M J M) X"
```
```   206     using K J by simp
```
```   207   finally show "emeasure (Pi\<^isub>M J M) X = emeasure (Pi\<^isub>M K M) Y" ..
```
```   208 qed (insert J, force)
```
```   209
```
```   210 lemma (in product_prob_space) \<mu>G_eq:
```
```   211   "J \<noteq> {} \<Longrightarrow> finite J \<Longrightarrow> J \<subseteq> I \<Longrightarrow> X \<in> sets (Pi\<^isub>M J M) \<Longrightarrow> \<mu>G (emb I J X) = emeasure (Pi\<^isub>M J M) X"
```
```   212   by (intro \<mu>G_spec) auto
```
```   213
```
```   214 lemma (in product_prob_space) generator_Ex:
```
```   215   assumes *: "A \<in> generator"
```
```   216   shows "\<exists>J X. J \<noteq> {} \<and> finite J \<and> J \<subseteq> I \<and> X \<in> sets (Pi\<^isub>M J M) \<and> A = emb I J X \<and> \<mu>G A = emeasure (Pi\<^isub>M J M) X"
```
```   217 proof -
```
```   218   from * obtain J X where J: "J \<noteq> {}" "finite J" "J \<subseteq> I" "A = emb I J X" "X \<in> sets (Pi\<^isub>M J M)"
```
```   219     unfolding generator_def by auto
```
```   220   with \<mu>G_spec[OF this] show ?thesis by auto
```
```   221 qed
```
```   222
```
```   223 lemma (in product_prob_space) generatorE:
```
```   224   assumes A: "A \<in> generator"
```
```   225   obtains J X where "J \<noteq> {}" "finite J" "J \<subseteq> I" "X \<in> sets (Pi\<^isub>M J M)" "emb I J X = A" "\<mu>G A = emeasure (Pi\<^isub>M J M) X"
```
```   226 proof -
```
```   227   from generator_Ex[OF A] obtain X J where "J \<noteq> {}" "finite J" "J \<subseteq> I" "X \<in> sets (Pi\<^isub>M J M)" "emb I J X = A"
```
```   228     "\<mu>G A = emeasure (Pi\<^isub>M J M) X" by auto
```
```   229   then show thesis by (intro that) auto
```
```   230 qed
```
```   231
```
```   232 lemma (in product_prob_space) merge_sets:
```
```   233   assumes "J \<inter> K = {}" and A: "A \<in> sets (Pi\<^isub>M (J \<union> K) M)" and x: "x \<in> space (Pi\<^isub>M J M)"
```
```   234   shows "(\<lambda>y. merge J K (x,y)) -` A \<inter> space (Pi\<^isub>M K M) \<in> sets (Pi\<^isub>M K M)"
```
```   235   by (rule measurable_sets[OF _ A] measurable_compose[OF measurable_Pair measurable_merge]
```
```   236            measurable_const x measurable_ident)+
```
```   237
```
```   238 lemma (in product_prob_space) merge_emb:
```
```   239   assumes "K \<subseteq> I" "J \<subseteq> I" and y: "y \<in> space (Pi\<^isub>M J M)"
```
```   240   shows "((\<lambda>x. merge J (I - J) (y, x)) -` emb I K X \<inter> space (Pi\<^isub>M I M)) =
```
```   241     emb I (K - J) ((\<lambda>x. merge J (K - J) (y, x)) -` emb (J \<union> K) K X \<inter> space (Pi\<^isub>M (K - J) M))"
```
```   242 proof -
```
```   243   have [simp]: "\<And>x J K L. merge J K (y, restrict x L) = merge J (K \<inter> L) (y, x)"
```
```   244     by (auto simp: restrict_def merge_def)
```
```   245   have [simp]: "\<And>x J K L. restrict (merge J K (y, x)) L = merge (J \<inter> L) (K \<inter> L) (y, x)"
```
```   246     by (auto simp: restrict_def merge_def)
```
```   247   have [simp]: "(I - J) \<inter> K = K - J" using `K \<subseteq> I` `J \<subseteq> I` by auto
```
```   248   have [simp]: "(K - J) \<inter> (K \<union> J) = K - J" by auto
```
```   249   have [simp]: "(K - J) \<inter> K = K - J" by auto
```
```   250   from y `K \<subseteq> I` `J \<subseteq> I` show ?thesis
```
```   251     by (simp split: split_merge add: prod_emb_def Pi_iff extensional_merge_sub set_eq_iff space_PiM)
```
```   252        auto
```
```   253 qed
```
```   254
```
```   255 lemma (in product_prob_space) positive_\<mu>G:
```
```   256   assumes "I \<noteq> {}"
```
```   257   shows "positive generator \<mu>G"
```
```   258 proof -
```
```   259   interpret G!: algebra "\<Pi>\<^isub>E i\<in>I. space (M i)" generator by (rule algebra_generator) fact
```
```   260   show ?thesis
```
```   261   proof (intro positive_def[THEN iffD2] conjI ballI)
```
```   262     from generatorE[OF G.empty_sets] guess J X . note this[simp]
```
```   263     interpret J: finite_product_sigma_finite M J by default fact
