src/HOL/Probability/Independent_Family.thy
author hoelzl
Thu, 26 May 2011 14:11:58 +0200
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child 42983 685df9c0626d
permissions -rw-r--r--
add lemma kolmogorov_0_1_law
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(*  Title:      HOL/Probability/Independent_Family.thy
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    Author:     Johannes Hölzl, TU München
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*)
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header {* Independent families of events, event sets, and random variables *}
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theory Independent_Family
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  imports Probability_Measure
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begin
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definition (in prob_space)
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  "indep_events A I \<longleftrightarrow> (A`I \<subseteq> sets M) \<and>
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    (\<forall>J\<subseteq>I. J \<noteq> {} \<longrightarrow> finite J \<longrightarrow> prob (\<Inter>j\<in>J. A j) = (\<Prod>j\<in>J. prob (A j)))"
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definition (in prob_space)
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  "indep_event A B \<longleftrightarrow> indep_events (bool_case A B) UNIV"
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definition (in prob_space)
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  "indep_sets F I \<longleftrightarrow> (\<forall>i\<in>I. F i \<subseteq> sets M) \<and>
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    (\<forall>J\<subseteq>I. J \<noteq> {} \<longrightarrow> finite J \<longrightarrow> (\<forall>A\<in>Pi J F. prob (\<Inter>j\<in>J. A j) = (\<Prod>j\<in>J. prob (A j))))"
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definition (in prob_space)
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  "indep_set A B \<longleftrightarrow> indep_sets (bool_case A B) UNIV"
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definition (in prob_space)
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  "indep_rv M' X I \<longleftrightarrow>
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    (\<forall>i\<in>I. random_variable (M' i) (X i)) \<and>
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    indep_sets (\<lambda>i. sigma_sets (space M) { X i -` A \<inter> space M | A. A \<in> sets (M' i)}) I"
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lemma (in prob_space) indep_sets_cong:
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  "I = J \<Longrightarrow> (\<And>i. i \<in> I \<Longrightarrow> F i = G i) \<Longrightarrow> indep_sets F I \<longleftrightarrow> indep_sets G J"
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  by (simp add: indep_sets_def, intro conj_cong all_cong imp_cong ball_cong) blast+
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lemma (in prob_space) indep_events_finite_index_events:
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  "indep_events F I \<longleftrightarrow> (\<forall>J\<subseteq>I. J \<noteq> {} \<longrightarrow> finite J \<longrightarrow> indep_events F J)"
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  by (auto simp: indep_events_def)
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lemma (in prob_space) indep_sets_finite_index_sets:
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  "indep_sets F I \<longleftrightarrow> (\<forall>J\<subseteq>I. J \<noteq> {} \<longrightarrow> finite J \<longrightarrow> indep_sets F J)"
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proof (intro iffI allI impI)
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  assume *: "\<forall>J\<subseteq>I. J \<noteq> {} \<longrightarrow> finite J \<longrightarrow> indep_sets F J"
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  show "indep_sets F I" unfolding indep_sets_def
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  proof (intro conjI ballI allI impI)
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    fix i assume "i \<in> I"
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    with *[THEN spec, of "{i}"] show "F i \<subseteq> events"
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      by (auto simp: indep_sets_def)
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  qed (insert *, auto simp: indep_sets_def)
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qed (auto simp: indep_sets_def)
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lemma (in prob_space) indep_sets_mono_index:
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  "J \<subseteq> I \<Longrightarrow> indep_sets F I \<Longrightarrow> indep_sets F J"
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  unfolding indep_sets_def by auto
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lemma (in prob_space) indep_sets_mono_sets:
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  assumes indep: "indep_sets F I"
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  assumes mono: "\<And>i. i\<in>I \<Longrightarrow> G i \<subseteq> F i"
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  shows "indep_sets G I"
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proof -
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  have "(\<forall>i\<in>I. F i \<subseteq> events) \<Longrightarrow> (\<forall>i\<in>I. G i \<subseteq> events)"
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    using mono by auto
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  moreover have "\<And>A J. J \<subseteq> I \<Longrightarrow> A \<in> (\<Pi> j\<in>J. G j) \<Longrightarrow> A \<in> (\<Pi> j\<in>J. F j)"
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    using mono by (auto simp: Pi_iff)
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  ultimately show ?thesis
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    using indep by (auto simp: indep_sets_def)
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qed
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lemma (in prob_space) indep_setsI:
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  assumes "\<And>i. i \<in> I \<Longrightarrow> F i \<subseteq> events"
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    and "\<And>A J. J \<noteq> {} \<Longrightarrow> J \<subseteq> I \<Longrightarrow> finite J \<Longrightarrow> (\<forall>j\<in>J. A j \<in> F j) \<Longrightarrow> prob (\<Inter>j\<in>J. A j) = (\<Prod>j\<in>J. prob (A j))"
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  shows "indep_sets F I"
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  using assms unfolding indep_sets_def by (auto simp: Pi_iff)
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lemma (in prob_space) indep_setsD:
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  assumes "indep_sets F I" and "J \<subseteq> I" "J \<noteq> {}" "finite J" "\<forall>j\<in>J. A j \<in> F j"
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  shows "prob (\<Inter>j\<in>J. A j) = (\<Prod>j\<in>J. prob (A j))"
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  using assms unfolding indep_sets_def by auto
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lemma (in prob_space) indep_setI:
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  assumes ev: "A \<subseteq> events" "B \<subseteq> events"
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    and indep: "\<And>a b. a \<in> A \<Longrightarrow> b \<in> B \<Longrightarrow> prob (a \<inter> b) = prob a * prob b"
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  shows "indep_set A B"
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  unfolding indep_set_def
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proof (rule indep_setsI)
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  fix F J assume "J \<noteq> {}" "J \<subseteq> UNIV"
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    and F: "\<forall>j\<in>J. F j \<in> (case j of True \<Rightarrow> A | False \<Rightarrow> B)"
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  have "J \<in> Pow UNIV" by auto
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  with F `J \<noteq> {}` indep[of "F True" "F False"]
