introduce Bochner integral: generalizes Lebesgue integral from real-valued function to functions on real-normed vector spaces
(* Title: HOL/Probability/Binary_Product_Measure.thy
Author: Johannes Hölzl, TU München
*)
header {*Binary product measures*}
theory Binary_Product_Measure
imports Nonnegative_Lebesgue_Integration
begin
lemma Pair_vimage_times[simp]: "Pair x -` (A \<times> B) = (if x \<in> A then B else {})"
by auto
lemma rev_Pair_vimage_times[simp]: "(\<lambda>x. (x, y)) -` (A \<times> B) = (if y \<in> B then A else {})"
by auto
section "Binary products"
definition pair_measure (infixr "\<Otimes>\<^sub>M" 80) where
"A \<Otimes>\<^sub>M B = measure_of (space A \<times> space B)
{a \<times> b | a b. a \<in> sets A \<and> b \<in> sets B}
(\<lambda>X. \<integral>\<^sup>+x. (\<integral>\<^sup>+y. indicator X (x,y) \<partial>B) \<partial>A)"
lemma pair_measure_closed: "{a \<times> b | a b. a \<in> sets A \<and> b \<in> sets B} \<subseteq> Pow (space A \<times> space B)"
using sets.space_closed[of A] sets.space_closed[of B] by auto
lemma space_pair_measure:
"space (A \<Otimes>\<^sub>M B) = space A \<times> space B"
unfolding pair_measure_def using pair_measure_closed[of A B]
by (rule space_measure_of)
lemma sets_pair_measure:
"sets (A \<Otimes>\<^sub>M B) = sigma_sets (space A \<times> space B) {a \<times> b | a b. a \<in> sets A \<and> b \<in> sets B}"
unfolding pair_measure_def using pair_measure_closed[of A B]
by (rule sets_measure_of)
lemma sets_pair_measure_cong[cong]:
"sets M1 = sets M1' \<Longrightarrow> sets M2 = sets M2' \<Longrightarrow> sets (M1 \<Otimes>\<^sub>M M2) = sets (M1' \<Otimes>\<^sub>M M2')"
unfolding sets_pair_measure by (simp cong: sets_eq_imp_space_eq)
lemma pair_measureI[intro, simp, measurable]:
"x \<in> sets A \<Longrightarrow> y \<in> sets B \<Longrightarrow> x \<times> y \<in> sets (A \<Otimes>\<^sub>M B)"
by (auto simp: sets_pair_measure)
lemma measurable_pair_measureI:
assumes 1: "f \<in> space M \<rightarrow> space M1 \<times> space M2"
assumes 2: "\<And>A B. A \<in> sets M1 \<Longrightarrow> B \<in> sets M2 \<Longrightarrow> f -` (A \<times> B) \<inter> space M \<in> sets M"
shows "f \<in> measurable M (M1 \<Otimes>\<^sub>M M2)"
unfolding pair_measure_def using 1 2
by (intro measurable_measure_of) (auto dest: sets.sets_into_space)
lemma measurable_split_replace[measurable (raw)]:
"(\<lambda>x. f x (fst (g x)) (snd (g x))) \<in> measurable M N \<Longrightarrow> (\<lambda>x. split (f x) (g x)) \<in> measurable M N"
unfolding split_beta' .
lemma measurable_Pair[measurable (raw)]:
assumes f: "f \<in> measurable M M1" and g: "g \<in> measurable M M2"
shows "(\<lambda>x. (f x, g x)) \<in> measurable M (M1 \<Otimes>\<^sub>M M2)"
proof (rule measurable_pair_measureI)
show "(\<lambda>x. (f x, g x)) \<in> space M \<rightarrow> space M1 \<times> space M2"
using f g by (auto simp: measurable_def)
fix A B assume *: "A \<in> sets M1" "B \<in> sets M2"
have "(\<lambda>x. (f x, g x)) -` (A \<times> B) \<inter> space M = (f -` A \<inter> space M) \<inter> (g -` B \<inter> space M)"
by auto
also have "\<dots> \<in> sets M"
by (rule sets.Int) (auto intro!: measurable_sets * f g)
finally show "(\<lambda>x. (f x, g x)) -` (A \<times> B) \<inter> space M \<in> sets M" .