```
```   264     have "X = {}"
```
```   265       by (rule prod_emb_injective[of J I]) simp_all
```
```   266     then show "\<mu>G {} = 0" by simp
```
```   267   next
```
```   268     fix A assume "A \<in> generator"
```
```   269     from generatorE[OF this] guess J X . note this[simp]
```
```   270     interpret J: finite_product_sigma_finite M J by default fact
```
```   271     show "0 \<le> \<mu>G A" by (simp add: emeasure_nonneg)
```
```   272   qed
```
```   273 qed
```
```   274
```
```   275 lemma (in product_prob_space) additive_\<mu>G:
```
```   276   assumes "I \<noteq> {}"
```
```   277   shows "additive generator \<mu>G"
```
```   278 proof -
```
```   279   interpret G!: algebra "\<Pi>\<^isub>E i\<in>I. space (M i)" generator by (rule algebra_generator) fact
```
```   280   show ?thesis
```
```   281   proof (intro additive_def[THEN iffD2] ballI impI)
```
```   282     fix A assume "A \<in> generator" with generatorE guess J X . note J = this
```
```   283     fix B assume "B \<in> generator" with generatorE guess K Y . note K = this
```
```   284     assume "A \<inter> B = {}"
```
```   285     have JK: "J \<union> K \<noteq> {}" "J \<union> K \<subseteq> I" "finite (J \<union> K)"
```
```   286       using J K by auto
```
```   287     interpret JK: finite_product_sigma_finite M "J \<union> K" by default fact
```
```   288     have JK_disj: "emb (J \<union> K) J X \<inter> emb (J \<union> K) K Y = {}"
```
```   289       apply (rule prod_emb_injective[of "J \<union> K" I])
```
```   290       apply (insert `A \<inter> B = {}` JK J K)
```
```   291       apply (simp_all add: Int prod_emb_Int)
```
```   292       done
```
```   293     have AB: "A = emb I (J \<union> K) (emb (J \<union> K) J X)" "B = emb I (J \<union> K) (emb (J \<union> K) K Y)"
```
```   294       using J K by simp_all
```
```   295     then have "\<mu>G (A \<union> B) = \<mu>G (emb I (J \<union> K) (emb (J \<union> K) J X \<union> emb (J \<union> K) K Y))"
```
```   296       by simp
```
```   297     also have "\<dots> = emeasure (Pi\<^isub>M (J \<union> K) M) (emb (J \<union> K) J X \<union> emb (J \<union> K) K Y)"
```
```   298       using JK J(1, 4) K(1, 4) by (simp add: \<mu>G_eq Un del: prod_emb_Un)
```
```   299     also have "\<dots> = \<mu>G A + \<mu>G B"
```
```   300       using J K JK_disj by (simp add: plus_emeasure[symmetric])
```
```   301     finally show "\<mu>G (A \<union> B) = \<mu>G A + \<mu>G B" .
```
```   302   qed
```
```   303 qed
```
```   304
```
```   305 lemma (in product_prob_space) emeasure_PiM_emb_not_empty:
```
```   306   assumes X: "J \<noteq> {}" "J \<subseteq> I" "finite J" "\<forall>i\<in>J. X i \<in> sets (M i)"
```
```   307   shows "emeasure (Pi\<^isub>M I M) (emb I J (Pi\<^isub>E J X)) = emeasure (Pi\<^isub>M J M) (Pi\<^isub>E J X)"
```
```   308 proof cases
```
```   309   assume "finite I" with X show ?thesis by simp
```
```   310 next
```
```   311   let ?\<Omega> = "\<Pi>\<^isub>E i\<in>I. space (M i)"
```
```   312   let ?G = generator
```
```   313   assume "\<not> finite I"
```
```   314   then have I_not_empty: "I \<noteq> {}" by auto
```
```   315   interpret G!: algebra ?\<Omega> generator by (rule algebra_generator) fact
```
```   316   note \<mu>G_mono =
```
```   317     G.additive_increasing[OF positive_\<mu>G[OF I_not_empty] additive_\<mu>G[OF I_not_empty], THEN increasingD]
```
```   318
```
```   319   { fix Z J assume J: "J \<noteq> {}" "finite J" "J \<subseteq> I" and Z: "Z \<in> ?G"
```
```   320
```
```   321     from `infinite I` `finite J` obtain k where k: "k \<in> I" "k \<notin> J"
```
```   322       by (metis rev_finite_subset subsetI)
```
```   323     moreover from Z guess K' X' by (rule generatorE)
```
```   324     moreover def K \<equiv> "insert k K'"
```
```   325     moreover def X \<equiv> "emb K K' X'"
```
```   326     ultimately have K: "K \<noteq> {}" "finite K" "K \<subseteq> I" "X \<in> sets (Pi\<^isub>M K M)" "Z = emb I K X"
```