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  show "prob (\<Inter>j\<in>J. F j) = (\<Prod>j\<in>J. prob (F j))"
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    unfolding UNIV_bool Pow_insert by (auto simp: ac_simps)
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qed (auto split: bool.split simp: ev)
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lemma (in prob_space) indep_setD:
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  assumes indep: "indep_set A B" and ev: "a \<in> A" "b \<in> B"
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  shows "prob (a \<inter> b) = prob a * prob b"
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  using indep[unfolded indep_set_def, THEN indep_setsD, of UNIV "bool_case a b"] ev
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  by (simp add: ac_simps UNIV_bool)
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lemma (in prob_space)
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  assumes indep: "indep_set A B"
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  shows indep_setD_ev1: "A \<subseteq> sets M"
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    and indep_setD_ev2: "B \<subseteq> sets M"
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  using indep unfolding indep_set_def indep_sets_def UNIV_bool by auto
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lemma dynkin_systemI':
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  assumes 1: "\<And> A. A \<in> sets M \<Longrightarrow> A \<subseteq> space M"
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  assumes empty: "{} \<in> sets M"
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  assumes Diff: "\<And> A. A \<in> sets M \<Longrightarrow> space M - A \<in> sets M"
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  assumes 2: "\<And> A. disjoint_family A \<Longrightarrow> range A \<subseteq> sets M
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          \<Longrightarrow> (\<Union>i::nat. A i) \<in> sets M"
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  shows "dynkin_system M"
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proof -
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  from Diff[OF empty] have "space M \<in> sets M" by auto
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  from 1 this Diff 2 show ?thesis
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    by (intro dynkin_systemI) auto
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qed
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lemma (in prob_space) indep_sets_dynkin:
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  assumes indep: "indep_sets F I"
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  shows "indep_sets (\<lambda>i. sets (dynkin \<lparr> space = space M, sets = F i \<rparr>)) I"
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    (is "indep_sets ?F I")
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proof (subst indep_sets_finite_index_sets, intro allI impI ballI)
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  fix J assume "finite J" "J \<subseteq> I" "J \<noteq> {}"
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  with indep have "indep_sets F J"
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    by (subst (asm) indep_sets_finite_index_sets) auto
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  { fix J K assume "indep_sets F K"
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    let "?G S i" = "if i \<in> S then ?F i else F i"
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    assume "finite J" "J \<subseteq> K"
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    then have "indep_sets (?G J) K"
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    proof induct
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      case (insert j J)
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      moreover def G \<equiv> "?G J"
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      ultimately have G: "indep_sets G K" "\<And>i. i \<in> K \<Longrightarrow> G i \<subseteq> events" and "j \<in> K"
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        by (auto simp: indep_sets_def)
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      let ?D = "{E\<in>events. indep_sets (G(j := {E})) K }"
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      { fix X assume X: "X \<in> events"
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        assume indep: "\<And>J A. J \<noteq> {} \<Longrightarrow> J \<subseteq> K \<Longrightarrow> finite J \<Longrightarrow> j \<notin> J \<Longrightarrow> (\<forall>i\<in>J. A i \<in> G i)
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          \<Longrightarrow> prob ((\<Inter>i\<in>J. A i) \<inter> X) = prob X * (\<Prod>i\<in>J. prob (A i))"
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        have "indep_sets (G(j := {X})) K"
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diff changeset
   139
        proof (rule indep_setsI)
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   140
          fix i assume "i \<in> K" then show "(G(j:={X})) i \<subseteq> events"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   141
            using G X by auto
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   142
        next
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   143
          fix A J assume J: "J \<noteq> {}" "J \<subseteq> K" "finite J" "\<forall>i\<in>J. A i \<in> (G(j := {X})) i"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   144
          show "prob (\<Inter>j\<in>J. A j) = (\<Prod>j\<in>J. prob (A j))"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   145
          proof cases
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   146
            assume "j \<in> J"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   147
            with J have "A j = X" by auto
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   148
            show ?thesis
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   149
            proof cases
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   150
              assume "J = {j}" then show ?thesis by simp
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   151
            next
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   152
              assume "J \<noteq> {j}"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   153
              have "prob (\<Inter>i\<in>J. A i) = prob ((\<Inter>i\<in>J-{j}. A i) \<inter> X)"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   154
                using `j \<in> J` `A j = X` by (auto intro!: arg_cong[where f=prob] split: split_if_asm)
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   155
              also have "\<dots> = prob X * (\<Prod>i\<in>J-{j}. prob (A i))"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   156
              proof (rule indep)
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   157
                show "J - {j} \<noteq> {}" "J - {j} \<subseteq> K" "finite (J - {j})" "j \<notin> J - {j}"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   158
                  using J `J \<noteq> {j}` `j \<in> J` by auto
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   159
                show "\<forall>i\<in>J - {j}. A i \<in> G i"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   160
                  using J by auto
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   161
              qed
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   162
              also have "\<dots> = prob (A j) * (\<Prod>i\<in>J-{j}. prob (A i))"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   163
                using `A j = X` by simp
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   164
              also have "\<dots> = (\<Prod>i\<in>J. prob (A i))"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   165
                unfolding setprod.insert_remove[OF `finite J`, symmetric, of "\<lambda>i. prob  (A i)"]
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   166
                using `j \<in> J` by (simp add: insert_absorb)
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   167
              finally show ?thesis .
