src/HOL/Probability/Probability_Measure.thy
 author wenzelm Thu, 18 Apr 2013 17:07:01 +0200 changeset 51717 9e7d1c139569 parent 51683 baefa3b461c2 child 53015 a1119cf551e8 permissions -rw-r--r--
simplifier uses proper Proof.context instead of historic type simpset;
```
(*  Title:      HOL/Probability/Probability_Measure.thy
Author:     Johannes Hölzl, TU München
Author:     Armin Heller, TU München
*)

theory Probability_Measure
begin

locale prob_space = finite_measure +
assumes emeasure_space_1: "emeasure M (space M) = 1"

lemma prob_spaceI[Pure.intro!]:
assumes *: "emeasure M (space M) = 1"
shows "prob_space M"
proof -
interpret finite_measure M
proof
show "emeasure M (space M) \<noteq> \<infinity>" using * by simp
qed
show "prob_space M" by default fact
qed

abbreviation (in prob_space) "events \<equiv> sets M"
abbreviation (in prob_space) "prob \<equiv> measure M"
abbreviation (in prob_space) "random_variable M' X \<equiv> X \<in> measurable M M'"
abbreviation (in prob_space) "expectation \<equiv> integral\<^isup>L M"

lemma (in prob_space) prob_space_distr:
assumes f: "f \<in> measurable M M'" shows "prob_space (distr M M' f)"
proof (rule prob_spaceI)
have "f -` space M' \<inter> space M = space M" using f by (auto dest: measurable_space)
with f show "emeasure (distr M M' f) (space (distr M M' f)) = 1"
by (auto simp: emeasure_distr emeasure_space_1)
qed

lemma (in prob_space) prob_space: "prob (space M) = 1"
using emeasure_space_1 unfolding measure_def by (simp add: one_ereal_def)

lemma (in prob_space) prob_le_1[simp, intro]: "prob A \<le> 1"
using bounded_measure[of A] by (simp add: prob_space)

lemma (in prob_space) not_empty: "space M \<noteq> {}"
using prob_space by auto

lemma (in prob_space) measure_le_1: "emeasure M X \<le> 1"
using emeasure_space[of M X] by (simp add: emeasure_space_1)

lemma (in prob_space) AE_I_eq_1:
assumes "emeasure M {x\<in>space M. P x} = 1" "{x\<in>space M. P x} \<in> sets M"
shows "AE x in M. P x"
proof (rule AE_I)
show "emeasure M (space M - {x \<in> space M. P x}) = 0"
using assms emeasure_space_1 by (simp add: emeasure_compl)
qed (insert assms, auto)

lemma (in prob_space) prob_compl:
assumes A: "A \<in> events"
shows "prob (space M - A) = 1 - prob A"
using finite_measure_compl[OF A] by (simp add: prob_space)

lemma (in prob_space) AE_in_set_eq_1:
assumes "A \<in> events" shows "(AE x in M. x \<in> A) \<longleftrightarrow> prob A = 1"
proof
assume ae: "AE x in M. x \<in> A"
have "{x \<in> space M. x \<in> A} = A" "{x \<in> space M. x \<notin> A} = space M - A"
using `A \<in> events`[THEN sets.sets_into_space] by auto
with AE_E2[OF ae] `A \<in> events` have "1 - emeasure M A = 0"
then show "prob A = 1"
using `A \<in> events` by (simp add: emeasure_eq_measure one_ereal_def)
next
assume prob: "prob A = 1"
show "AE x in M. x \<in> A"
proof (rule AE_I)
show "{x \<in> space M. x \<notin> A} \<subseteq> space M - A" by auto
show "emeasure M (space M - A) = 0"
using `A \<in> events` prob
by (simp add: prob_compl emeasure_space_1 emeasure_eq_measure one_ereal_def)
show "space M - A \<in> events"
using `A \<in> events` by auto
qed
qed

lemma (in prob_space) AE_False: "(AE x in M. False) \<longleftrightarrow> False"
proof
assume "AE x in M. False"
then have "AE x in M. x \<in> {}" by simp
then show False
by (subst (asm) AE_in_set_eq_1) auto
qed simp

lemma (in prob_space) AE_prob_1:
assumes "prob A = 1" shows "AE x in M. x \<in> A"
proof -
from `prob A = 1` have "A \<in> events"
by (metis measure_notin_sets zero_neq_one)
with AE_in_set_eq_1 assms show ?thesis by simp
qed

lemma (in prob_space) AE_const[simp]: "(AE x in M. P) \<longleftrightarrow> P"
by (cases P) (auto simp: AE_False)

lemma (in prob_space) AE_contr:
assumes ae: "AE \<omega> in M. P \<omega>" "AE \<omega> in M. \<not> P \<omega>"
shows False
proof -
from ae have "AE \<omega> in M. False" by eventually_elim auto
then show False by auto
qed

lemma (in prob_space) expectation_less:
assumes [simp]: "integrable M X"
assumes gt: "AE x in M. X x < b"
shows "expectation X < b"
proof -
have "expectation X < expectation (\<lambda>x. b)"
using gt emeasure_space_1
by (intro integral_less_AE_space) auto
then show ?thesis using prob_space by simp
qed

lemma (in prob_space) expectation_greater:
assumes [simp]: "integrable M X"
assumes gt: "AE x in M. a < X x"
shows "a < expectation X"
proof -
have "expectation (\<lambda>x. a) < expectation X"
using gt emeasure_space_1
by (intro integral_less_AE_space) auto
then show ?thesis using prob_space by simp
qed

lemma (in prob_space) jensens_inequality:
fixes a b :: real
assumes X: "integrable M X" "AE x in M. X x \<in> I"
assumes I: "I = {a <..< b} \<or> I = {a <..} \<or> I = {..< b} \<or> I = UNIV"
assumes q: "integrable M (\<lambda>x. q (X x))" "convex_on I q"
shows "q (expectation X) \<le> expectation (\<lambda>x. q (X x))"
proof -
let ?F = "\<lambda>x. Inf ((\<lambda>t. (q x - q t) / (x - t)) ` ({x<..} \<inter> I))"
from X(2) AE_False have "I \<noteq> {}" by auto

from I have "open I" by auto

note I
moreover
{ assume "I \<subseteq> {a <..}"
with X have "a < expectation X"
by (intro expectation_greater) auto }
moreover
{ assume "I \<subseteq> {..< b}"
with X have "expectation X < b"
by (intro expectation_less) auto }
ultimately have "expectation X \<in> I"
by (elim disjE)  (auto simp: subset_eq)
moreover
{ fix y assume y: "y \<in> I"
with q(2) `open I` have "Sup ((\<lambda>x. q x + ?F x * (y - x)) ` I) = q y"
by (auto intro!: cSup_eq_maximum convex_le_Inf_differential image_eqI[OF _ y] simp: interior_open) }
ultimately have "q (expectation X) = Sup ((\<lambda>x. q x + ?F x * (expectation X - x)) ` I)"
by simp
also have "\<dots> \<le> expectation (\<lambda>w. q (X w))"
proof (rule cSup_least)
show "(\<lambda>x. q x + ?F x * (expectation X - x)) ` I \<noteq> {}"
using `I \<noteq> {}` by auto
next
fix k assume "k \<in> (\<lambda>x. q x + ?F x * (expectation X - x)) ` I"
then guess x .. note x = this
have "q x + ?F x * (expectation X  - x) = expectation (\<lambda>w. q x + ?F x * (X w - x))"
using prob_space by (simp add: X)
also have "\<dots> \<le> expectation (\<lambda>w. q (X w))"
using `x \<in> I` `open I` X(2)
apply (intro integral_mono_AE integral_add integral_cmult integral_diff
lebesgue_integral_const X q)
apply (elim eventually_elim1)
apply (intro convex_le_Inf_differential)
apply (auto simp: interior_open q)
done
finally show "k \<le> expectation (\<lambda>w. q (X w))" using x by auto
qed
finally show "q (expectation X) \<le> expectation (\<lambda>x. q (X x))" .