```   327       "K - J \<noteq> {}" "K - J \<subseteq> I" "\<mu>G Z = emeasure (Pi\<^isub>M K M) X"
```
```   328       by (auto simp: subset_insertI)
```
```   329
```
```   330     let ?M = "\<lambda>y. (\<lambda>x. merge J (K - J) (y, x)) -` emb (J \<union> K) K X \<inter> space (Pi\<^isub>M (K - J) M)"
```
```   331     { fix y assume y: "y \<in> space (Pi\<^isub>M J M)"
```
```   332       note * = merge_emb[OF `K \<subseteq> I` `J \<subseteq> I` y, of X]
```
```   333       moreover
```
```   334       have **: "?M y \<in> sets (Pi\<^isub>M (K - J) M)"
```
```   335         using J K y by (intro merge_sets) auto
```
```   336       ultimately
```
```   337       have ***: "((\<lambda>x. merge J (I - J) (y, x)) -` Z \<inter> space (Pi\<^isub>M I M)) \<in> ?G"
```
```   338         using J K by (intro generatorI) auto
```
```   339       have "\<mu>G ((\<lambda>x. merge J (I - J) (y, x)) -` emb I K X \<inter> space (Pi\<^isub>M I M)) = emeasure (Pi\<^isub>M (K - J) M) (?M y)"
```
```   340         unfolding * using K J by (subst \<mu>G_eq[OF _ _ _ **]) auto
```
```   341       note * ** *** this }
```
```   342     note merge_in_G = this
```
```   343
```
```   344     have "finite (K - J)" using K by auto
```
```   345
```
```   346     interpret J: finite_product_prob_space M J by default fact+
```
```   347     interpret KmJ: finite_product_prob_space M "K - J" by default fact+
```
```   348
```
```   349     have "\<mu>G Z = emeasure (Pi\<^isub>M (J \<union> (K - J)) M) (emb (J \<union> (K - J)) K X)"
```
```   350       using K J by simp
```
```   351     also have "\<dots> = (\<integral>\<^isup>+ x. emeasure (Pi\<^isub>M (K - J) M) (?M x) \<partial>Pi\<^isub>M J M)"
```
```   352       using K J by (subst emeasure_fold_integral) auto
```
```   353     also have "\<dots> = (\<integral>\<^isup>+ y. \<mu>G ((\<lambda>x. merge J (I - J) (y, x)) -` Z \<inter> space (Pi\<^isub>M I M)) \<partial>Pi\<^isub>M J M)"
```
```   354       (is "_ = (\<integral>\<^isup>+x. \<mu>G (?MZ x) \<partial>Pi\<^isub>M J M)")
```
```   355     proof (intro positive_integral_cong)
```
```   356       fix x assume x: "x \<in> space (Pi\<^isub>M J M)"
```
```   357       with K merge_in_G(2)[OF this]
```
```   358       show "emeasure (Pi\<^isub>M (K - J) M) (?M x) = \<mu>G (?MZ x)"
```
```   359         unfolding `Z = emb I K X` merge_in_G(1)[OF x] by (subst \<mu>G_eq) auto
```
```   360     qed
```
```   361     finally have fold: "\<mu>G Z = (\<integral>\<^isup>+x. \<mu>G (?MZ x) \<partial>Pi\<^isub>M J M)" .
```
```   362
```
```   363     { fix x assume x: "x \<in> space (Pi\<^isub>M J M)"
```
```   364       then have "\<mu>G (?MZ x) \<le> 1"
```
```   365         unfolding merge_in_G(4)[OF x] `Z = emb I K X`
```
```   366         by (intro KmJ.measure_le_1 merge_in_G(2)[OF x]) }
```
```   367     note le_1 = this
```
```   368
```
```   369     let ?q = "\<lambda>y. \<mu>G ((\<lambda>x. merge J (I - J) (y,x)) -` Z \<inter> space (Pi\<^isub>M I M))"
```
```   370     have "?q \<in> borel_measurable (Pi\<^isub>M J M)"
```
```   371       unfolding `Z = emb I K X` using J K merge_in_G(3)
```
```   372       by (simp add: merge_in_G  \<mu>G_eq emeasure_fold_measurable cong: measurable_cong)
```
```   373     note this fold le_1 merge_in_G(3) }
```
```   374   note fold = this
```
```   375
```
```   376   have "\<exists>\<mu>. (\<forall>s\<in>?G. \<mu> s = \<mu>G s) \<and> measure_space ?\<Omega> (sigma_sets ?\<Omega> ?G) \<mu>"
```
```   377   proof (rule G.caratheodory_empty_continuous[OF positive_\<mu>G additive_\<mu>G])
```
```   378     fix A assume "A \<in> ?G"
```
```   379     with generatorE guess J X . note JX = this
```
```   380     interpret JK: finite_product_prob_space M J by default fact+
```
```   381     from JX show "\<mu>G A \<noteq> \<infinity>" by simp
```
```   382   next
```
```   383     fix A assume A: "range A \<subseteq> ?G" "decseq A" "(\<Inter>i. A i) = {}"
```
```   384     then have "decseq (\<lambda>i. \<mu>G (A i))"
```
```   385       by (auto intro!: \<mu>G_mono simp: decseq_def)