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   168
            qed
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   169
          next
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   170
            assume "j \<notin> J"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   171
            with J have "\<forall>i\<in>J. A i \<in> G i" by (auto split: split_if_asm)
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   172
            with J show ?thesis
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   173
              by (intro indep_setsD[OF G(1)]) auto
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   174
          qed
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   175
        qed }
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   176
      note indep_sets_insert = this
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   177
      have "dynkin_system \<lparr> space = space M, sets = ?D \<rparr>"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   178
      proof (rule dynkin_systemI', simp_all, safe)
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   179
        show "indep_sets (G(j := {{}})) K"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   180
          by (rule indep_sets_insert) auto
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   181
      next
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   182
        fix X assume X: "X \<in> events" and G': "indep_sets (G(j := {X})) K"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   183
        show "indep_sets (G(j := {space M - X})) K"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   184
        proof (rule indep_sets_insert)
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   185
          fix J A assume J: "J \<noteq> {}" "J \<subseteq> K" "finite J" "j \<notin> J" and A: "\<forall>i\<in>J. A i \<in> G i"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   186
          then have A_sets: "\<And>i. i\<in>J \<Longrightarrow> A i \<in> events"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   187
            using G by auto
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   188
          have "prob ((\<Inter>j\<in>J. A j) \<inter> (space M - X)) =
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   189
              prob ((\<Inter>j\<in>J. A j) - (\<Inter>i\<in>insert j J. (A(j := X)) i))"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   190
            using A_sets sets_into_space X `J \<noteq> {}`
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   191
            by (auto intro!: arg_cong[where f=prob] split: split_if_asm)
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   192
          also have "\<dots> = prob (\<Inter>j\<in>J. A j) - prob (\<Inter>i\<in>insert j J. (A(j := X)) i)"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   193
            using J `J \<noteq> {}` `j \<notin> J` A_sets X sets_into_space
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   194
            by (auto intro!: finite_measure_Diff finite_INT split: split_if_asm)
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   195
          finally have "prob ((\<Inter>j\<in>J. A j) \<inter> (space M - X)) =
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   196
              prob (\<Inter>j\<in>J. A j) - prob (\<Inter>i\<in>insert j J. (A(j := X)) i)" .
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   197
          moreover {
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   198
            have "prob (\<Inter>j\<in>J. A j) = (\<Prod>j\<in>J. prob (A j))"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   199
              using J A `finite J` by (intro indep_setsD[OF G(1)]) auto
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   200
            then have "prob (\<Inter>j\<in>J. A j) = prob (space M) * (\<Prod>i\<in>J. prob (A i))"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   201
              using prob_space by simp }
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   202
          moreover {
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   203
            have "prob (\<Inter>i\<in>insert j J. (A(j := X)) i) = (\<Prod>i\<in>insert j J. prob ((A(j := X)) i))"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   204
              using J A `j \<in> K` by (intro indep_setsD[OF G']) auto
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   205
            then have "prob (\<Inter>i\<in>insert j J. (A(j := X)) i) = prob X * (\<Prod>i\<in>J. prob (A i))"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   206
              using `finite J` `j \<notin> J` by (auto intro!: setprod_cong) }
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   207
          ultimately have "prob ((\<Inter>j\<in>J. A j) \<inter> (space M - X)) = (prob (space M) - prob X) * (\<Prod>i\<in>J. prob (A i))"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   208
            by (simp add: field_simps)
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   209
          also have "\<dots> = prob (space M - X) * (\<Prod>i\<in>J. prob (A i))"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   210
            using X A by (simp add: finite_measure_compl)
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   211
          finally show "prob ((\<Inter>j\<in>J. A j) \<inter> (space M - X)) = prob (space M - X) * (\<Prod>i\<in>J. prob (A i))" .
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   212
        qed (insert X, auto)
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   213
      next
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   214
        fix F :: "nat \<Rightarrow> 'a set" assume disj: "disjoint_family F" and "range F \<subseteq> ?D"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   215
        then have F: "\<And>i. F i \<in> events" "\<And>i. indep_sets (G(j:={F i})) K" by auto
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   216
        show "indep_sets (G(j := {\<Union>k. F k})) K"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   217
        proof (rule indep_sets_insert)
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   218
          fix J A assume J: "j \<notin> J" "J \<noteq> {}" "J \<subseteq> K" "finite J" and A: "\<forall>i\<in>J. A i \<in> G i"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   219
          then have A_sets: "\<And>i. i\<in>J \<Longrightarrow> A i \<in> events"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   220
            using G by auto
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   221
          have "prob ((\<Inter>j\<in>J. A j) \<inter> (\<Union>k. F k)) = prob (\<Union>k. (\<Inter>i\<in>insert j J. (A(j := F k)) i))"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   222
            using `J \<noteq> {}` `j \<notin> J` `j \<in> K` by (auto intro!: arg_cong[where f=prob] split: split_if_asm)
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   223
          moreover have "(\<lambda>k. prob (\<Inter>i\<in>insert j J. (A(j := F k)) i)) sums prob (\<Union>k. (\<Inter>i\<in>insert j J. (A(j := F k)) i))"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   224
          proof (rule finite_measure_UNION)
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   225
            show "disjoint_family (\<lambda>k. \<Inter>i\<in>insert j J. (A(j := F k)) i)"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   226
              using disj by (rule disjoint_family_on_bisimulation) auto
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   227
            show "range (\<lambda>k. \<Inter>i\<in>insert j J. (A(j := F k)) i) \<subseteq> events"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   228
              using A_sets F `finite J` `J \<noteq> {}` `j \<notin> J` by (auto intro!: Int)
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   229
          qed
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   230
          moreover { fix k
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   231
            from J A `j \<in> K` have "prob (\<Inter>i\<in>insert j J. (A(j := F k)) i) = prob (F k) * (\<Prod>i\<in>J. prob (A i))"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   232
              by (subst indep_setsD[OF F(2)]) (auto intro!: setprod_cong split: split_if_asm)
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   233
            also have "\<dots> = prob (F k) * prob (\<Inter>i\<in>J. A i)"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   234
              using J A `j \<in> K` by (subst indep_setsD[OF G(1)]) auto
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   235
            finally have "prob (\<Inter>i\<in>insert j J. (A(j := F k)) i) = prob (F k) * prob (\<Inter>i\<in>J. A i)" . }
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   236