qed

subsection  {* Introduce binder for probability *}

syntax
"_prob" :: "pttrn \<Rightarrow> logic \<Rightarrow> logic \<Rightarrow> logic" ("('\<P>'(_ in _. _'))")

translations
"\<P>(x in M. P)" => "CONST measure M {x \<in> CONST space M. P}"

definition
"cond_prob M P Q = \<P>(\<omega> in M. P \<omega> \<and> Q \<omega>) / \<P>(\<omega> in M. Q \<omega>)"

syntax
"_conditional_prob" :: "pttrn \<Rightarrow> logic \<Rightarrow> logic \<Rightarrow> logic \<Rightarrow> logic" ("('\<P>'(_ in _. _ \<bar>/ _'))")

translations
"\<P>(x in M. P \<bar> Q)" => "CONST cond_prob M (\<lambda>x. P) (\<lambda>x. Q)"

lemma (in prob_space) AE_E_prob:
assumes ae: "AE x in M. P x"
obtains S where "S \<subseteq> {x \<in> space M. P x}" "S \<in> events" "prob S = 1"
proof -
from ae[THEN AE_E] guess N .
then show thesis
by (intro that[of "space M - N"])
(auto simp: prob_compl prob_space emeasure_eq_measure)
qed

lemma (in prob_space) prob_neg: "{x\<in>space M. P x} \<in> events \<Longrightarrow> \<P>(x in M. \<not> P x) = 1 - \<P>(x in M. P x)"
by (auto intro!: arg_cong[where f=prob] simp add: prob_compl[symmetric])

lemma (in prob_space) prob_eq_AE:
"(AE x in M. P x \<longleftrightarrow> Q x) \<Longrightarrow> {x\<in>space M. P x} \<in> events \<Longrightarrow> {x\<in>space M. Q x} \<in> events \<Longrightarrow> \<P>(x in M. P x) = \<P>(x in M. Q x)"
by (rule finite_measure_eq_AE) auto

lemma (in prob_space) prob_eq_0_AE:
assumes not: "AE x in M. \<not> P x" shows "\<P>(x in M. P x) = 0"
proof cases
assume "{x\<in>space M. P x} \<in> events"
with not have "\<P>(x in M. P x) = \<P>(x in M. False)"
by (intro prob_eq_AE) auto
then show ?thesis by simp

lemma (in prob_space) prob_Collect_eq_0:
"{x \<in> space M. P x} \<in> sets M \<Longrightarrow> \<P>(x in M. P x) = 0 \<longleftrightarrow> (AE x in M. \<not> P x)"
using AE_iff_measurable[OF _ refl, of M "\<lambda>x. \<not> P x"] by (simp add: emeasure_eq_measure)

lemma (in prob_space) prob_Collect_eq_1:
"{x \<in> space M. P x} \<in> sets M \<Longrightarrow> \<P>(x in M. P x) = 1 \<longleftrightarrow> (AE x in M. P x)"
using AE_in_set_eq_1[of "{x\<in>space M. P x}"] by simp

lemma (in prob_space) prob_eq_0:
"A \<in> sets M \<Longrightarrow> prob A = 0 \<longleftrightarrow> (AE x in M. x \<notin> A)"
using AE_iff_measurable[OF _ refl, of M "\<lambda>x. x \<notin> A"]
by (auto simp add: emeasure_eq_measure Int_def[symmetric])

lemma (in prob_space) prob_eq_1:
"A \<in> sets M \<Longrightarrow> prob A = 1 \<longleftrightarrow> (AE x in M. x \<in> A)"
using AE_in_set_eq_1[of A] by simp

lemma (in prob_space) prob_sums:
assumes P: "\<And>n. {x\<in>space M. P n x} \<in> events"
assumes Q: "{x\<in>space M. Q x} \<in> events"
assumes ae: "AE x in M. (\<forall>n. P n x \<longrightarrow> Q x) \<and> (Q x \<longrightarrow> (\<exists>!n. P n x))"
shows "(\<lambda>n. \<P>(x in M. P n x)) sums \<P>(x in M. Q x)"
proof -
from ae[THEN AE_E_prob] guess S . note S = this
then have disj: "disjoint_family (\<lambda>n. {x\<in>space M. P n x} \<inter> S)"
by (auto simp: disjoint_family_on_def)
from S have ae_S:
"AE x in M. x \<in> {x\<in>space M. Q x} \<longleftrightarrow> x \<in> (\<Union>n. {x\<in>space M. P n x} \<inter> S)"
"\<And>n. AE x in M. x \<in> {x\<in>space M. P n x} \<longleftrightarrow> x \<in> {x\<in>space M. P n x} \<inter> S"
using ae by (auto dest!: AE_prob_1)
from ae_S have *:
"\<P>(x in M. Q x) = prob (\<Union>n. {x\<in>space M. P n x} \<inter> S)"
using P Q S by (intro finite_measure_eq_AE) auto
from ae_S have **:
"\<And>n. \<P>(x in M. P n x) = prob ({x\<in>space M. P n x} \<inter> S)"
using P Q S by (intro finite_measure_eq_AE) auto
show ?thesis
unfolding * ** using S P disj
by (intro finite_measure_UNION) auto
qed

lemma (in prob_space) cond_prob_eq_AE:
assumes P: "AE x in M. Q x \<longrightarrow> P x \<longleftrightarrow> P' x" "{x\<in>space M. P x} \<in> events" "{x\<in>space M. P' x} \<in> events"
assumes Q: "AE x in M. Q x \<longleftrightarrow> Q' x" "{x\<in>space M. Q x} \<in> events" "{x\<in>space M. Q' x} \<in> events"
shows "cond_prob M P Q = cond_prob M P' Q'"
using P Q
by (auto simp: cond_prob_def intro!: arg_cong2[where f="op /"] prob_eq_AE sets.sets_Collect_conj)

lemma (in prob_space) joint_distribution_Times_le_fst:
"random_variable MX X \<Longrightarrow> random_variable MY Y \<Longrightarrow> A \<in> sets MX \<Longrightarrow> B \<in> sets MY
\<Longrightarrow> emeasure (distr M (MX \<Otimes>\<^isub>M MY) (\<lambda>x. (X x, Y x))) (A \<times> B) \<le> emeasure (distr M MX X) A"
by (auto simp: emeasure_distr measurable_pair_iff comp_def intro!: emeasure_mono measurable_sets)

lemma (in prob_space) joint_distribution_Times_le_snd:
"random_variable MX X \<Longrightarrow> random_variable MY Y \<Longrightarrow> A \<in> sets MX \<Longrightarrow> B \<in> sets MY
\<Longrightarrow> emeasure (distr M (MX \<Otimes>\<^isub>M MY) (\<lambda>x. (X x, Y x))) (A \<times> B) \<le> emeasure (distr M MY Y) B"
by (auto simp: emeasure_distr measurable_pair_iff comp_def intro!: emeasure_mono measurable_sets)

locale pair_prob_space = pair_sigma_finite M1 M2 + M1: prob_space M1 + M2: prob_space M2 for M1 M2

sublocale pair_prob_space \<subseteq> P: prob_space "M1 \<Otimes>\<^isub>M M2"
proof
show "emeasure (M1 \<Otimes>\<^isub>M M2) (space (M1 \<Otimes>\<^isub>M M2)) = 1"
by (simp add: M2.emeasure_pair_measure_Times M1.emeasure_space_1 M2.emeasure_space_1 space_pair_measure)
qed

locale product_prob_space = product_sigma_finite M for M :: "'i \<Rightarrow> 'a measure" +
fixes I :: "'i set"
assumes prob_space: "\<And>i. prob_space (M i)"

sublocale product_prob_space \<subseteq> M: prob_space "M i" for i
by (rule prob_space)

locale finite_product_prob_space = finite_product_sigma_finite M I + product_prob_space M I for M I

sublocale finite_product_prob_space \<subseteq> prob_space "\<Pi>\<^isub>M i\<in>I. M i"
proof
show "emeasure (\<Pi>\<^isub>M i\<in>I. M i) (space (\<Pi>\<^isub>M i\<in>I. M i)) = 1"
by (simp add: measure_times M.emeasure_space_1 setprod_1 space_PiM)
qed

lemma (in finite_product_prob_space) prob_times:
assumes X: "\<And>i. i \<in> I \<Longrightarrow> X i \<in> sets (M i)"
shows "prob (\<Pi>\<^isub>E i\<in>I. X i) = (\<Prod>i\<in>I. M.prob i (X i))"
proof -
have "ereal (measure (\<Pi>\<^isub>M i\<in>I. M i) (\<Pi>\<^isub>E i\<in>I. X i)) = emeasure (\<Pi>\<^isub>M i\<in>I. M i) (\<Pi>\<^isub>E i\<in>I. X i)"
using X by (simp add: emeasure_eq_measure)
also have "\<dots> = (\<Prod>i\<in>I. emeasure (M i) (X i))"
using measure_times X by simp
also have "\<dots> = ereal (\<Prod>i\<in>I. measure (M i) (X i))"
using X by (simp add: M.emeasure_eq_measure setprod_ereal)
finally show ?thesis by simp
qed

section {* Distributions *}

definition "distributed M N X f \<longleftrightarrow> distr M N X = density N f \<and>
f \<in> borel_measurable N \<and> (AE x in N. 0 \<le> f x) \<and> X \<in> measurable M N"

lemma
assumes "distributed M N X f"
shows distributed_distr_eq_density: "distr M N X = density N f"
and distributed_measurable: "X \<in> measurable M N"
and distributed_borel_measurable: "f \<in> borel_measurable N"
and distributed_AE: "(AE x in N. 0 \<le> f x)"
using assms by (simp_all add: distributed_def)

lemma
assumes D: "distributed M N X f"
shows distributed_measurable'[measurable_dest]:
"g \<in> measurable L M \<Longrightarrow> (\<lambda>x. X (g x)) \<in> measurable L N"
and distributed_borel_measurable'[measurable_dest]:
"h \<in> measurable L N \<Longrightarrow> (\<lambda>x. f (h x)) \<in> borel_measurable L"
using distributed_measurable[OF D] distributed_borel_measurable[OF D]
by simp_all

lemma
shows distributed_real_measurable: "distributed M N X (\<lambda>x. ereal (f x)) \<Longrightarrow> f \<in> borel_measurable N"
and distributed_real_AE: "distributed M N X (\<lambda>x. ereal (f x)) \<Longrightarrow> (AE x in N. 0 \<le> f x)"

lemma
assumes D: "distributed M N X (\<lambda>x. ereal (f x))"
shows distributed_real_measurable'[measurable_dest]:
"h \<in> measurable L N \<Longrightarrow> (\<lambda>x. f (h x)) \<in> borel_measurable L"
using distributed_real_measurable[OF D]
by simp_all

lemma
assumes D: "distributed M (S \<Otimes>\<^isub>M T) (\<lambda>x. (X x, Y x)) f"
shows joint_distributed_measurable1[measurable_dest]:
"h1 \<in> measurable N M \<Longrightarrow> (\<lambda>x. X (h1 x)) \<in> measurable N S"
and joint_distributed_measurable2[measurable_dest]:
"h2 \<in> measurable N M \<Longrightarrow> (\<lambda>x. Y (h2 x)) \<in> measurable N T"
using measurable_compose[OF distributed_measurable[OF D] measurable_fst]
using measurable_compose[OF distributed_measurable[OF D] measurable_snd]
by auto

lemma distributed_count_space:
assumes X: "distributed M (count_space A) X P" and a: "a \<in> A" and A: "finite A"
shows "P a = emeasure M (X -` {a} \<inter> space M)"
proof -
have "emeasure M (X -` {a} \<inter> space M) = emeasure (distr M (count_space A) X) {a}"
using X a A by (simp add: emeasure_distr)
also have "\<dots> = emeasure (density (count_space A) P) {a}"
using X by (simp add: distributed_distr_eq_density)
also have "\<dots> = (\<integral>\<^isup>+x. P a * indicator {a} x \<partial>count_space A)"
using X a by (auto simp add: emeasure_density distributed_def indicator_def intro!: positive_integral_cong)
also have "\<dots> = P a"
using X a by (subst positive_integral_cmult_indicator) (auto simp: distributed_def one_ereal_def[symmetric] AE_count_space)
finally show ?thesis ..