```
```   386     moreover
```
```   387     have "(INF i. \<mu>G (A i)) = 0"
```
```   388     proof (rule ccontr)
```
```   389       assume "(INF i. \<mu>G (A i)) \<noteq> 0" (is "?a \<noteq> 0")
```
```   390       moreover have "0 \<le> ?a"
```
```   391         using A positive_\<mu>G[OF I_not_empty] by (auto intro!: INF_greatest simp: positive_def)
```
```   392       ultimately have "0 < ?a" by auto
```
```   393
```
```   394       have "\<forall>n. \<exists>J X. J \<noteq> {} \<and> finite J \<and> J \<subseteq> I \<and> X \<in> sets (Pi\<^isub>M J M) \<and> A n = emb I J X \<and> \<mu>G (A n) = emeasure (Pi\<^isub>M J M) X"
```
```   395         using A by (intro allI generator_Ex) auto
```
```   396       then obtain J' X' where J': "\<And>n. J' n \<noteq> {}" "\<And>n. finite (J' n)" "\<And>n. J' n \<subseteq> I" "\<And>n. X' n \<in> sets (Pi\<^isub>M (J' n) M)"
```
```   397         and A': "\<And>n. A n = emb I (J' n) (X' n)"
```
```   398         unfolding choice_iff by blast
```
```   399       moreover def J \<equiv> "\<lambda>n. (\<Union>i\<le>n. J' i)"
```
```   400       moreover def X \<equiv> "\<lambda>n. emb (J n) (J' n) (X' n)"
```
```   401       ultimately have J: "\<And>n. J n \<noteq> {}" "\<And>n. finite (J n)" "\<And>n. J n \<subseteq> I" "\<And>n. X n \<in> sets (Pi\<^isub>M (J n) M)"
```
```   402         by auto
```
```   403       with A' have A_eq: "\<And>n. A n = emb I (J n) (X n)" "\<And>n. A n \<in> ?G"
```
```   404         unfolding J_def X_def by (subst prod_emb_trans) (insert A, auto)
```
```   405
```
```   406       have J_mono: "\<And>n m. n \<le> m \<Longrightarrow> J n \<subseteq> J m"
```
```   407         unfolding J_def by force
```
```   408
```
```   409       interpret J: finite_product_prob_space M "J i" for i by default fact+
```
```   410
```
```   411       have a_le_1: "?a \<le> 1"
```
```   412         using \<mu>G_spec[of "J 0" "A 0" "X 0"] J A_eq
```
```   413         by (auto intro!: INF_lower2[of 0] J.measure_le_1)
```
```   414
```
```   415       let ?M = "\<lambda>K Z y. (\<lambda>x. merge K (I - K) (y, x)) -` Z \<inter> space (Pi\<^isub>M I M)"
```
```   416
```
```   417       { fix Z k assume Z: "range Z \<subseteq> ?G" "decseq Z" "\<forall>n. ?a / 2^k \<le> \<mu>G (Z n)"
```
```   418         then have Z_sets: "\<And>n. Z n \<in> ?G" by auto
```
```   419         fix J' assume J': "J' \<noteq> {}" "finite J'" "J' \<subseteq> I"
```
```   420         interpret J': finite_product_prob_space M J' by default fact+
```
```   421
```
```   422         let ?q = "\<lambda>n y. \<mu>G (?M J' (Z n) y)"
```
```   423         let ?Q = "\<lambda>n. ?q n -` {?a / 2^(k+1) ..} \<inter> space (Pi\<^isub>M J' M)"
```
```   424         { fix n
```
```   425           have "?q n \<in> borel_measurable (Pi\<^isub>M J' M)"
```
```   426             using Z J' by (intro fold(1)) auto
```
```   427           then have "?Q n \<in> sets (Pi\<^isub>M J' M)"
```
```   428             by (rule measurable_sets) auto }
```
```   429         note Q_sets = this
```
```   430
```
```   431         have "?a / 2^(k+1) \<le> (INF n. emeasure (Pi\<^isub>M J' M) (?Q n))"
```
```   432         proof (intro INF_greatest)
```
```   433           fix n
```
```   434           have "?a / 2^k \<le> \<mu>G (Z n)" using Z by auto
```
```   435           also have "\<dots> \<le> (\<integral>\<^isup>+ x. indicator (?Q n) x + ?a / 2^(k+1) \<partial>Pi\<^isub>M J' M)"
```
```   436             unfolding fold(2)[OF J' `Z n \<in> ?G`]
```
```   437           proof (intro positive_integral_mono)
```
```   438             fix x assume x: "x \<in> space (Pi\<^isub>M J' M)"
```
```   439             then have "?q n x \<le> 1 + 0"
```
```   440               using J' Z fold(3) Z_sets by auto
```
```   441             also have "\<dots> \<le> 1 + ?a / 2^(k+1)"
```
```   442               using `0 < ?a` by (intro add_mono) auto
```
```   443             finally have "?q n x \<le> 1 + ?a / 2^(k+1)" .