          ultimately have "(\<lambda>k. prob (F k) * prob (\<Inter>i\<in>J. A i)) sums (prob ((\<Inter>j\<in>J. A j) \<inter> (\<Union>k. F k)))"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   237
            by simp
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   238
          moreover
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   239
          have "(\<lambda>k. prob (F k) * prob (\<Inter>i\<in>J. A i)) sums (prob (\<Union>k. F k) * prob (\<Inter>i\<in>J. A i))"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   240
            using disj F(1) by (intro finite_measure_UNION sums_mult2) auto
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   241
          then have "(\<lambda>k. prob (F k) * prob (\<Inter>i\<in>J. A i)) sums (prob (\<Union>k. F k) * (\<Prod>i\<in>J. prob (A i)))"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   242
            using J A `j \<in> K` by (subst indep_setsD[OF G(1), symmetric]) auto
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   243
          ultimately
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   244
          show "prob ((\<Inter>j\<in>J. A j) \<inter> (\<Union>k. F k)) = prob (\<Union>k. F k) * (\<Prod>j\<in>J. prob (A j))"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   245
            by (auto dest!: sums_unique)
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   246
        qed (insert F, auto)
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   247
      qed (insert sets_into_space, auto)
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   248
      then have mono: "sets (dynkin \<lparr>space = space M, sets = G j\<rparr>) \<subseteq>
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   249
        sets \<lparr>space = space M, sets = {E \<in> events. indep_sets (G(j := {E})) K}\<rparr>"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   250
      proof (rule dynkin_system.dynkin_subset, simp_all, safe)
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   251
        fix X assume "X \<in> G j"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   252
        then show "X \<in> events" using G `j \<in> K` by auto
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   253
        from `indep_sets G K`
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   254
        show "indep_sets (G(j := {X})) K"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   255
          by (rule indep_sets_mono_sets) (insert `X \<in> G j`, auto)
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   256
      qed
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   257
      have "indep_sets (G(j:=?D)) K"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   258
      proof (rule indep_setsI)
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   259
        fix i assume "i \<in> K" then show "(G(j := ?D)) i \<subseteq> events"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   260
          using G(2) by auto
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   261
      next
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   262
        fix A J assume J: "J\<noteq>{}" "J \<subseteq> K" "finite J" and A: "\<forall>i\<in>J. A i \<in> (G(j := ?D)) i"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   263
        show "prob (\<Inter>j\<in>J. A j) = (\<Prod>j\<in>J. prob (A j))"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   264
        proof cases
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   265
          assume "j \<in> J"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   266
          with A have indep: "indep_sets (G(j := {A j})) K" by auto
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   267
          from J A show ?thesis
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   268
            by (intro indep_setsD[OF indep]) auto
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   269
        next
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   270
          assume "j \<notin> J"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   271
          with J A have "\<forall>i\<in>J. A i \<in> G i" by (auto split: split_if_asm)
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   272
          with J show ?thesis
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   273
            by (intro indep_setsD[OF G(1)]) auto
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   274
        qed
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   275
      qed
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   276
      then have "indep_sets (G(j:=sets (dynkin \<lparr>space = space M, sets = G j\<rparr>))) K"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   277
        by (rule indep_sets_mono_sets) (insert mono, auto)
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   278
      then show ?case
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   279
        by (rule indep_sets_mono_sets) (insert `j \<in> K` `j \<notin> J`, auto simp: G_def)
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   280
    qed (insert `indep_sets F K`, simp) }
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   281
  from this[OF `indep_sets F J` `finite J` subset_refl]
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   282
  show "indep_sets (\<lambda>i. sets (dynkin \<lparr> space = space M, sets = F i \<rparr>)) J"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   283
    by (rule indep_sets_mono_sets) auto
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   284
qed
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   285
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   286
lemma (in prob_space) indep_sets_sigma:
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   287
  assumes indep: "indep_sets F I"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   288
  assumes stable: "\<And>i. i \<in> I \<Longrightarrow> Int_stable \<lparr> space = space M, sets = F i \<rparr>"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   289
  shows "indep_sets (\<lambda>i. sets (sigma \<lparr> space = space M, sets = F i \<rparr>)) I"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   290
proof -
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   291
  from indep_sets_dynkin[OF indep]
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   292
  show ?thesis
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   293
  proof (rule indep_sets_mono_sets, subst sigma_eq_dynkin, simp_all add: stable)
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   294
    fix i assume "i \<in> I"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   295
    with indep have "F i \<subseteq> events" by (auto simp: indep_sets_def)
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   296
    with sets_into_space show "F i \<subseteq> Pow (space M)" by auto
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   297
  qed
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   298
qed
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   299
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   300
lemma (in prob_space) indep_sets_sigma_sets:
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   301
  assumes "indep_sets F I"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   302
  assumes "\<And>i. i \<in> I \<Longrightarrow> Int_stable \<lparr> space = space M, sets = F i \<rparr>"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   303
  shows "indep_sets (\<lambda>i. sigma_sets (space M) (F i)) I"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   304
  using indep_sets_sigma[OF assms] by (simp add: sets_sigma)
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   305
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   306
lemma (in prob_space) indep_sets2_eq:
42981
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   307
  "indep_set A B \<longleftrightarrow> A \<subseteq> events \<and> B \<subseteq> events \<and> (\<forall>a\<in>A. \<forall>b\<in>B. prob (a \<inter> b) = prob a * prob b)"
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   308
  unfolding indep_set_def
42861
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   309
proof (intro iffI ballI conjI)
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   310
  assume indep: "indep_sets (bool_case A B) UNIV"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   311
  { fix a b assume "a \<in> A" "b \<in> B"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   312
    with indep_setsD[OF indep, of UNIV "bool_case a b"]
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   313
    show "prob (a \<inter> b) = prob a * prob b"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   314
      unfolding UNIV_bool by (simp add: ac_simps) }
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   315