qed

lemma distributed_cong_density:
"(AE x in N. f x = g x) \<Longrightarrow> g \<in> borel_measurable N \<Longrightarrow> f \<in> borel_measurable N \<Longrightarrow>
distributed M N X f \<longleftrightarrow> distributed M N X g"
by (auto simp: distributed_def intro!: density_cong)

lemma subdensity:
assumes T: "T \<in> measurable P Q"
assumes f: "distributed M P X f"
assumes g: "distributed M Q Y g"
assumes Y: "Y = T \<circ> X"
shows "AE x in P. g (T x) = 0 \<longrightarrow> f x = 0"
proof -
have "{x\<in>space Q. g x = 0} \<in> null_sets (distr M Q (T \<circ> X))"
using g Y by (auto simp: null_sets_density_iff distributed_def)
also have "distr M Q (T \<circ> X) = distr (distr M P X) Q T"
using T f[THEN distributed_measurable] by (rule distr_distr[symmetric])
finally have "T -` {x\<in>space Q. g x = 0} \<inter> space P \<in> null_sets (distr M P X)"
using T by (subst (asm) null_sets_distr_iff) auto
also have "T -` {x\<in>space Q. g x = 0} \<inter> space P = {x\<in>space P. g (T x) = 0}"
using T by (auto dest: measurable_space)
finally show ?thesis
using f g by (auto simp add: null_sets_density_iff distributed_def)
qed

lemma subdensity_real:
fixes g :: "'a \<Rightarrow> real" and f :: "'b \<Rightarrow> real"
assumes T: "T \<in> measurable P Q"
assumes f: "distributed M P X f"
assumes g: "distributed M Q Y g"
assumes Y: "Y = T \<circ> X"
shows "AE x in P. g (T x) = 0 \<longrightarrow> f x = 0"
using subdensity[OF T, of M X "\<lambda>x. ereal (f x)" Y "\<lambda>x. ereal (g x)"] assms by auto

lemma distributed_emeasure:
"distributed M N X f \<Longrightarrow> A \<in> sets N \<Longrightarrow> emeasure M (X -` A \<inter> space M) = (\<integral>\<^isup>+x. f x * indicator A x \<partial>N)"
by (auto simp: distributed_AE
distributed_distr_eq_density[symmetric] emeasure_density[symmetric] emeasure_distr)

lemma distributed_positive_integral:
"distributed M N X f \<Longrightarrow> g \<in> borel_measurable N \<Longrightarrow> (\<integral>\<^isup>+x. f x * g x \<partial>N) = (\<integral>\<^isup>+x. g (X x) \<partial>M)"
by (auto simp: distributed_AE
distributed_distr_eq_density[symmetric] positive_integral_density[symmetric] positive_integral_distr)

lemma distributed_integral:
"distributed M N X f \<Longrightarrow> g \<in> borel_measurable N \<Longrightarrow> (\<integral>x. f x * g x \<partial>N) = (\<integral>x. g (X x) \<partial>M)"
by (auto simp: distributed_real_AE
distributed_distr_eq_density[symmetric] integral_density[symmetric] integral_distr)

lemma distributed_transform_integral:
assumes Px: "distributed M N X Px"
assumes "distributed M P Y Py"
assumes Y: "Y = T \<circ> X" and T: "T \<in> measurable N P" and f: "f \<in> borel_measurable P"
shows "(\<integral>x. Py x * f x \<partial>P) = (\<integral>x. Px x * f (T x) \<partial>N)"
proof -
have "(\<integral>x. Py x * f x \<partial>P) = (\<integral>x. f (Y x) \<partial>M)"
by (rule distributed_integral) fact+
also have "\<dots> = (\<integral>x. f (T (X x)) \<partial>M)"
using Y by simp
also have "\<dots> = (\<integral>x. Px x * f (T x) \<partial>N)"
using measurable_comp[OF T f] Px by (intro distributed_integral[symmetric]) (auto simp: comp_def)
finally show ?thesis .
qed

lemma (in prob_space) distributed_unique:
assumes Px: "distributed M S X Px"
assumes Py: "distributed M S X Py"
shows "AE x in S. Px x = Py x"
proof -
interpret X: prob_space "distr M S X"
using Px by (intro prob_space_distr) simp
have "sigma_finite_measure (distr M S X)" ..
with sigma_finite_density_unique[of Px S Py ] Px Py
show ?thesis
by (auto simp: distributed_def)
qed

lemma (in prob_space) distributed_jointI:
assumes "sigma_finite_measure S" "sigma_finite_measure T"
assumes X[measurable]: "X \<in> measurable M S" and Y[measurable]: "Y \<in> measurable M T"
assumes [measurable]: "f \<in> borel_measurable (S \<Otimes>\<^isub>M T)" and f: "AE x in S \<Otimes>\<^isub>M T. 0 \<le> f x"
assumes eq: "\<And>A B. A \<in> sets S \<Longrightarrow> B \<in> sets T \<Longrightarrow>
emeasure M {x \<in> space M. X x \<in> A \<and> Y x \<in> B} = (\<integral>\<^isup>+x. (\<integral>\<^isup>+y. f (x, y) * indicator B y \<partial>T) * indicator A x \<partial>S)"
shows "distributed M (S \<Otimes>\<^isub>M T) (\<lambda>x. (X x, Y x)) f"
unfolding distributed_def
proof safe
interpret S: sigma_finite_measure S by fact
interpret T: sigma_finite_measure T by fact
interpret ST: pair_sigma_finite S T by default

from ST.sigma_finite_up_in_pair_measure_generator guess F :: "nat \<Rightarrow> ('b \<times> 'c) set" .. note F = this
let ?E = "{a \<times> b |a b. a \<in> sets S \<and> b \<in> sets T}"
let ?P = "S \<Otimes>\<^isub>M T"
show "distr M ?P (\<lambda>x. (X x, Y x)) = density ?P f" (is "?L = ?R")
proof (rule measure_eqI_generator_eq[OF Int_stable_pair_measure_generator[of S T]])
show "?E \<subseteq> Pow (space ?P)"
using sets.space_closed[of S] sets.space_closed[of T] by (auto simp: space_pair_measure)
show "sets ?L = sigma_sets (space ?P) ?E"
then show "sets ?R = sigma_sets (space ?P) ?E"
by simp
next
interpret L: prob_space ?L
by (rule prob_space_distr) (auto intro!: measurable_Pair)
show "range F \<subseteq> ?E" "(\<Union>i. F i) = space ?P" "\<And>i. emeasure ?L (F i) \<noteq> \<infinity>"
using F by (auto simp: space_pair_measure)
next
fix E assume "E \<in> ?E"
then obtain A B where E[simp]: "E = A \<times> B"
and A[measurable]: "A \<in> sets S" and B[measurable]: "B \<in> sets T" by auto
have "emeasure ?L E = emeasure M {x \<in> space M. X x \<in> A \<and> Y x \<in> B}"
by (auto intro!: arg_cong[where f="emeasure M"] simp add: emeasure_distr measurable_Pair)
also have "\<dots> = (\<integral>\<^isup>+x. (\<integral>\<^isup>+y. (f (x, y) * indicator B y) * indicator A x \<partial>T) \<partial>S)"
using f by (auto simp add: eq positive_integral_multc intro!: positive_integral_cong)
also have "\<dots> = emeasure ?R E"
by (auto simp add: emeasure_density T.positive_integral_fst_measurable(2)[symmetric]
intro!: positive_integral_cong split: split_indicator)
finally show "emeasure ?L E = emeasure ?R E" .