qed
lemma measurable_Pair_compose_split[measurable_dest]:
assumes f: "split f \<in> measurable (M1 \<Otimes>\<^sub>M M2) N"
assumes g: "g \<in> measurable M M1" and h: "h \<in> measurable M M2"
shows "(\<lambda>x. f (g x) (h x)) \<in> measurable M N"
using measurable_compose[OF measurable_Pair f, OF g h] by simp
lemma measurable_pair:
assumes "(fst \<circ> f) \<in> measurable M M1" "(snd \<circ> f) \<in> measurable M M2"
shows "f \<in> measurable M (M1 \<Otimes>\<^sub>M M2)"
using measurable_Pair[OF assms] by simp
lemma measurable_fst[intro!, simp, measurable]: "fst \<in> measurable (M1 \<Otimes>\<^sub>M M2) M1"
by (auto simp: fst_vimage_eq_Times space_pair_measure sets.sets_into_space times_Int_times
measurable_def)
lemma measurable_snd[intro!, simp, measurable]: "snd \<in> measurable (M1 \<Otimes>\<^sub>M M2) M2"
by (auto simp: snd_vimage_eq_Times space_pair_measure sets.sets_into_space times_Int_times
measurable_def)
lemma
assumes f[measurable]: "f \<in> measurable M (N \<Otimes>\<^sub>M P)"
shows measurable_fst': "(\<lambda>x. fst (f x)) \<in> measurable M N"
and measurable_snd': "(\<lambda>x. snd (f x)) \<in> measurable M P"
by simp_all
lemma
assumes f[measurable]: "f \<in> measurable M N"
shows measurable_fst'': "(\<lambda>x. f (fst x)) \<in> measurable (M \<Otimes>\<^sub>M P) N"
and measurable_snd'': "(\<lambda>x. f (snd x)) \<in> measurable (P \<Otimes>\<^sub>M M) N"
by simp_all
lemma measurable_pair_iff:
"f \<in> measurable M (M1 \<Otimes>\<^sub>M M2) \<longleftrightarrow> (fst \<circ> f) \<in> measurable M M1 \<and> (snd \<circ> f) \<in> measurable M M2"
by (auto intro: measurable_pair[of f M M1 M2])
lemma measurable_split_conv:
"(\<lambda>(x, y). f x y) \<in> measurable A B \<longleftrightarrow> (\<lambda>x. f (fst x) (snd x)) \<in> measurable A B"
by (intro arg_cong2[where f="op \<in>"]) auto
lemma measurable_pair_swap': "(\<lambda>(x,y). (y, x)) \<in> measurable (M1 \<Otimes>\<^sub>M M2) (M2 \<Otimes>\<^sub>M M1)"
by (auto intro!: measurable_Pair simp: measurable_split_conv)
lemma measurable_pair_swap:
assumes f: "f \<in> measurable (M1 \<Otimes>\<^sub>M M2) M" shows "(\<lambda>(x,y). f (y, x)) \<in> measurable (M2 \<Otimes>\<^sub>M M1) M"
using measurable_comp[OF measurable_Pair f] by (auto simp: measurable_split_conv comp_def)
lemma measurable_pair_swap_iff:
"f \<in> measurable (M2 \<Otimes>\<^sub>M M1) M \<longleftrightarrow> (\<lambda>(x,y). f (y,x)) \<in> measurable (M1 \<Otimes>\<^sub>M M2) M"
by (auto dest: measurable_pair_swap)
lemma measurable_Pair1': "x \<in> space M1 \<Longrightarrow> Pair x \<in> measurable M2 (M1 \<Otimes>\<^sub>M M2)"
by simp
lemma sets_Pair1[measurable (raw)]:
assumes A: "A \<in> sets (M1 \<Otimes>\<^sub>M M2)" shows "Pair x -` A \<in> sets M2"
proof -
have "Pair x -` A = (if x \<in> space M1 then Pair x -` A \<inter> space M2 else {})"
using A[THEN sets.sets_into_space] by (auto simp: space_pair_measure)
also have "\<dots> \<in> sets M2"
using A by (auto simp add: measurable_Pair1' intro!: measurable_sets split: split_if_asm)
finally show ?thesis .
qed
lemma measurable_Pair2': "y \<in> space M2 \<Longrightarrow> (\<lambda>x. (x, y)) \<in> measurable M1 (M1 \<Otimes>\<^sub>M M2)"
by (auto intro!: measurable_Pair)
lemma sets_Pair2: assumes A: "A \<in> sets (M1 \<Otimes>\<^sub>M M2)" shows "(\<lambda>x. (x, y)) -` A \<in> sets M1"
proof -
have "(\<lambda>x. (x, y)) -` A = (if y \<in> space M2 then (\<lambda>x. (x, y)) -` A \<inter> space M1 else {})"
using A[THEN sets.sets_into_space] by (auto simp: space_pair_measure)
also have "\<dots> \<in> sets M1"
using A by (auto simp add: measurable_Pair2' intro!: measurable_sets split: split_if_asm)
finally show ?thesis .