```
```   444             with x show "?q n x \<le> indicator (?Q n) x + ?a / 2^(k+1)"
```
```   445               by (auto split: split_indicator simp del: power_Suc)
```
```   446           qed
```
```   447           also have "\<dots> = emeasure (Pi\<^isub>M J' M) (?Q n) + ?a / 2^(k+1)"
```
```   448             using `0 \<le> ?a` Q_sets J'.emeasure_space_1
```
```   449             by (subst positive_integral_add) auto
```
```   450           finally show "?a / 2^(k+1) \<le> emeasure (Pi\<^isub>M J' M) (?Q n)" using `?a \<le> 1`
```
```   451             by (cases rule: ereal2_cases[of ?a "emeasure (Pi\<^isub>M J' M) (?Q n)"])
```
```   452                (auto simp: field_simps)
```
```   453         qed
```
```   454         also have "\<dots> = emeasure (Pi\<^isub>M J' M) (\<Inter>n. ?Q n)"
```
```   455         proof (intro INF_emeasure_decseq)
```
```   456           show "range ?Q \<subseteq> sets (Pi\<^isub>M J' M)" using Q_sets by auto
```
```   457           show "decseq ?Q"
```
```   458             unfolding decseq_def
```
```   459           proof (safe intro!: vimageI[OF refl])
```
```   460             fix m n :: nat assume "m \<le> n"
```
```   461             fix x assume x: "x \<in> space (Pi\<^isub>M J' M)"
```
```   462             assume "?a / 2^(k+1) \<le> ?q n x"
```
```   463             also have "?q n x \<le> ?q m x"
```
```   464             proof (rule \<mu>G_mono)
```
```   465               from fold(4)[OF J', OF Z_sets x]
```
```   466               show "?M J' (Z n) x \<in> ?G" "?M J' (Z m) x \<in> ?G" by auto
```
```   467               show "?M J' (Z n) x \<subseteq> ?M J' (Z m) x"
```
```   468                 using `decseq Z`[THEN decseqD, OF `m \<le> n`] by auto
```
```   469             qed
```
```   470             finally show "?a / 2^(k+1) \<le> ?q m x" .
```
```   471           qed
```
```   472         qed simp
```
```   473         finally have "(\<Inter>n. ?Q n) \<noteq> {}"
```
```   474           using `0 < ?a` `?a \<le> 1` by (cases ?a) (auto simp: divide_le_0_iff power_le_zero_eq)
```
```   475         then have "\<exists>w\<in>space (Pi\<^isub>M J' M). \<forall>n. ?a / 2 ^ (k + 1) \<le> ?q n w" by auto }
```
```   476       note Ex_w = this
```
```   477
```
```   478       let ?q = "\<lambda>k n y. \<mu>G (?M (J k) (A n) y)"
```
```   479
```
```   480       have "\<forall>n. ?a / 2 ^ 0 \<le> \<mu>G (A n)" by (auto intro: INF_lower)
```
```   481       from Ex_w[OF A(1,2) this J(1-3), of 0] guess w0 .. note w0 = this
```
```   482
```
```   483       let ?P =
```
```   484         "\<lambda>k wk w. w \<in> space (Pi\<^isub>M (J (Suc k)) M) \<and> restrict w (J k) = wk \<and>
```
```   485           (\<forall>n. ?a / 2 ^ (Suc k + 1) \<le> ?q (Suc k) n w)"
```
```   486       def w \<equiv> "nat_rec w0 (\<lambda>k wk. Eps (?P k wk))"
```
```   487
```
```   488       { fix k have w: "w k \<in> space (Pi\<^isub>M (J k) M) \<and>
```
```   489           (\<forall>n. ?a / 2 ^ (k + 1) \<le> ?q k n (w k)) \<and> (k \<noteq> 0 \<longrightarrow> restrict (w k) (J (k - 1)) = w (k - 1))"
```
```   490         proof (induct k)
```
```   491           case 0 with w0 show ?case
```
```   492             unfolding w_def nat_rec_0 by auto
```
```   493         next
```
```   494           case (Suc k)
```
```   495           then have wk: "w k \<in> space (Pi\<^isub>M (J k) M)" by auto
```
```   496           have "\<exists>w'. ?P k (w k) w'"
```
```   497           proof cases
```
```   498             assume [simp]: "J k = J (Suc k)"
```
```   499             show ?thesis
```
```   500             proof (intro exI[of _ "w k"] conjI allI)
```
```   501               fix n
```
```   502               have "?a / 2 ^ (Suc k + 1) \<le> ?a / 2 ^ (k + 1)"
```
```   503                 using `0 < ?a` `?a \<le> 1` by (cases ?a) (auto simp: field_simps)
```
```   504               also have "\<dots> \<le> ?q k n (w k)" using Suc by auto
```
```   505               finally show "?a / 2 ^ (Suc k + 1) \<le> ?q (Suc k) n (w k)" by simp
```
```   506             next
```