qed
qed (auto simp: f)

lemma (in prob_space) distributed_swap:
assumes "sigma_finite_measure S" "sigma_finite_measure T"
assumes Pxy: "distributed M (S \<Otimes>\<^isub>M T) (\<lambda>x. (X x, Y x)) Pxy"
shows "distributed M (T \<Otimes>\<^isub>M S) (\<lambda>x. (Y x, X x)) (\<lambda>(x, y). Pxy (y, x))"
proof -
interpret S: sigma_finite_measure S by fact
interpret T: sigma_finite_measure T by fact
interpret ST: pair_sigma_finite S T by default
interpret TS: pair_sigma_finite T S by default

note Pxy[measurable]
show ?thesis
apply (subst TS.distr_pair_swap)
unfolding distributed_def
proof safe
let ?D = "distr (S \<Otimes>\<^isub>M T) (T \<Otimes>\<^isub>M S) (\<lambda>(x, y). (y, x))"
show 1: "(\<lambda>(x, y). Pxy (y, x)) \<in> borel_measurable ?D"
by auto
with Pxy
show "AE x in distr (S \<Otimes>\<^isub>M T) (T \<Otimes>\<^isub>M S) (\<lambda>(x, y). (y, x)). 0 \<le> (case x of (x, y) \<Rightarrow> Pxy (y, x))"
by (subst AE_distr_iff)
(auto dest!: distributed_AE
simp: measurable_split_conv split_beta
intro!: measurable_Pair)
show 2: "random_variable (distr (S \<Otimes>\<^isub>M T) (T \<Otimes>\<^isub>M S) (\<lambda>(x, y). (y, x))) (\<lambda>x. (Y x, X x))"
using Pxy by auto
{ fix A assume A: "A \<in> sets (T \<Otimes>\<^isub>M S)"
let ?B = "(\<lambda>(x, y). (y, x)) -` A \<inter> space (S \<Otimes>\<^isub>M T)"
from sets.sets_into_space[OF A]
have "emeasure M ((\<lambda>x. (Y x, X x)) -` A \<inter> space M) =
emeasure M ((\<lambda>x. (X x, Y x)) -` ?B \<inter> space M)"
by (auto intro!: arg_cong2[where f=emeasure] simp: space_pair_measure)
also have "\<dots> = (\<integral>\<^isup>+ x. Pxy x * indicator ?B x \<partial>(S \<Otimes>\<^isub>M T))"
using Pxy A by (intro distributed_emeasure) auto
finally have "emeasure M ((\<lambda>x. (Y x, X x)) -` A \<inter> space M) =
(\<integral>\<^isup>+ x. Pxy x * indicator A (snd x, fst x) \<partial>(S \<Otimes>\<^isub>M T))"
by (auto intro!: positive_integral_cong split: split_indicator) }
note * = this
show "distr M ?D (\<lambda>x. (Y x, X x)) = density ?D (\<lambda>(x, y). Pxy (y, x))"
apply (intro measure_eqI)
apply (simp_all add: emeasure_distr[OF 2] emeasure_density[OF 1])
apply (subst positive_integral_distr)
apply (auto intro!: * simp: comp_def split_beta)
done
qed
qed

lemma (in prob_space) distr_marginal1:
assumes "sigma_finite_measure S" "sigma_finite_measure T"
assumes Pxy: "distributed M (S \<Otimes>\<^isub>M T) (\<lambda>x. (X x, Y x)) Pxy"
defines "Px \<equiv> \<lambda>x. (\<integral>\<^isup>+z. Pxy (x, z) \<partial>T)"
shows "distributed M S X Px"
unfolding distributed_def
proof safe
interpret S: sigma_finite_measure S by fact
interpret T: sigma_finite_measure T by fact
interpret ST: pair_sigma_finite S T by default

note Pxy[measurable]
show X: "X \<in> measurable M S" by simp

show borel: "Px \<in> borel_measurable S"
by (auto intro!: T.positive_integral_fst_measurable simp: Px_def)

interpret Pxy: prob_space "distr M (S \<Otimes>\<^isub>M T) (\<lambda>x. (X x, Y x))"
by (intro prob_space_distr) simp
have "(\<integral>\<^isup>+ x. max 0 (- Pxy x) \<partial>(S \<Otimes>\<^isub>M T)) = (\<integral>\<^isup>+ x. 0 \<partial>(S \<Otimes>\<^isub>M T))"
using Pxy
by (intro positive_integral_cong_AE) (auto simp: max_def dest: distributed_AE)

show "distr M S X = density S Px"
proof (rule measure_eqI)
fix A assume A: "A \<in> sets (distr M S X)"
with X measurable_space[of Y M T]
have "emeasure (distr M S X) A = emeasure (distr M (S \<Otimes>\<^isub>M T) (\<lambda>x. (X x, Y x))) (A \<times> space T)"
by (auto simp add: emeasure_distr intro!: arg_cong[where f="emeasure M"])
also have "\<dots> = emeasure (density (S \<Otimes>\<^isub>M T) Pxy) (A \<times> space T)"
using Pxy by (simp add: distributed_def)
also have "\<dots> = \<integral>\<^isup>+ x. \<integral>\<^isup>+ y. Pxy (x, y) * indicator (A \<times> space T) (x, y) \<partial>T \<partial>S"
using A borel Pxy
also have "\<dots> = \<integral>\<^isup>+ x. Px x * indicator A x \<partial>S"
apply (rule positive_integral_cong_AE)
using Pxy[THEN distributed_AE, THEN ST.AE_pair] AE_space
proof eventually_elim
fix x assume "x \<in> space S" "AE y in T. 0 \<le> Pxy (x, y)"
moreover have eq: "\<And>y. y \<in> space T \<Longrightarrow> indicator (A \<times> space T) (x, y) = indicator A x"
by (auto simp: indicator_def)
ultimately have "(\<integral>\<^isup>+ y. Pxy (x, y) * indicator (A \<times> space T) (x, y) \<partial>T) = (\<integral>\<^isup>+ y. Pxy (x, y) \<partial>T) * indicator A x"
by (simp add: eq positive_integral_multc cong: positive_integral_cong)
also have "(\<integral>\<^isup>+ y. Pxy (x, y) \<partial>T) = Px x"
by (simp add: Px_def ereal_real positive_integral_positive)
finally show "(\<integral>\<^isup>+ y. Pxy (x, y) * indicator (A \<times> space T) (x, y) \<partial>T) = Px x * indicator A x" .