qed
lemma measurable_Pair2:
assumes f: "f \<in> measurable (M1 \<Otimes>\<^sub>M M2) M" and x: "x \<in> space M1"
shows "(\<lambda>y. f (x, y)) \<in> measurable M2 M"
using measurable_comp[OF measurable_Pair1' f, OF x]
by (simp add: comp_def)
lemma measurable_Pair1:
assumes f: "f \<in> measurable (M1 \<Otimes>\<^sub>M M2) M" and y: "y \<in> space M2"
shows "(\<lambda>x. f (x, y)) \<in> measurable M1 M"
using measurable_comp[OF measurable_Pair2' f, OF y]
by (simp add: comp_def)
lemma Int_stable_pair_measure_generator: "Int_stable {a \<times> b | a b. a \<in> sets A \<and> b \<in> sets B}"
unfolding Int_stable_def
by safe (auto simp add: times_Int_times)
lemma disjoint_family_vimageI: "disjoint_family F \<Longrightarrow> disjoint_family (\<lambda>i. f -` F i)"
by (auto simp: disjoint_family_on_def)
lemma (in finite_measure) finite_measure_cut_measurable:
assumes [measurable]: "Q \<in> sets (N \<Otimes>\<^sub>M M)"
shows "(\<lambda>x. emeasure M (Pair x -` Q)) \<in> borel_measurable N"
(is "?s Q \<in> _")
using Int_stable_pair_measure_generator pair_measure_closed assms
unfolding sets_pair_measure
proof (induct rule: sigma_sets_induct_disjoint)
case (compl A)
with sets.sets_into_space have "\<And>x. emeasure M (Pair x -` ((space N \<times> space M) - A)) =
(if x \<in> space N then emeasure M (space M) - ?s A x else 0)"
unfolding sets_pair_measure[symmetric]
by (auto intro!: emeasure_compl simp: vimage_Diff sets_Pair1)
with compl sets.top show ?case
by (auto intro!: measurable_If simp: space_pair_measure)
next
case (union F)
then have "\<And>x. emeasure M (Pair x -` (\<Union>i. F i)) = (\<Sum>i. ?s (F i) x)"
by (simp add: suminf_emeasure disjoint_family_vimageI subset_eq vimage_UN sets_pair_measure[symmetric])
with union show ?case
unfolding sets_pair_measure[symmetric] by simp
qed (auto simp add: if_distrib Int_def[symmetric] intro!: measurable_If)
lemma (in sigma_finite_measure) measurable_emeasure_Pair:
assumes Q: "Q \<in> sets (N \<Otimes>\<^sub>M M)" shows "(\<lambda>x. emeasure M (Pair x -` Q)) \<in> borel_measurable N" (is "?s Q \<in> _")
proof -
from sigma_finite_disjoint guess F . note F = this
then have F_sets: "\<And>i. F i \<in> sets M" by auto
let ?C = "\<lambda>x i. F i \<inter> Pair x -` Q"
{ fix i
have [simp]: "space N \<times> F i \<inter> space N \<times> space M = space N \<times> F i"
using F sets.sets_into_space by auto
let ?R = "density M (indicator (F i))"
have "finite_measure ?R"
using F by (intro finite_measureI) (auto simp: emeasure_restricted subset_eq)
then have "(\<lambda>x. emeasure ?R (Pair x -` (space N \<times> space ?R \<inter> Q))) \<in> borel_measurable N"
by (rule finite_measure.finite_measure_cut_measurable) (auto intro: Q)
moreover have "\<And>x. emeasure ?R (Pair x -` (space N \<times> space ?R \<inter> Q))
= emeasure M (F i \<inter> Pair x -` (space N \<times> space ?R \<inter> Q))"
using Q F_sets by (intro emeasure_restricted) (auto intro: sets_Pair1)
moreover have "\<And>x. F i \<inter> Pair x -` (space N \<times> space ?R \<inter> Q) = ?C x i"
using sets.sets_into_space[OF Q] by (auto simp: space_pair_measure)
ultimately have "(\<lambda>x. emeasure M (?C x i)) \<in> borel_measurable N"
by simp }
moreover
{ fix x
have "(\<Sum>i. emeasure M (?C x i)) = emeasure M (\<Union>i. ?C x i)"
proof (intro suminf_emeasure)
show "range (?C x) \<subseteq> sets M"
using F `Q \<in> sets (N \<Otimes>\<^sub>M M)` by (auto intro!: sets_Pair1)
have "disjoint_family F" using F by auto
show "disjoint_family (?C x)"
by (rule disjoint_family_on_bisimulation[OF `disjoint_family F`]) auto
qed
also have "(\<Union>i. ?C x i) = Pair x -` Q"
using F sets.sets_into_space[OF `Q \<in> sets (N \<Otimes>\<^sub>M M)`]
by (auto simp: space_pair_measure)
finally have "emeasure M (Pair x -` Q) = (\<Sum>i. emeasure M (?C x i))"
by simp }