  from indep show "A \<subseteq> events" "B \<subseteq> events"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   316
    unfolding indep_sets_def UNIV_bool by auto
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   317
next
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   318
  assume *: "A \<subseteq> events \<and> B \<subseteq> events \<and> (\<forall>a\<in>A. \<forall>b\<in>B. prob (a \<inter> b) = prob a * prob b)"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   319
  show "indep_sets (bool_case A B) UNIV"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   320
  proof (rule indep_setsI)
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   321
    fix i show "(case i of True \<Rightarrow> A | False \<Rightarrow> B) \<subseteq> events"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   322
      using * by (auto split: bool.split)
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   323
  next
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   324
    fix J X assume "J \<noteq> {}" "J \<subseteq> UNIV" and X: "\<forall>j\<in>J. X j \<in> (case j of True \<Rightarrow> A | False \<Rightarrow> B)"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   325
    then have "J = {True} \<or> J = {False} \<or> J = {True,False}"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   326
      by (auto simp: UNIV_bool)
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   327
    then show "prob (\<Inter>j\<in>J. X j) = (\<Prod>j\<in>J. prob (X j))"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   328
      using X * by auto
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   329
  qed
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   330
qed
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   331
42981
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   332
lemma (in prob_space) indep_set_sigma_sets:
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   333
  assumes "indep_set A B"
42861
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   334
  assumes A: "Int_stable \<lparr> space = space M, sets = A \<rparr>"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   335
  assumes B: "Int_stable \<lparr> space = space M, sets = B \<rparr>"
42981
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   336
  shows "indep_set (sigma_sets (space M) A) (sigma_sets (space M) B)"
42861
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   337
proof -
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   338
  have "indep_sets (\<lambda>i. sigma_sets (space M) (case i of True \<Rightarrow> A | False \<Rightarrow> B)) UNIV"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   339
  proof (rule indep_sets_sigma_sets)
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   340
    show "indep_sets (bool_case A B) UNIV"
42981
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   341
      by (rule `indep_set A B`[unfolded indep_set_def])
42861
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   342
    fix i show "Int_stable \<lparr>space = space M, sets = case i of True \<Rightarrow> A | False \<Rightarrow> B\<rparr>"
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   343
      using A B by (cases i) auto
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   344
  qed
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   345
  then show ?thesis
42981
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   346
    unfolding indep_set_def
42861
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   347
    by (rule indep_sets_mono_sets) (auto split: bool.split)
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   348
qed
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   349
42981
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   350
lemma (in prob_space) indep_sets_collect_sigma:
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   351
  fixes I :: "'j \<Rightarrow> 'i set" and J :: "'j set" and E :: "'i \<Rightarrow> 'a set set"
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   352
  assumes indep: "indep_sets E (\<Union>j\<in>J. I j)"
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   353
  assumes Int_stable: "\<And>i j. j \<in> J \<Longrightarrow> i \<in> I j \<Longrightarrow> Int_stable \<lparr>space = space M, sets = E i\<rparr>"
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   354
  assumes disjoint: "disjoint_family_on I J"
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   355
  shows "indep_sets (\<lambda>j. sigma_sets (space M) (\<Union>i\<in>I j. E i)) J"
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   356
proof -
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   357
  let "?E j" = "{\<Inter>k\<in>K. E' k| E' K. finite K \<and> K \<noteq> {} \<and> K \<subseteq> I j \<and> (\<forall>k\<in>K. E' k \<in> E k) }"
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   358
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   359
  from indep have E: "\<And>j i. j \<in> J \<Longrightarrow> i \<in> I j \<Longrightarrow> E i \<subseteq> sets M"
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   360
    unfolding indep_sets_def by auto
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   361
  { fix j
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   362
    let ?S = "sigma \<lparr> space = space M, sets = (\<Union>i\<in>I j. E i) \<rparr>"
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   363
    assume "j \<in> J"
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   364
    from E[OF this] interpret S: sigma_algebra ?S
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   365
      using sets_into_space by (intro sigma_algebra_sigma) auto
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   366
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   367
    have "sigma_sets (space M) (\<Union>i\<in>I j. E i) = sigma_sets (space M) (?E j)"
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   368
    proof (rule sigma_sets_eqI)
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   369
      fix A assume "A \<in> (\<Union>i\<in>I j. E i)"
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   370
      then guess i ..
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   371
      then show "A \<in> sigma_sets (space M) (?E j)"
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   372
        by (auto intro!: sigma_sets.intros exI[of _ "{i}"] exI[of _ "\<lambda>i. A"])
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   373
    next
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   374
      fix A assume "A \<in> ?E j"
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   375
      then obtain E' K where "finite K" "K \<noteq> {}" "K \<subseteq> I j" "\<And>k. k \<in> K \<Longrightarrow> E' k \<in> E k"
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   376
        and A: "A = (\<Inter>k\<in>K. E' k)"
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   377
        by auto
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   378
      then have "A \<in> sets ?S" unfolding A
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   379
        by (safe intro!: S.finite_INT)
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   380
           (auto simp: sets_sigma intro!: sigma_sets.Basic)
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   381
      then show "A \<in> sigma_sets (space M) (\<Union>i\<in>I j. E i)"
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   382
        by (simp add: sets_sigma)
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   383
    qed }
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   384
  moreover have "indep_sets (\<lambda>j. sigma_sets (space M) (?E j)) J"
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   385
  proof (rule indep_sets_sigma_sets)
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   386
    show "indep_sets ?E J"
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   387
    proof (intro indep_setsI)
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   388
      fix j assume "j \<in> J" with E show "?E j \<subseteq> events" by (force  intro!: finite_INT)
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   389
    next
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   390
      fix K A assume K: "K \<noteq> {}" "K \<subseteq> J" "finite K"
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   391
        and "\<forall>j\<in>K. A j \<in> ?E j"
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   392
      then have "\<forall>j\<in>K. \<exists>E' L. A j = (\<Inter>l\<in>L. E' l) \<and> finite L \<and> L \<noteq> {} \<and> L \<subseteq> I j \<and> (\<forall>l\<in>L. E' l \<in> E l)"
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   393
        by simp
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   394
      from bchoice[OF this] guess E' ..