qed
finally show "emeasure (distr M S X) A = emeasure (density S Px) A"
using A borel Pxy by (simp add: emeasure_density)
qed simp

show "AE x in S. 0 \<le> Px x"
by (simp add: Px_def positive_integral_positive real_of_ereal_pos)
qed

lemma (in prob_space) distr_marginal2:
assumes S: "sigma_finite_measure S" and T: "sigma_finite_measure T"
assumes Pxy: "distributed M (S \<Otimes>\<^isub>M T) (\<lambda>x. (X x, Y x)) Pxy"
shows "distributed M T Y (\<lambda>y. (\<integral>\<^isup>+x. Pxy (x, y) \<partial>S))"
using distr_marginal1[OF T S distributed_swap[OF S T]] Pxy by simp

lemma (in prob_space) distributed_marginal_eq_joint1:
assumes T: "sigma_finite_measure T"
assumes S: "sigma_finite_measure S"
assumes Px: "distributed M S X Px"
assumes Pxy: "distributed M (S \<Otimes>\<^isub>M T) (\<lambda>x. (X x, Y x)) Pxy"
shows "AE x in S. Px x = (\<integral>\<^isup>+y. Pxy (x, y) \<partial>T)"
using Px distr_marginal1[OF S T Pxy] by (rule distributed_unique)

lemma (in prob_space) distributed_marginal_eq_joint2:
assumes T: "sigma_finite_measure T"
assumes S: "sigma_finite_measure S"
assumes Py: "distributed M T Y Py"
assumes Pxy: "distributed M (S \<Otimes>\<^isub>M T) (\<lambda>x. (X x, Y x)) Pxy"
shows "AE y in T. Py y = (\<integral>\<^isup>+x. Pxy (x, y) \<partial>S)"
using Py distr_marginal2[OF S T Pxy] by (rule distributed_unique)

lemma (in prob_space) distributed_joint_indep':
assumes S: "sigma_finite_measure S" and T: "sigma_finite_measure T"
assumes X[measurable]: "distributed M S X Px" and Y[measurable]: "distributed M T Y Py"
assumes indep: "distr M S X \<Otimes>\<^isub>M distr M T Y = distr M (S \<Otimes>\<^isub>M T) (\<lambda>x. (X x, Y x))"
shows "distributed M (S \<Otimes>\<^isub>M T) (\<lambda>x. (X x, Y x)) (\<lambda>(x, y). Px x * Py y)"
unfolding distributed_def
proof safe
interpret S: sigma_finite_measure S by fact
interpret T: sigma_finite_measure T by fact
interpret ST: pair_sigma_finite S T by default

interpret X: prob_space "density S Px"
unfolding distributed_distr_eq_density[OF X, symmetric]
by (rule prob_space_distr) simp
have sf_X: "sigma_finite_measure (density S Px)" ..

interpret Y: prob_space "density T Py"
unfolding distributed_distr_eq_density[OF Y, symmetric]
by (rule prob_space_distr) simp
have sf_Y: "sigma_finite_measure (density T Py)" ..

show "distr M (S \<Otimes>\<^isub>M T) (\<lambda>x. (X x, Y x)) = density (S \<Otimes>\<^isub>M T) (\<lambda>(x, y). Px x * Py y)"
unfolding indep[symmetric] distributed_distr_eq_density[OF X] distributed_distr_eq_density[OF Y]
using distributed_borel_measurable[OF X] distributed_AE[OF X]
using distributed_borel_measurable[OF Y] distributed_AE[OF Y]
by (rule pair_measure_density[OF _ _ _ _ T sf_Y])

show "random_variable (S \<Otimes>\<^isub>M T) (\<lambda>x. (X x, Y x))" by auto

show Pxy: "(\<lambda>(x, y). Px x * Py y) \<in> borel_measurable (S \<Otimes>\<^isub>M T)" by auto

show "AE x in S \<Otimes>\<^isub>M T. 0 \<le> (case x of (x, y) \<Rightarrow> Px x * Py y)"
apply (intro ST.AE_pair_measure borel_measurable_le Pxy borel_measurable_const)
using distributed_AE[OF X]
apply eventually_elim
using distributed_AE[OF Y]
apply eventually_elim
apply auto
done
qed

definition
"simple_distributed M X f \<longleftrightarrow> distributed M (count_space (X`space M)) X (\<lambda>x. ereal (f x)) \<and>
finite (X`space M)"

lemma simple_distributed:
"simple_distributed M X Px \<Longrightarrow> distributed M (count_space (X`space M)) X Px"
unfolding simple_distributed_def by auto

lemma simple_distributed_finite[dest]: "simple_distributed M X P \<Longrightarrow> finite (X`space M)"

lemma (in prob_space) distributed_simple_function_superset:
assumes X: "simple_function M X" "\<And>x. x \<in> X ` space M \<Longrightarrow> P x = measure M (X -` {x} \<inter> space M)"
assumes A: "X`space M \<subseteq> A" "finite A"
defines "S \<equiv> count_space A" and "P' \<equiv> (\<lambda>x. if x \<in> X`space M then P x else 0)"
shows "distributed M S X P'"
unfolding distributed_def
proof safe
show "(\<lambda>x. ereal (P' x)) \<in> borel_measurable S" unfolding S_def by simp
show "AE x in S. 0 \<le> ereal (P' x)"
using X by (auto simp: S_def P'_def simple_distributed_def intro!: measure_nonneg)
show "distr M S X = density S P'"
proof (rule measure_eqI_finite)
show "sets (distr M S X) = Pow A" "sets (density S P') = Pow A"
using A unfolding S_def by auto
show "finite A" by fact
fix a assume a: "a \<in> A"
then have "a \<notin> X`space M \<Longrightarrow> X -` {a} \<inter> space M = {}" by auto
with A a X have "emeasure (distr M S X) {a} = P' a"
by (subst emeasure_distr)
(auto simp add: S_def P'_def simple_functionD emeasure_eq_measure measurable_count_space_eq2
intro!: arg_cong[where f=prob])
also have "\<dots> = (\<integral>\<^isup>+x. ereal (P' a) * indicator {a} x \<partial>S)"
using A X a
by (subst positive_integral_cmult_indicator)
(auto simp: S_def P'_def simple_distributed_def simple_functionD measure_nonneg)
also have "\<dots> = (\<integral>\<^isup>+x. ereal (P' x) * indicator {a} x \<partial>S)"
by (auto simp: indicator_def intro!: positive_integral_cong)
also have "\<dots> = emeasure (density S P') {a}"
using a A by (intro emeasure_density[symmetric]) (auto simp: S_def)
finally show "emeasure (distr M S X) {a} = emeasure (density S P') {a}" .