ultimately show ?thesis using `Q \<in> sets (N \<Otimes>\<^sub>M M)` F_sets
by auto
qed
lemma (in sigma_finite_measure) measurable_emeasure[measurable (raw)]:
assumes space: "\<And>x. x \<in> space N \<Longrightarrow> A x \<subseteq> space M"
assumes A: "{x\<in>space (N \<Otimes>\<^sub>M M). snd x \<in> A (fst x)} \<in> sets (N \<Otimes>\<^sub>M M)"
shows "(\<lambda>x. emeasure M (A x)) \<in> borel_measurable N"
proof -
from space have "\<And>x. x \<in> space N \<Longrightarrow> Pair x -` {x \<in> space (N \<Otimes>\<^sub>M M). snd x \<in> A (fst x)} = A x"
by (auto simp: space_pair_measure)
with measurable_emeasure_Pair[OF A] show ?thesis
by (auto cong: measurable_cong)
qed
lemma (in sigma_finite_measure) emeasure_pair_measure:
assumes "X \<in> sets (N \<Otimes>\<^sub>M M)"
shows "emeasure (N \<Otimes>\<^sub>M M) X = (\<integral>\<^sup>+ x. \<integral>\<^sup>+ y. indicator X (x, y) \<partial>M \<partial>N)" (is "_ = ?\<mu> X")
proof (rule emeasure_measure_of[OF pair_measure_def])
show "positive (sets (N \<Otimes>\<^sub>M M)) ?\<mu>"
by (auto simp: positive_def positive_integral_positive)
have eq[simp]: "\<And>A x y. indicator A (x, y) = indicator (Pair x -` A) y"
by (auto simp: indicator_def)
show "countably_additive (sets (N \<Otimes>\<^sub>M M)) ?\<mu>"
proof (rule countably_additiveI)
fix F :: "nat \<Rightarrow> ('b \<times> 'a) set" assume F: "range F \<subseteq> sets (N \<Otimes>\<^sub>M M)" "disjoint_family F"
from F have *: "\<And>i. F i \<in> sets (N \<Otimes>\<^sub>M M)" "(\<Union>i. F i) \<in> sets (N \<Otimes>\<^sub>M M)" by auto
moreover from F have "\<And>i. (\<lambda>x. emeasure M (Pair x -` F i)) \<in> borel_measurable N"
by (intro measurable_emeasure_Pair) auto
moreover have "\<And>x. disjoint_family (\<lambda>i. Pair x -` F i)"
by (intro disjoint_family_on_bisimulation[OF F(2)]) auto
moreover have "\<And>x. range (\<lambda>i. Pair x -` F i) \<subseteq> sets M"
using F by (auto simp: sets_Pair1)
ultimately show "(\<Sum>n. ?\<mu> (F n)) = ?\<mu> (\<Union>i. F i)"
by (auto simp add: vimage_UN positive_integral_suminf[symmetric] suminf_emeasure subset_eq emeasure_nonneg sets_Pair1
intro!: positive_integral_cong positive_integral_indicator[symmetric])
qed
show "{a \<times> b |a b. a \<in> sets N \<and> b \<in> sets M} \<subseteq> Pow (space N \<times> space M)"
using sets.space_closed[of N] sets.space_closed[of M] by auto
qed fact
lemma (in sigma_finite_measure) emeasure_pair_measure_alt:
assumes X: "X \<in> sets (N \<Otimes>\<^sub>M M)"
shows "emeasure (N \<Otimes>\<^sub>M M) X = (\<integral>\<^sup>+x. emeasure M (Pair x -` X) \<partial>N)"
proof -
have [simp]: "\<And>x y. indicator X (x, y) = indicator (Pair x -` X) y"
by (auto simp: indicator_def)
show ?thesis
using X by (auto intro!: positive_integral_cong simp: emeasure_pair_measure sets_Pair1)
qed
lemma (in sigma_finite_measure) emeasure_pair_measure_Times:
assumes A: "A \<in> sets N" and B: "B \<in> sets M"
shows "emeasure (N \<Otimes>\<^sub>M M) (A \<times> B) = emeasure N A * emeasure M B"
proof -
have "emeasure (N \<Otimes>\<^sub>M M) (A \<times> B) = (\<integral>\<^sup>+x. emeasure M B * indicator A x \<partial>N)"
using A B by (auto intro!: positive_integral_cong simp: emeasure_pair_measure_alt)
also have "\<dots> = emeasure M B * emeasure N A"
using A by (simp add: emeasure_nonneg positive_integral_cmult_indicator)
finally show ?thesis
by (simp add: ac_simps)
qed
subsection {* Binary products of $\sigma$-finite emeasure spaces *}
locale pair_sigma_finite = M1: sigma_finite_measure M1 + M2: sigma_finite_measure M2
for M1 :: "'a measure" and M2 :: "'b measure"
lemma (in pair_sigma_finite) measurable_emeasure_Pair1:
"Q \<in> sets (M1 \<Otimes>\<^sub>M M2) \<Longrightarrow> (\<lambda>x. emeasure M2 (Pair x -` Q)) \<in> borel_measurable M1"
using M2.measurable_emeasure_Pair .