```   507               show "w k \<in> space (Pi\<^isub>M (J (Suc k)) M)"
```
```   508                 using Suc by simp
```
```   509               then show "restrict (w k) (J k) = w k"
```
```   510                 by (simp add: extensional_restrict space_PiM)
```
```   511             qed
```
```   512           next
```
```   513             assume "J k \<noteq> J (Suc k)"
```
```   514             with J_mono[of k "Suc k"] have "J (Suc k) - J k \<noteq> {}" (is "?D \<noteq> {}") by auto
```
```   515             have "range (\<lambda>n. ?M (J k) (A n) (w k)) \<subseteq> ?G"
```
```   516               "decseq (\<lambda>n. ?M (J k) (A n) (w k))"
```
```   517               "\<forall>n. ?a / 2 ^ (k + 1) \<le> \<mu>G (?M (J k) (A n) (w k))"
```
```   518               using `decseq A` fold(4)[OF J(1-3) A_eq(2), of "w k" k] Suc
```
```   519               by (auto simp: decseq_def)
```
```   520             from Ex_w[OF this `?D \<noteq> {}`] J[of "Suc k"]
```
```   521             obtain w' where w': "w' \<in> space (Pi\<^isub>M ?D M)"
```
```   522               "\<forall>n. ?a / 2 ^ (Suc k + 1) \<le> \<mu>G (?M ?D (?M (J k) (A n) (w k)) w')" by auto
```
```   523             let ?w = "merge (J k) ?D (w k, w')"
```
```   524             have [simp]: "\<And>x. merge (J k) (I - J k) (w k, merge ?D (I - ?D) (w', x)) =
```
```   525               merge (J (Suc k)) (I - (J (Suc k))) (?w, x)"
```
```   526               using J(3)[of "Suc k"] J(3)[of k] J_mono[of k "Suc k"]
```
```   527               by (auto intro!: ext split: split_merge)
```
```   528             have *: "\<And>n. ?M ?D (?M (J k) (A n) (w k)) w' = ?M (J (Suc k)) (A n) ?w"
```
```   529               using w'(1) J(3)[of "Suc k"]
```
```   530               by (auto simp: space_PiM split: split_merge intro!: extensional_merge_sub) force+
```
```   531             show ?thesis
```
```   532               apply (rule exI[of _ ?w])
```
```   533               using w' J_mono[of k "Suc k"] wk unfolding *
```
```   534               apply (auto split: split_merge intro!: extensional_merge_sub ext simp: space_PiM)
```
```   535               apply (force simp: extensional_def)
```
```   536               done
```
```   537           qed
```
```   538           then have "?P k (w k) (w (Suc k))"
```
```   539             unfolding w_def nat_rec_Suc unfolding w_def[symmetric]
```
```   540             by (rule someI_ex)
```
```   541           then show ?case by auto
```
```   542         qed
```
```   543         moreover
```
```   544         then have "w k \<in> space (Pi\<^isub>M (J k) M)" by auto
```
```   545         moreover
```
```   546         from w have "?a / 2 ^ (k + 1) \<le> ?q k k (w k)" by auto
```
```   547         then have "?M (J k) (A k) (w k) \<noteq> {}"
```
```   548           using positive_\<mu>G[OF I_not_empty, unfolded positive_def] `0 < ?a` `?a \<le> 1`
```
```   549           by (cases ?a) (auto simp: divide_le_0_iff power_le_zero_eq)
```
```   550         then obtain x where "x \<in> ?M (J k) (A k) (w k)" by auto
```
```   551         then have "merge (J k) (I - J k) (w k, x) \<in> A k" by auto
```
```   552         then have "\<exists>x\<in>A k. restrict x (J k) = w k"
```
```   553           using `w k \<in> space (Pi\<^isub>M (J k) M)`
```
```   554           by (intro rev_bexI) (auto intro!: ext simp: extensional_def space_PiM)
```
```   555         ultimately have "w k \<in> space (Pi\<^isub>M (J k) M)"
```
```   556           "\<exists>x\<in>A k. restrict x (J k) = w k"
```
```   557           "k \<noteq> 0 \<Longrightarrow> restrict (w k) (J (k - 1)) = w (k - 1)"
```
```   558           by auto }
```
```   559       note w = this
```
```   560
```
```   561       { fix k l i assume "k \<le> l" "i \<in> J k"
```
```   562         { fix l have "w k i = w (k + l) i"
```
```   563           proof (induct l)
```
```   564             case (Suc l)
```
```   565             from `i \<in> J k` J_mono[of k "k + l"] have "i \<in> J (k + l)" by auto
```
```   566             with w(3)[of "k + Suc l"]
```
```   567             have "w (k + l) i = w (k + Suc l) i"