qed
show "random_variable S X"
using X(1) A by (auto simp: measurable_def simple_functionD S_def)
qed

lemma (in prob_space) simple_distributedI:
assumes X: "simple_function M X" "\<And>x. x \<in> X ` space M \<Longrightarrow> P x = measure M (X -` {x} \<inter> space M)"
shows "simple_distributed M X P"
unfolding simple_distributed_def
proof
have "distributed M (count_space (X ` space M)) X (\<lambda>x. ereal (if x \<in> X`space M then P x else 0))"
(is "?A")
using simple_functionD[OF X(1)] by (intro distributed_simple_function_superset[OF X]) auto
also have "?A \<longleftrightarrow> distributed M (count_space (X ` space M)) X (\<lambda>x. ereal (P x))"
by (rule distributed_cong_density) auto
finally show "\<dots>" .
qed (rule simple_functionD[OF X(1)])

lemma simple_distributed_joint_finite:
assumes X: "simple_distributed M (\<lambda>x. (X x, Y x)) Px"
shows "finite (X ` space M)" "finite (Y ` space M)"
proof -
have "finite ((\<lambda>x. (X x, Y x)) ` space M)"
using X by (auto simp: simple_distributed_def simple_functionD)
then have "finite (fst ` (\<lambda>x. (X x, Y x)) ` space M)" "finite (snd ` (\<lambda>x. (X x, Y x)) ` space M)"
by auto
then show fin: "finite (X ` space M)" "finite (Y ` space M)"
by (auto simp: image_image)
qed

lemma simple_distributed_joint2_finite:
assumes X: "simple_distributed M (\<lambda>x. (X x, Y x, Z x)) Px"
shows "finite (X ` space M)" "finite (Y ` space M)" "finite (Z ` space M)"
proof -
have "finite ((\<lambda>x. (X x, Y x, Z x)) ` space M)"
using X by (auto simp: simple_distributed_def simple_functionD)
then have "finite (fst ` (\<lambda>x. (X x, Y x, Z x)) ` space M)"
"finite ((fst \<circ> snd) ` (\<lambda>x. (X x, Y x, Z x)) ` space M)"
"finite ((snd \<circ> snd) ` (\<lambda>x. (X x, Y x, Z x)) ` space M)"
by auto
then show fin: "finite (X ` space M)" "finite (Y ` space M)" "finite (Z ` space M)"
by (auto simp: image_image)
qed

lemma simple_distributed_simple_function:
"simple_distributed M X Px \<Longrightarrow> simple_function M X"
unfolding simple_distributed_def distributed_def
by (auto simp: simple_function_def measurable_count_space_eq2)

lemma simple_distributed_measure:
"simple_distributed M X P \<Longrightarrow> a \<in> X`space M \<Longrightarrow> P a = measure M (X -` {a} \<inter> space M)"
using distributed_count_space[of M "X`space M" X P a, symmetric]
by (auto simp: simple_distributed_def measure_def)

lemma simple_distributed_nonneg: "simple_distributed M X f \<Longrightarrow> x \<in> space M \<Longrightarrow> 0 \<le> f (X x)"
by (auto simp: simple_distributed_measure measure_nonneg)

lemma (in prob_space) simple_distributed_joint:
assumes X: "simple_distributed M (\<lambda>x. (X x, Y x)) Px"
defines "S \<equiv> count_space (X`space M) \<Otimes>\<^isub>M count_space (Y`space M)"
defines "P \<equiv> (\<lambda>x. if x \<in> (\<lambda>x. (X x, Y x))`space M then Px x else 0)"
shows "distributed M S (\<lambda>x. (X x, Y x)) P"
proof -
from simple_distributed_joint_finite[OF X, simp]
have S_eq: "S = count_space (X`space M \<times> Y`space M)"
show ?thesis
unfolding S_eq P_def
proof (rule distributed_simple_function_superset)
show "simple_function M (\<lambda>x. (X x, Y x))"
using X by (rule simple_distributed_simple_function)
fix x assume "x \<in> (\<lambda>x. (X x, Y x)) ` space M"
from simple_distributed_measure[OF X this]
show "Px x = prob ((\<lambda>x. (X x, Y x)) -` {x} \<inter> space M)" .
qed auto
qed

lemma (in prob_space) simple_distributed_joint2:
assumes X: "simple_distributed M (\<lambda>x. (X x, Y x, Z x)) Px"
defines "S \<equiv> count_space (X`space M) \<Otimes>\<^isub>M count_space (Y`space M) \<Otimes>\<^isub>M count_space (Z`space M)"
defines "P \<equiv> (\<lambda>x. if x \<in> (\<lambda>x. (X x, Y x, Z x))`space M then Px x else 0)"
shows "distributed M S (\<lambda>x. (X x, Y x, Z x)) P"
proof -
from simple_distributed_joint2_finite[OF X, simp]
have S_eq: "S = count_space (X`space M \<times> Y`space M \<times> Z`space M)"
show ?thesis
unfolding S_eq P_def
proof (rule distributed_simple_function_superset)
show "simple_function M (\<lambda>x. (X x, Y x, Z x))"
using X by (rule simple_distributed_simple_function)
fix x assume "x \<in> (\<lambda>x. (X x, Y x, Z x)) ` space M"
from simple_distributed_measure[OF X this]
show "Px x = prob ((\<lambda>x. (X x, Y x, Z x)) -` {x} \<inter> space M)" .