lemma (in pair_sigma_finite) measurable_emeasure_Pair2:
assumes Q: "Q \<in> sets (M1 \<Otimes>\<^sub>M M2)" shows "(\<lambda>y. emeasure M1 ((\<lambda>x. (x, y)) -` Q)) \<in> borel_measurable M2"
proof -
have "(\<lambda>(x, y). (y, x)) -` Q \<inter> space (M2 \<Otimes>\<^sub>M M1) \<in> sets (M2 \<Otimes>\<^sub>M M1)"
using Q measurable_pair_swap' by (auto intro: measurable_sets)
note M1.measurable_emeasure_Pair[OF this]
moreover have "\<And>y. Pair y -` ((\<lambda>(x, y). (y, x)) -` Q \<inter> space (M2 \<Otimes>\<^sub>M M1)) = (\<lambda>x. (x, y)) -` Q"
using Q[THEN sets.sets_into_space] by (auto simp: space_pair_measure)
ultimately show ?thesis by simp
qed
lemma (in pair_sigma_finite) sigma_finite_up_in_pair_measure_generator:
defines "E \<equiv> {A \<times> B | A B. A \<in> sets M1 \<and> B \<in> sets M2}"
shows "\<exists>F::nat \<Rightarrow> ('a \<times> 'b) set. range F \<subseteq> E \<and> incseq F \<and> (\<Union>i. F i) = space M1 \<times> space M2 \<and>
(\<forall>i. emeasure (M1 \<Otimes>\<^sub>M M2) (F i) \<noteq> \<infinity>)"
proof -
from M1.sigma_finite_incseq guess F1 . note F1 = this
from M2.sigma_finite_incseq guess F2 . note F2 = this
from F1 F2 have space: "space M1 = (\<Union>i. F1 i)" "space M2 = (\<Union>i. F2 i)" by auto
let ?F = "\<lambda>i. F1 i \<times> F2 i"
show ?thesis
proof (intro exI[of _ ?F] conjI allI)
show "range ?F \<subseteq> E" using F1 F2 by (auto simp: E_def) (metis range_subsetD)
next
have "space M1 \<times> space M2 \<subseteq> (\<Union>i. ?F i)"
proof (intro subsetI)
fix x assume "x \<in> space M1 \<times> space M2"
then obtain i j where "fst x \<in> F1 i" "snd x \<in> F2 j"
by (auto simp: space)
then have "fst x \<in> F1 (max i j)" "snd x \<in> F2 (max j i)"
using `incseq F1` `incseq F2` unfolding incseq_def
by (force split: split_max)+
then have "(fst x, snd x) \<in> F1 (max i j) \<times> F2 (max i j)"
by (intro SigmaI) (auto simp add: max.commute)
then show "x \<in> (\<Union>i. ?F i)" by auto
qed
then show "(\<Union>i. ?F i) = space M1 \<times> space M2"
using space by (auto simp: space)
next
fix i show "incseq (\<lambda>i. F1 i \<times> F2 i)"
using `incseq F1` `incseq F2` unfolding incseq_Suc_iff by auto
next
fix i
from F1 F2 have "F1 i \<in> sets M1" "F2 i \<in> sets M2" by auto
with F1 F2 emeasure_nonneg[of M1 "F1 i"] emeasure_nonneg[of M2 "F2 i"]
show "emeasure (M1 \<Otimes>\<^sub>M M2) (F1 i \<times> F2 i) \<noteq> \<infinity>"
by (auto simp add: emeasure_pair_measure_Times)
qed
qed
sublocale pair_sigma_finite \<subseteq> P: sigma_finite_measure "M1 \<Otimes>\<^sub>M M2"
proof
from sigma_finite_up_in_pair_measure_generator guess F :: "nat \<Rightarrow> ('a \<times> 'b) set" .. note F = this
show "\<exists>F::nat \<Rightarrow> ('a \<times> 'b) set. range F \<subseteq> sets (M1 \<Otimes>\<^sub>M M2) \<and> (\<Union>i. F i) = space (M1 \<Otimes>\<^sub>M M2) \<and> (\<forall>i. emeasure (M1 \<Otimes>\<^sub>M M2) (F i) \<noteq> \<infinity>)"
proof (rule exI[of _ F], intro conjI)