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   395
      from bchoice[OF this] obtain L
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   396
        where A: "\<And>j. j\<in>K \<Longrightarrow> A j = (\<Inter>l\<in>L j. E' j l)"
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   397
        and L: "\<And>j. j\<in>K \<Longrightarrow> finite (L j)" "\<And>j. j\<in>K \<Longrightarrow> L j \<noteq> {}" "\<And>j. j\<in>K \<Longrightarrow> L j \<subseteq> I j"
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   398
        and E': "\<And>j l. j\<in>K \<Longrightarrow> l \<in> L j \<Longrightarrow> E' j l \<in> E l"
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   399
        by auto
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   400
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   401
      { fix k l j assume "k \<in> K" "j \<in> K" "l \<in> L j" "l \<in> L k"
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   402
        have "k = j"
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   403
        proof (rule ccontr)
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   404
          assume "k \<noteq> j"
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   405
          with disjoint `K \<subseteq> J` `k \<in> K` `j \<in> K` have "I k \<inter> I j = {}"
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   406
            unfolding disjoint_family_on_def by auto
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   407
          with L(2,3)[OF `j \<in> K`] L(2,3)[OF `k \<in> K`]
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   408
          show False using `l \<in> L k` `l \<in> L j` by auto
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   409
        qed }
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   410
      note L_inj = this
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   411
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   412
      def k \<equiv> "\<lambda>l. (SOME k. k \<in> K \<and> l \<in> L k)"
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   413
      { fix x j l assume *: "j \<in> K" "l \<in> L j"
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   414
        have "k l = j" unfolding k_def
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   415
        proof (rule some_equality)
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   416
          fix k assume "k \<in> K \<and> l \<in> L k"
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   417
          with * L_inj show "k = j" by auto
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   418
        qed (insert *, simp) }
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   419
      note k_simp[simp] = this
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   420
      let "?E' l" = "E' (k l) l"
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   421
      have "prob (\<Inter>j\<in>K. A j) = prob (\<Inter>l\<in>(\<Union>k\<in>K. L k). ?E' l)"
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   422
        by (auto simp: A intro!: arg_cong[where f=prob])
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   423
      also have "\<dots> = (\<Prod>l\<in>(\<Union>k\<in>K. L k). prob (?E' l))"
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   424
        using L K E' by (intro indep_setsD[OF indep]) (simp_all add: UN_mono)
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   425
      also have "\<dots> = (\<Prod>j\<in>K. \<Prod>l\<in>L j. prob (E' j l))"
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   426
        using K L L_inj by (subst setprod_UN_disjoint) auto
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   427
      also have "\<dots> = (\<Prod>j\<in>K. prob (A j))"
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   428
        using K L E' by (auto simp add: A intro!: setprod_cong indep_setsD[OF indep, symmetric]) blast
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   429
      finally show "prob (\<Inter>j\<in>K. A j) = (\<Prod>j\<in>K. prob (A j))" .
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   430
    qed
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   431
  next
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   432
    fix j assume "j \<in> J"
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   433
    show "Int_stable \<lparr> space = space M, sets = ?E j \<rparr>"
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   434
    proof (rule Int_stableI)
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   435
      fix a assume "a \<in> ?E j" then obtain Ka Ea
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   436
        where a: "a = (\<Inter>k\<in>Ka. Ea k)" "finite Ka" "Ka \<noteq> {}" "Ka \<subseteq> I j" "\<And>k. k\<in>Ka \<Longrightarrow> Ea k \<in> E k" by auto
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   437
      fix b assume "b \<in> ?E j" then obtain Kb Eb
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   438
        where b: "b = (\<Inter>k\<in>Kb. Eb k)" "finite Kb" "Kb \<noteq> {}" "Kb \<subseteq> I j" "\<And>k. k\<in>Kb \<Longrightarrow> Eb k \<in> E k" by auto
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   439
      let ?A = "\<lambda>k. (if k \<in> Ka \<inter> Kb then Ea k \<inter> Eb k else if k \<in> Kb then Eb k else if k \<in> Ka then Ea k else {})"
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   440
      have "a \<inter> b = INTER (Ka \<union> Kb) ?A"
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   441
        by (simp add: a b set_eq_iff) auto
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   442
      with a b `j \<in> J` Int_stableD[OF Int_stable] show "a \<inter> b \<in> ?E j"
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   443
        by (intro CollectI exI[of _ "Ka \<union> Kb"] exI[of _ ?A]) auto
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   444
    qed
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   445
  qed
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   446
  ultimately show ?thesis
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   447
    by (simp cong: indep_sets_cong)
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   448
qed
fe7f5a26e4c6 add lemma indep_sets_collect_sigma
hoelzl
parents: 42861
diff changeset
   449
42982
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   450
definition (in prob_space) terminal_events where
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   451
  "terminal_events A = (\<Inter>n. sigma_sets (space M) (UNION {n..} A))"
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   452
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   453
lemma (in prob_space) terminal_events_sets:
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   454
  assumes A: "\<And>i. A i \<subseteq> sets M"
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   455
  assumes "\<And>i::nat. sigma_algebra \<lparr>space = space M, sets = A i\<rparr>"
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   456
  assumes X: "X \<in> terminal_events A"
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   457
  shows "X \<in> sets M"
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   458
proof -
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   459
  let ?A = "(\<Inter>n. sigma_sets (space M) (UNION {n..} A))"
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   460
  interpret A: sigma_algebra "\<lparr>space = space M, sets = A i\<rparr>" for i by fact
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   461
  from X have "\<And>n. X \<in> sigma_sets (space M) (UNION {n..} A)" by (auto simp: terminal_events_def)
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   462
  from this[of 0] have "X \<in> sigma_sets (space M) (UNION UNIV A)" by simp
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   463
  then show "X \<in> sets M"
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   464
    by induct (insert A, auto)
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   465
qed
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   466
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   467
lemma (in prob_space) sigma_algebra_terminal_events:
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   468
  assumes "\<And>i::nat. sigma_algebra \<lparr>space = space M, sets = A i\<rparr>"
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   469
  shows "sigma_algebra \<lparr> space = space M, sets = terminal_events A \<rparr>"
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   470
  unfolding terminal_events_def
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   471
proof (simp add: sigma_algebra_iff2, safe)
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   472
  let ?A = "(\<Inter>n. sigma_sets (space M) (UNION {n..} A))"
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   473
  interpret A: sigma_algebra "\<lparr>space = space M, sets = A i\<rparr>" for i by fact
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   474
  { fix X x assume "X \<in> ?A" "x \<in> X" 
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   475
    then have "\<And>n. X \<in> sigma_sets (space M) (UNION {n..} A)" by auto
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   476
    from this[of 0] have "X \<in> sigma_sets (space M) (UNION UNIV A)" by simp
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   477
    then have "X \<subseteq> space M"
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   478
      by induct (insert A.sets_into_space, auto)
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   479
    with `x \<in> X` show "x \<in> space M" by auto }
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   480
  { fix F :: "nat \<Rightarrow> 'a set" and n assume "range F \<subseteq> ?A"
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   481
    then show "(UNION UNIV F) \<in> sigma_sets (space M) (UNION {n..} A)"
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   482
      by (intro sigma_sets.Union) auto }
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   483
qed (auto intro!: sigma_sets.Compl sigma_sets.Empty)
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   484
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   485
lemma (in prob_space) kolmogorov_0_1_law:
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   486
  fixes A :: "nat \<Rightarrow> 'a set set"
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   487
  assumes A: "\<And>i. A i \<subseteq> sets M"
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   488
  assumes "\<And>i::nat. sigma_algebra \<lparr>space = space M, sets = A i\<rparr>"
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   489
  assumes indep: "indep_sets A UNIV"
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   490
  and X: "X \<in> terminal_events A"
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   491
  shows "prob X = 0 \<or> prob X = 1"
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   492
proof -
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   493
  let ?D = "\<lparr> space = space M, sets = {D \<in> sets M. prob (X \<inter> D) = prob X * prob D} \<rparr>"
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   494
  interpret A: sigma_algebra "\<lparr>space = space M, sets = A i\<rparr>" for i by fact
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   495
  interpret T: sigma_algebra "\<lparr> space = space M, sets = terminal_events A \<rparr>"
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   496
    by (rule sigma_algebra_terminal_events) fact
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   497
  have "X \<subseteq> space M" using T.space_closed X by auto
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   498
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   499
  have X_in: "X \<in> sets M"
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   500
    by (rule terminal_events_sets) fact+
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   501
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   502
  interpret D: dynkin_system ?D
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   503
  proof (rule dynkin_systemI)
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   504
    fix D assume "D \<in> sets ?D" then show "D \<subseteq> space ?D"
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   505
      using sets_into_space by auto
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   506
  next
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   507
    show "space ?D \<in> sets ?D"
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   508
      using prob_space `X \<subseteq> space M` by (simp add: Int_absorb2)
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   509
  next
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   510
    fix A assume A: "A \<in> sets ?D"
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   511
    have "prob (X \<inter> (space M - A)) = prob (X - (X \<inter> A))"
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   512
      using `X \<subseteq> space M` by (auto intro!: arg_cong[where f=prob])
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   513
    also have "\<dots> = prob X - prob (X \<inter> A)"
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   514
      using X_in A by (intro finite_measure_Diff) auto
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   515
    also have "\<dots> = prob X * prob (space M) - prob X * prob A"
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   516
      using A prob_space by auto
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   517
    also have "\<dots> = prob X * prob (space M - A)"
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   518
      using X_in A sets_into_space
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   519
      by (subst finite_measure_Diff) (auto simp: field_simps)
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   520
    finally show "space ?D - A \<in> sets ?D"
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   521
      using A `X \<subseteq> space M` by auto
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   522
  next
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   523
    fix F :: "nat \<Rightarrow> 'a set" assume dis: "disjoint_family F" and "range F \<subseteq> sets ?D"
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   524
    then have F: "range F \<subseteq> events" "\<And>i. prob (X \<inter> F i) = prob X * prob (F i)"
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   525
      by auto
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   526
    have "(\<lambda>i. prob (X \<inter> F i)) sums prob (\<Union>i. X \<inter> F i)"
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   527
    proof (rule finite_measure_UNION)
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   528
      show "range (\<lambda>i. X \<inter> F i) \<subseteq> events"
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   529
        using F X_in by auto
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   530
      show "disjoint_family (\<lambda>i. X \<inter> F i)"
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   531
        using dis by (rule disjoint_family_on_bisimulation) auto
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   532
    qed
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   533
    with F have "(\<lambda>i. prob X * prob (F i)) sums prob (X \<inter> (\<Union>i. F i))"
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   534
      by simp
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   535
    moreover have "(\<lambda>i. prob X * prob (F i)) sums (prob X * prob (\<Union>i. F i))"
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   536
      by (intro mult_right.sums finite_measure_UNION F dis)
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   537
    ultimately have "prob (X \<inter> (\<Union>i. F i)) = prob X * prob (\<Union>i. F i)"
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   538
      by (auto dest!: sums_unique)
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   539
    with F show "(\<Union>i. F i) \<in> sets ?D"
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   540
      by auto
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   541
  qed
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   542
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   543