```
```   568               by (auto simp: restrict_def fun_eq_iff split: split_if_asm)
```
```   569             with Suc show ?case by simp
```
```   570           qed simp }
```
```   571         from this[of "l - k"] `k \<le> l` have "w l i = w k i" by simp }
```
```   572       note w_mono = this
```
```   573
```
```   574       def w' \<equiv> "\<lambda>i. if i \<in> (\<Union>k. J k) then w (LEAST k. i \<in> J k) i else if i \<in> I then (SOME x. x \<in> space (M i)) else undefined"
```
```   575       { fix i k assume k: "i \<in> J k"
```
```   576         have "w k i = w (LEAST k. i \<in> J k) i"
```
```   577           by (intro w_mono Least_le k LeastI[of _ k])
```
```   578         then have "w' i = w k i"
```
```   579           unfolding w'_def using k by auto }
```
```   580       note w'_eq = this
```
```   581       have w'_simps1: "\<And>i. i \<notin> I \<Longrightarrow> w' i = undefined"
```
```   582         using J by (auto simp: w'_def)
```
```   583       have w'_simps2: "\<And>i. i \<notin> (\<Union>k. J k) \<Longrightarrow> i \<in> I \<Longrightarrow> w' i \<in> space (M i)"
```
```   584         using J by (auto simp: w'_def intro!: someI_ex[OF M.not_empty[unfolded ex_in_conv[symmetric]]])
```
```   585       { fix i assume "i \<in> I" then have "w' i \<in> space (M i)"
```
```   586           using w(1) by (cases "i \<in> (\<Union>k. J k)") (force simp: w'_simps2 w'_eq space_PiM)+ }
```
```   587       note w'_simps[simp] = w'_eq w'_simps1 w'_simps2 this
```
```   588
```
```   589       have w': "w' \<in> space (Pi\<^isub>M I M)"
```
```   590         using w(1) by (auto simp add: Pi_iff extensional_def space_PiM)
```
```   591
```
```   592       { fix n
```
```   593         have "restrict w' (J n) = w n" using w(1)
```
```   594           by (auto simp add: fun_eq_iff restrict_def Pi_iff extensional_def space_PiM)
```
```   595         with w[of n] obtain x where "x \<in> A n" "restrict x (J n) = restrict w' (J n)" by auto
```
```   596         then have "w' \<in> A n" unfolding A_eq using w' by (auto simp: prod_emb_def space_PiM) }
```
```   597       then have "w' \<in> (\<Inter>i. A i)" by auto
```
```   598       with `(\<Inter>i. A i) = {}` show False by auto
```
```   599     qed
```
```   600     ultimately show "(\<lambda>i. \<mu>G (A i)) ----> 0"
```
```   601       using LIMSEQ_ereal_INFI[of "\<lambda>i. \<mu>G (A i)"] by simp
```
```   602   qed fact+
```
```   603   then guess \<mu> .. note \<mu> = this
```
```   604   show ?thesis
```
```   605   proof (subst emeasure_extend_measure_Pair[OF PiM_def, of I M \<mu> J X])
```
```   606     from assms show "(J \<noteq> {} \<or> I = {}) \<and> finite J \<and> J \<subseteq> I \<and> X \<in> (\<Pi> j\<in>J. sets (M j))"
```
```   607       by (simp add: Pi_iff)
```
```   608   next
```
```   609     fix J X assume J: "(J \<noteq> {} \<or> I = {}) \<and> finite J \<and> J \<subseteq> I \<and> X \<in> (\<Pi> j\<in>J. sets (M j))"
```
```   610     then show "emb I J (Pi\<^isub>E J X) \<in> Pow (\<Pi>\<^isub>E i\<in>I. space (M i))"
```
```   611       by (auto simp: Pi_iff prod_emb_def dest: sets_into_space)
```
```   612     have "emb I J (Pi\<^isub>E J X) \<in> generator"
```
```   613       using J `I \<noteq> {}` by (intro generatorI') auto
```
```   614     then have "\<mu> (emb I J (Pi\<^isub>E J X)) = \<mu>G (emb I J (Pi\<^isub>E J X))"
```
```   615       using \<mu> by simp
```
```   616     also have "\<dots> = (\<Prod> j\<in>J. if j \<in> J then emeasure (M j) (X j) else emeasure (M j) (space (M j)))"
```
```   617       using J  `I \<noteq> {}` by (subst \<mu>G_spec[OF _ _ _ refl]) (auto simp: emeasure_PiM Pi_iff)
```
```   618     also have "\<dots> = (\<Prod>j\<in>J \<union> {i \<in> I. emeasure (M i) (space (M i)) \<noteq> 1}.
```
```   619       if j \<in> J then emeasure (M j) (X j) else emeasure (M j) (space (M j)))"
```
```   620       using J `I \<noteq> {}` by (intro setprod_mono_one_right) (auto simp: M.emeasure_space_1)
```
```   621     finally show "\<mu> (emb I J (Pi\<^isub>E J X)) = \<dots>" .