show "range F \<subseteq> sets (M1 \<Otimes>\<^sub>M M2)" using F by (auto simp: pair_measure_def)
show "(\<Union>i. F i) = space (M1 \<Otimes>\<^sub>M M2)"
using F by (auto simp: space_pair_measure)
show "\<forall>i. emeasure (M1 \<Otimes>\<^sub>M M2) (F i) \<noteq> \<infinity>" using F by auto
qed
qed
lemma sigma_finite_pair_measure:
assumes A: "sigma_finite_measure A" and B: "sigma_finite_measure B"
shows "sigma_finite_measure (A \<Otimes>\<^sub>M B)"
proof -
interpret A: sigma_finite_measure A by fact
interpret B: sigma_finite_measure B by fact
interpret AB: pair_sigma_finite A B ..
show ?thesis ..
qed
lemma sets_pair_swap:
assumes "A \<in> sets (M1 \<Otimes>\<^sub>M M2)"
shows "(\<lambda>(x, y). (y, x)) -` A \<inter> space (M2 \<Otimes>\<^sub>M M1) \<in> sets (M2 \<Otimes>\<^sub>M M1)"
using measurable_pair_swap' assms by (rule measurable_sets)
lemma (in pair_sigma_finite) distr_pair_swap:
"M1 \<Otimes>\<^sub>M M2 = distr (M2 \<Otimes>\<^sub>M M1) (M1 \<Otimes>\<^sub>M M2) (\<lambda>(x, y). (y, x))" (is "?P = ?D")
proof -
from sigma_finite_up_in_pair_measure_generator guess F :: "nat \<Rightarrow> ('a \<times> 'b) set" .. note F = this
let ?E = "{a \<times> b |a b. a \<in> sets M1 \<and> b \<in> sets M2}"
show ?thesis
proof (rule measure_eqI_generator_eq[OF Int_stable_pair_measure_generator[of M1 M2]])
show "?E \<subseteq> Pow (space ?P)"
using sets.space_closed[of M1] sets.space_closed[of M2] by (auto simp: space_pair_measure)
show "sets ?P = sigma_sets (space ?P) ?E"
by (simp add: sets_pair_measure space_pair_measure)
then show "sets ?D = sigma_sets (space ?P) ?E"
by simp
next
show "range F \<subseteq> ?E" "(\<Union>i. F i) = space ?P" "\<And>i. emeasure ?P (F i) \<noteq> \<infinity>"
using F by (auto simp: space_pair_measure)
next
fix X assume "X \<in> ?E"
then obtain A B where X[simp]: "X = A \<times> B" and A: "A \<in> sets M1" and B: "B \<in> sets M2" by auto
have "(\<lambda>(y, x). (x, y)) -` X \<inter> space (M2 \<Otimes>\<^sub>M M1) = B \<times> A"
using sets.sets_into_space[OF A] sets.sets_into_space[OF B] by (auto simp: space_pair_measure)
with A B show "emeasure (M1 \<Otimes>\<^sub>M M2) X = emeasure ?D X"
by (simp add: M2.emeasure_pair_measure_Times M1.emeasure_pair_measure_Times emeasure_distr
measurable_pair_swap' ac_simps)
qed
qed
lemma (in pair_sigma_finite) emeasure_pair_measure_alt2:
assumes A: "A \<in> sets (M1 \<Otimes>\<^sub>M M2)"
shows "emeasure (M1 \<Otimes>\<^sub>M M2) A = (\<integral>\<^sup>+y. emeasure M1 ((\<lambda>x. (x, y)) -` A) \<partial>M2)"
(is "_ = ?\<nu> A")
proof -
have [simp]: "\<And>y. (Pair y -` ((\<lambda>(x, y). (y, x)) -` A \<inter> space (M2 \<Otimes>\<^sub>M M1))) = (\<lambda>x. (x, y)) -` A"
using sets.sets_into_space[OF A] by (auto simp: space_pair_measure)
show ?thesis using A
by (subst distr_pair_swap)
(simp_all del: vimage_Int add: measurable_sets[OF measurable_pair_swap']
M1.emeasure_pair_measure_alt emeasure_distr[OF measurable_pair_swap' A])
qed
lemma (in pair_sigma_finite) AE_pair:
assumes "AE x in (M1 \<Otimes>\<^sub>M M2). Q x"
shows "AE x in M1. (AE y in M2. Q (x, y))"
proof -
obtain N where N: "N \<in> sets (M1 \<Otimes>\<^sub>M M2)" "emeasure (M1 \<Otimes>\<^sub>M M2) N = 0" "{x\<in>space (M1 \<Otimes>\<^sub>M M2). \<not> Q x} \<subseteq> N"
using assms unfolding eventually_ae_filter by auto
show ?thesis
proof (rule AE_I)
from N measurable_emeasure_Pair1[OF `N \<in> sets (M1 \<Otimes>\<^sub>M M2)`]
show "emeasure M1 {x\<in>space M1. emeasure M2 (Pair x -` N) \<noteq> 0} = 0"
by (auto simp: M2.emeasure_pair_measure_alt positive_integral_0_iff emeasure_nonneg)
show "{x \<in> space M1. emeasure M2 (Pair x -` N) \<noteq> 0} \<in> sets M1"
by (intro borel_measurable_ereal_neq_const measurable_emeasure_Pair1 N)
{ fix x assume "x \<in> space M1" "emeasure M2 (Pair x -` N) = 0"
have "AE y in M2. Q (x, y)"
proof (rule AE_I)
show "emeasure M2 (Pair x -` N) = 0" by fact
show "Pair x -` N \<in> sets M2" using N(1) by (rule sets_Pair1)
show "{y \<in> space M2. \<not> Q (x, y)} \<subseteq> Pair x -` N"
using N `x \<in> space M1` unfolding space_pair_measure by auto
qed }
then show "{x \<in> space M1. \<not> (AE y in M2. Q (x, y))} \<subseteq> {x \<in> space M1. emeasure M2 (Pair x -` N) \<noteq> 0}"
by auto
qed
qed
lemma (in pair_sigma_finite) AE_pair_measure:
assumes "{x\<in>space (M1 \<Otimes>\<^sub>M M2). P x} \<in> sets (M1 \<Otimes>\<^sub>M M2)"
assumes ae: "AE x in M1. AE y in M2. P (x, y)"
shows "AE x in M1 \<Otimes>\<^sub>M M2. P x"
proof (subst AE_iff_measurable[OF _ refl])
show "{x\<in>space (M1 \<Otimes>\<^sub>M M2). \<not> P x} \<in> sets (M1 \<Otimes>\<^sub>M M2)"
by (rule sets.sets_Collect) fact
then have "emeasure (M1 \<Otimes>\<^sub>M M2) {x \<in> space (M1 \<Otimes>\<^sub>M M2). \<not> P x} =
(\<integral>\<^sup>+ x. \<integral>\<^sup>+ y. indicator {x \<in> space (M1 \<Otimes>\<^sub>M M2). \<not> P x} (x, y) \<partial>M2 \<partial>M1)"
by (simp add: M2.emeasure_pair_measure)
also have "\<dots> = (\<integral>\<^sup>+ x. \<integral>\<^sup>+ y. 0 \<partial>M2 \<partial>M1)"
using ae
apply (safe intro!: positive_integral_cong_AE)
apply (intro AE_I2)
apply (safe intro!: positive_integral_cong_AE)
apply auto
done
finally show "emeasure (M1 \<Otimes>\<^sub>M M2) {x \<in> space (M1 \<Otimes>\<^sub>M M2). \<not> P x} = 0" by simp
qed
lemma (in pair_sigma_finite) AE_pair_iff:
"{x\<in>space (M1 \<Otimes>\<^sub>M M2). P (fst x) (snd x)} \<in> sets (M1 \<Otimes>\<^sub>M M2) \<Longrightarrow>
(AE x in M1. AE y in M2. P x y) \<longleftrightarrow> (AE x in (M1 \<Otimes>\<^sub>M M2). P (fst x) (snd x))"
using AE_pair[of "\<lambda>x. P (fst x) (snd x)"] AE_pair_measure[of "\<lambda>x. P (fst x) (snd x)"] by auto
lemma (in pair_sigma_finite) AE_commute:
assumes P: "{x\<in>space (M1 \<Otimes>\<^sub>M M2). P (fst x) (snd x)} \<in> sets (M1 \<Otimes>\<^sub>M M2)"
shows "(AE x in M1. AE y in M2. P x y) \<longleftrightarrow> (AE y in M2. AE x in M1. P x y)"
proof -
interpret Q: pair_sigma_finite M2 M1 ..