qed auto
qed

lemma (in prob_space) simple_distributed_setsum_space:
assumes X: "simple_distributed M X f"
shows "setsum f (X`space M) = 1"
proof -
from X have "setsum f (X`space M) = prob (\<Union>i\<in>X`space M. X -` {i} \<inter> space M)"
by (subst finite_measure_finite_Union)
(auto simp add: disjoint_family_on_def simple_distributed_measure simple_distributed_simple_function simple_functionD
intro!: setsum_cong arg_cong[where f="prob"])
also have "\<dots> = prob (space M)"
by (auto intro!: arg_cong[where f=prob])
finally show ?thesis
using emeasure_space_1 by (simp add: emeasure_eq_measure one_ereal_def)
qed

lemma (in prob_space) distributed_marginal_eq_joint_simple:
assumes Px: "simple_function M X"
assumes Py: "simple_distributed M Y Py"
assumes Pxy: "simple_distributed M (\<lambda>x. (X x, Y x)) Pxy"
assumes y: "y \<in> Y`space M"
shows "Py y = (\<Sum>x\<in>X`space M. if (x, y) \<in> (\<lambda>x. (X x, Y x)) ` space M then Pxy (x, y) else 0)"
proof -
note Px = simple_distributedI[OF Px refl]
have *: "\<And>f A. setsum (\<lambda>x. max 0 (ereal (f x))) A = ereal (setsum (\<lambda>x. max 0 (f x)) A)"
from distributed_marginal_eq_joint2[OF
sigma_finite_measure_count_space_finite
sigma_finite_measure_count_space_finite
simple_distributed[OF Py] simple_distributed_joint[OF Pxy],
OF Py[THEN simple_distributed_finite] Px[THEN simple_distributed_finite]]
y
Px[THEN simple_distributed_finite]
Py[THEN simple_distributed_finite]
Pxy[THEN simple_distributed, THEN distributed_real_AE]
show ?thesis
unfolding AE_count_space
apply (auto simp add: positive_integral_count_space_finite * intro!: setsum_cong split: split_max)
done
qed

lemma distributedI_real:
fixes f :: "'a \<Rightarrow> real"
assumes gen: "sets M1 = sigma_sets (space M1) E" and "Int_stable E"
and A: "range A \<subseteq> E" "(\<Union>i::nat. A i) = space M1" "\<And>i. emeasure (distr M M1 X) (A i) \<noteq> \<infinity>"
and X: "X \<in> measurable M M1"
and f: "f \<in> borel_measurable M1" "AE x in M1. 0 \<le> f x"
and eq: "\<And>A. A \<in> E \<Longrightarrow> emeasure M (X -` A \<inter> space M) = (\<integral>\<^isup>+ x. f x * indicator A x \<partial>M1)"
shows "distributed M M1 X f"
unfolding distributed_def
proof (intro conjI)
show "distr M M1 X = density M1 f"
proof (rule measure_eqI_generator_eq[where A=A])
{ fix A assume A: "A \<in> E"
then have "A \<in> sigma_sets (space M1) E" by auto
then have "A \<in> sets M1"
using gen by simp
with f A eq[of A] X show "emeasure (distr M M1 X) A = emeasure (density M1 f) A"
by (simp add: emeasure_distr emeasure_density borel_measurable_ereal
times_ereal.simps[symmetric] ereal_indicator
del: times_ereal.simps) }
note eq_E = this
show "Int_stable E" by fact
{ fix e assume "e \<in> E"
then have "e \<in> sigma_sets (space M1) E" by auto
then have "e \<in> sets M1" unfolding gen .
then have "e \<subseteq> space M1" by (rule sets.sets_into_space) }
then show "E \<subseteq> Pow (space M1)" by auto
show "sets (distr M M1 X) = sigma_sets (space M1) E"
"sets (density M1 (\<lambda>x. ereal (f x))) = sigma_sets (space M1) E"
unfolding gen[symmetric] by auto
qed fact+
qed (insert X f, auto)

lemma distributedI_borel_atMost:
fixes f :: "real \<Rightarrow> real"
assumes [measurable]: "X \<in> borel_measurable M"
and [measurable]: "f \<in> borel_measurable borel" and f[simp]: "AE x in lborel. 0 \<le> f x"
and g_eq: "\<And>a. (\<integral>\<^isup>+x. f x * indicator {..a} x \<partial>lborel)  = ereal (g a)"
and M_eq: "\<And>a. emeasure M {x\<in>space M. X x \<le> a} = ereal (g a)"
shows "distributed M lborel X f"
proof (rule distributedI_real)
show "sets lborel = sigma_sets (space lborel) (range atMost)"
show "Int_stable (range atMost :: real set set)"
by (auto simp: Int_stable_def)
have vimage_eq: "\<And>a. (X -` {..a} \<inter> space M) = {x\<in>space M. X x \<le> a}" by auto
def A \<equiv> "\<lambda>i::nat. {.. real i}"
then show "range A \<subseteq> range atMost" "(\<Union>i. A i) = space lborel"
"\<And>i. emeasure (distr M lborel X) (A i) \<noteq> \<infinity>"
by (auto simp: real_arch_simple emeasure_distr vimage_eq M_eq)

fix A :: "real set" assume "A \<in> range atMost"
then obtain a where A: "A = {..a}" by auto
show "emeasure M (X -` A \<inter> space M) = (\<integral>\<^isup>+x. f x * indicator A x \<partial>lborel)"
unfolding vimage_eq A M_eq g_eq ..
qed auto

lemma (in prob_space) uniform_distributed_params:
assumes X: "distributed M MX X (\<lambda>x. indicator A x / measure MX A)"
shows "A \<in> sets MX" "measure MX A \<noteq> 0"
proof -
interpret X: prob_space "distr M MX X"
using distributed_measurable[OF X] by (rule prob_space_distr)

show "measure MX A \<noteq> 0"
proof
assume "measure MX A = 0"
with X.emeasure_space_1 X.prob_space distributed_distr_eq_density[OF X]
show False
qed
with measure_notin_sets[of A MX] show "A \<in> sets MX"
by blast
qed

lemma prob_space_uniform_measure:
assumes A: "emeasure M A \<noteq> 0" "emeasure M A \<noteq> \<infinity>"
shows "prob_space (uniform_measure M A)"
proof
show "emeasure (uniform_measure M A) (space (uniform_measure M A)) = 1"
using emeasure_uniform_measure[OF emeasure_neq_0_sets[OF A(1)], of "space M"]
using sets.sets_into_space[OF emeasure_neq_0_sets[OF A(1)]] A
qed

lemma prob_space_uniform_count_measure: "finite A \<Longrightarrow> A \<noteq> {} \<Longrightarrow> prob_space (uniform_count_measure A)"
by default (auto simp: emeasure_uniform_count_measure space_uniform_count_measure one_ereal_def)

end
```