  { fix n
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   544
    have "indep_sets (\<lambda>b. sigma_sets (space M) (\<Union>m\<in>bool_case {..n} {Suc n..} b. A m)) UNIV"
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   545
    proof (rule indep_sets_collect_sigma)
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   546
      have *: "(\<Union>b. case b of True \<Rightarrow> {..n} | False \<Rightarrow> {Suc n..}) = UNIV" (is "?U = _")
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   547
        by (simp split: bool.split add: set_eq_iff) (metis not_less_eq_eq)
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   548
      with indep show "indep_sets A ?U" by simp
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   549
      show "disjoint_family (bool_case {..n} {Suc n..})"
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   550
        unfolding disjoint_family_on_def by (auto split: bool.split)
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   551
      fix m
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   552
      show "Int_stable \<lparr>space = space M, sets = A m\<rparr>"
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   553
        unfolding Int_stable_def using A.Int by auto
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   554
    qed
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   555
    also have "(\<lambda>b. sigma_sets (space M) (\<Union>m\<in>bool_case {..n} {Suc n..} b. A m)) = 
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   556
      bool_case (sigma_sets (space M) (\<Union>m\<in>{..n}. A m)) (sigma_sets (space M) (\<Union>m\<in>{Suc n..}. A m))"
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   557
      by (auto intro!: ext split: bool.split)
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   558
    finally have indep: "indep_set (sigma_sets (space M) (\<Union>m\<in>{..n}. A m)) (sigma_sets (space M) (\<Union>m\<in>{Suc n..}. A m))"
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   559
      unfolding indep_set_def by simp
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   560
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   561
    have "sigma_sets (space M) (\<Union>m\<in>{..n}. A m) \<subseteq> sets ?D"
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   562
    proof (simp add: subset_eq, rule)
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   563
      fix D assume D: "D \<in> sigma_sets (space M) (\<Union>m\<in>{..n}. A m)"
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   564
      have "X \<in> sigma_sets (space M) (\<Union>m\<in>{Suc n..}. A m)"
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   565
        using X unfolding terminal_events_def by simp
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   566
      from indep_setD[OF indep D this] indep_setD_ev1[OF indep] D
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   567
      show "D \<in> events \<and> prob (X \<inter> D) = prob X * prob D"
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   568
        by (auto simp add: ac_simps)
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   569
    qed }
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   570
  then have "(\<Union>n. sigma_sets (space M) (\<Union>m\<in>{..n}. A m)) \<subseteq> sets ?D" (is "?A \<subseteq> _")
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   571
    by auto
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   572
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   573
  have "sigma \<lparr> space = space M, sets = ?A \<rparr> =
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   574
    dynkin \<lparr> space = space M, sets = ?A \<rparr>" (is "sigma ?UA = dynkin ?UA")
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   575
  proof (rule sigma_eq_dynkin)
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   576
    { fix B n assume "B \<in> sigma_sets (space M) (\<Union>m\<in>{..n}. A m)"
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   577
      then have "B \<subseteq> space M"
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   578
        by induct (insert A sets_into_space, auto) }
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   579
    then show "sets ?UA \<subseteq> Pow (space ?UA)" by auto
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   580
    show "Int_stable ?UA"
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   581
    proof (rule Int_stableI)
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   582
      fix a assume "a \<in> ?A" then guess n .. note a = this
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   583
      fix b assume "b \<in> ?A" then guess m .. note b = this
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   584
      interpret Amn: sigma_algebra "sigma \<lparr>space = space M, sets = (\<Union>i\<in>{..max m n}. A i)\<rparr>"
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   585
        using A sets_into_space by (intro sigma_algebra_sigma) auto
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   586
      have "sigma_sets (space M) (\<Union>i\<in>{..n}. A i) \<subseteq> sigma_sets (space M) (\<Union>i\<in>{..max m n}. A i)"
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   587
        by (intro sigma_sets_subseteq UN_mono) auto
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   588
      with a have "a \<in> sigma_sets (space M) (\<Union>i\<in>{..max m n}. A i)" by auto
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   589
      moreover
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   590
      have "sigma_sets (space M) (\<Union>i\<in>{..m}. A i) \<subseteq> sigma_sets (space M) (\<Union>i\<in>{..max m n}. A i)"
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   591
        by (intro sigma_sets_subseteq UN_mono) auto
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   592
      with b have "b \<in> sigma_sets (space M) (\<Union>i\<in>{..max m n}. A i)" by auto
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   593
      ultimately have "a \<inter> b \<in> sigma_sets (space M) (\<Union>i\<in>{..max m n}. A i)"
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   594
        using Amn.Int[of a b] by (simp add: sets_sigma)
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   595
      then show "a \<inter> b \<in> (\<Union>n. sigma_sets (space M) (\<Union>i\<in>{..n}. A i))" by auto
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   596
    qed
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   597
  qed
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   598
  moreover have "sets (dynkin ?UA) \<subseteq> sets ?D"
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   599
  proof (rule D.dynkin_subset)
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   600
    show "sets ?UA \<subseteq> sets ?D" using `?A \<subseteq> sets ?D` by auto
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   601
  qed simp
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   602
  ultimately have "sets (sigma ?UA) \<subseteq> sets ?D" by simp
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   603
  moreover
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   604
  have "\<And>n. sigma_sets (space M) (\<Union>i\<in>{n..}. A i) \<subseteq> sigma_sets (space M) ?A"
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   605
    by (intro sigma_sets_subseteq UN_mono) (auto intro: sigma_sets.Basic)
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   606
  then have "terminal_events A \<subseteq> sets (sigma ?UA)"
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   607
    unfolding sets_sigma terminal_events_def by auto
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   608
  moreover note `X \<in> terminal_events A`
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   609
  ultimately have "X \<in> sets ?D" by auto
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   610
  then show ?thesis by auto
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   611
qed
fa0ac7bee9ac add lemma kolmogorov_0_1_law
hoelzl
parents: 42981
diff changeset
   612
42861
16375b493b64 Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff changeset
   613
end