```
```   622   next
```
```   623     let ?F = "\<lambda>j. if j \<in> J then emeasure (M j) (X j) else emeasure (M j) (space (M j))"
```
```   624     have "(\<Prod>j\<in>J \<union> {i \<in> I. emeasure (M i) (space (M i)) \<noteq> 1}. ?F j) = (\<Prod>j\<in>J. ?F j)"
```
```   625       using X `I \<noteq> {}` by (intro setprod_mono_one_right) (auto simp: M.emeasure_space_1)
```
```   626     then show "(\<Prod>j\<in>J \<union> {i \<in> I. emeasure (M i) (space (M i)) \<noteq> 1}. ?F j) =
```
```   627       emeasure (Pi\<^isub>M J M) (Pi\<^isub>E J X)"
```
```   628       using X by (auto simp add: emeasure_PiM)
```
```   629   next
```
```   630     show "positive (sets (Pi\<^isub>M I M)) \<mu>" "countably_additive (sets (Pi\<^isub>M I M)) \<mu>"
```
```   631       using \<mu> unfolding sets_PiM_generator[OF `I \<noteq> {}`] by (auto simp: measure_space_def)
```
```   632   qed
```
```   633 qed
```
```   634
```
```   635 sublocale product_prob_space \<subseteq> P: prob_space "Pi\<^isub>M I M"
```
```   636 proof
```
```   637   show "emeasure (Pi\<^isub>M I M) (space (Pi\<^isub>M I M)) = 1"
```
```   638   proof cases
```
```   639     assume "I = {}" then show ?thesis by (simp add: space_PiM_empty)
```
```   640   next
```
```   641     assume "I \<noteq> {}"
```
```   642     then obtain i where "i \<in> I" by auto
```
```   643     moreover then have "emb I {i} (\<Pi>\<^isub>E i\<in>{i}. space (M i)) = (space (Pi\<^isub>M I M))"
```
```   644       by (auto simp: prod_emb_def space_PiM)
```
```   645     ultimately show ?thesis
```
```   646       using emeasure_PiM_emb_not_empty[of "{i}" "\<lambda>i. space (M i)"]
```
```   647       by (simp add: emeasure_PiM emeasure_space_1)
```
```   648   qed
```
```   649 qed
```
```   650
```
```   651 lemma (in product_prob_space) emeasure_PiM_emb:
```
```   652   assumes X: "J \<subseteq> I" "finite J" "\<And>i. i \<in> J \<Longrightarrow> X i \<in> sets (M i)"
```
```   653   shows "emeasure (Pi\<^isub>M I M) (emb I J (Pi\<^isub>E J X)) = (\<Prod> i\<in>J. emeasure (M i) (X i))"
```
```   654 proof cases
```
```   655   assume "J = {}"
```
```   656   moreover have "emb I {} {\<lambda>x. undefined} = space (Pi\<^isub>M I M)"
```
```   657     by (auto simp: space_PiM prod_emb_def)
```
```   658   ultimately show ?thesis
```
```   659     by (simp add: space_PiM_empty P.emeasure_space_1)
```
```   660 next
```
```   661   assume "J \<noteq> {}" with X show ?thesis
```
```   662     by (subst emeasure_PiM_emb_not_empty) (auto simp: emeasure_PiM)
```
```   663 qed
```
```   664
```
```   665 lemma (in product_prob_space) measure_PiM_emb:
```
```   666   assumes "J \<subseteq> I" "finite J" "\<And>i. i \<in> J \<Longrightarrow> X i \<in> sets (M i)"
```
```   667   shows "measure (PiM I M) (emb I J (Pi\<^isub>E J X)) = (\<Prod> i\<in>J. measure (M i) (X i))"
```
```   668   using emeasure_PiM_emb[OF assms]
```
```   669   unfolding emeasure_eq_measure M.emeasure_eq_measure by (simp add: setprod_ereal)
```
```   670
```
```   671 lemma (in finite_product_prob_space) finite_measure_PiM_emb:
```
```   672   "(\<And>i. i \<in> I \<Longrightarrow> A i \<in> sets (M i)) \<Longrightarrow> measure (PiM I M) (Pi\<^isub>E I A) = (\<Prod>i\<in>I. measure (M i) (A i))"
```
```   673   using measure_PiM_emb[of I A] finite_index prod_emb_PiE_same_index[OF sets_into_space, of I A M]
```
```   674   by auto
```
```   675
```
```   676 subsection {* Sequence space *}
```
```   677
```
```   678 locale sequence_space = product_prob_space M "UNIV :: nat set" for M
```
```   679
```
```   680 lemma (in sequence_space) infprod_in_sets[intro]:
```
```   681   fixes E :: "nat \<Rightarrow> 'a set" assumes E: "\<And>i. E i \<in> sets (M i)"
```
```   682   shows "Pi UNIV E \<in> sets (Pi\<^isub>M UNIV M)"
```
```   683 proof -
```
```   684   have "Pi UNIV E = (\<Inter>i. emb UNIV {..i} (\<Pi>\<^isub>E j\<in>{..i}. E j))"
```
```   685     using E E[THEN sets_into_space]
```
```   686     by (auto simp: prod_emb_def Pi_iff extensional_def) blast
```
```   687   with E show ?thesis by auto
```
```   688 qed
```
```   689
```
```   690 lemma (in sequence_space) measure_PiM_countable:
```
```   691   fixes E :: "nat \<Rightarrow> 'a set" assumes E: "\<And>i. E i \<in> sets (M i)"
```
```   692   shows "(\<lambda>n. \<Prod>i\<le>n. measure (M i) (E i)) ----> measure (Pi\<^isub>M UNIV M) (Pi UNIV E)"
```
```   693 proof -
```
```   694   let ?E = "\<lambda>n. emb UNIV {..n} (Pi\<^isub>E {.. n} E)"
```
```   695   have "\<And>n. (\<Prod>i\<le>n. measure (M i) (E i)) = measure (Pi\<^isub>M UNIV M) (?E n)"
```
```   696     using E by (simp add: measure_PiM_emb)
```
```   697   moreover have "Pi UNIV E = (\<Inter>n. ?E n)"
```
```   698     using E E[THEN sets_into_space]
```
```   699     by (auto simp: prod_emb_def extensional_def Pi_iff) blast
```
```   700   moreover have "range ?E \<subseteq> sets (Pi\<^isub>M UNIV M)"
```
```   701     using E by auto
```
```   702   moreover have "decseq ?E"
```
```   703     by (auto simp: prod_emb_def Pi_iff decseq_def)
```
```   704   ultimately show ?thesis
```
```   705     by (simp add: finite_Lim_measure_decseq)
```
```   706 qed
```
```   707
```
`   708 end`