have [simp]: "\<And>x. (fst (case x of (x, y) \<Rightarrow> (y, x))) = snd x" "\<And>x. (snd (case x of (x, y) \<Rightarrow> (y, x))) = fst x"
by auto
have "{x \<in> space (M2 \<Otimes>\<^sub>M M1). P (snd x) (fst x)} =
(\<lambda>(x, y). (y, x)) -` {x \<in> space (M1 \<Otimes>\<^sub>M M2). P (fst x) (snd x)} \<inter> space (M2 \<Otimes>\<^sub>M M1)"
by (auto simp: space_pair_measure)
also have "\<dots> \<in> sets (M2 \<Otimes>\<^sub>M M1)"
by (intro sets_pair_swap P)
finally show ?thesis
apply (subst AE_pair_iff[OF P])
apply (subst distr_pair_swap)
apply (subst AE_distr_iff[OF measurable_pair_swap' P])
apply (subst Q.AE_pair_iff)
apply simp_all
done
qed
section "Fubinis theorem"
lemma measurable_compose_Pair1:
"x \<in> space M1 \<Longrightarrow> g \<in> measurable (M1 \<Otimes>\<^sub>M M2) L \<Longrightarrow> (\<lambda>y. g (x, y)) \<in> measurable M2 L"
by simp
lemma (in sigma_finite_measure) borel_measurable_positive_integral_fst':
assumes f: "f \<in> borel_measurable (M1 \<Otimes>\<^sub>M M)" "\<And>x. 0 \<le> f x"
shows "(\<lambda>x. \<integral>\<^sup>+ y. f (x, y) \<partial>M) \<in> borel_measurable M1"
using f proof induct
case (cong u v)
then have "\<And>w x. w \<in> space M1 \<Longrightarrow> x \<in> space M \<Longrightarrow> u (w, x) = v (w, x)"
by (auto simp: space_pair_measure)
show ?case
apply (subst measurable_cong)
apply (rule positive_integral_cong)
apply fact+
done
next
case (set Q)
have [simp]: "\<And>x y. indicator Q (x, y) = indicator (Pair x -` Q) y"
by (auto simp: indicator_def)
have "\<And>x. x \<in> space M1 \<Longrightarrow> emeasure M (Pair x -` Q) = \<integral>\<^sup>+ y. indicator Q (x, y) \<partial>M"
by (simp add: sets_Pair1[OF set])
from this measurable_emeasure_Pair[OF set] show ?case
by (rule measurable_cong[THEN iffD1])
qed (simp_all add: positive_integral_add positive_integral_cmult measurable_compose_Pair1
positive_integral_monotone_convergence_SUP incseq_def le_fun_def
cong: measurable_cong)
lemma (in sigma_finite_measure) positive_integral_fst':
assumes f: "f \<in> borel_measurable (M1 \<Otimes>\<^sub>M M)" "\<And>x. 0 \<le> f x"
shows "(\<integral>\<^sup>+ x. \<integral>\<^sup>+ y. f (x, y) \<partial>M \<partial>M1) = integral\<^sup>P (M1 \<Otimes>\<^sub>M M) f" (is "?I f = _")
using f proof induct
case (cong u v)
then have "?I u = ?I v"
by (intro positive_integral_cong) (auto simp: space_pair_measure)
with cong show ?case
by (simp cong: positive_integral_cong)
qed (simp_all add: emeasure_pair_measure positive_integral_cmult positive_integral_add
positive_integral_monotone_convergence_SUP
measurable_compose_Pair1 positive_integral_positive
borel_measurable_positive_integral_fst' positive_integral_mono incseq_def le_fun_def
cong: positive_integral_cong)
lemma (in sigma_finite_measure) positive_integral_fst:
assumes f: "f \<in> borel_measurable (M1 \<Otimes>\<^sub>M M)"
shows "(\<integral>\<^sup>+ x. (\<integral>\<^sup>+ y. f (x, y) \<partial>M) \<partial>M1) = integral\<^sup>P (M1 \<Otimes>\<^sub>M M) f"
using f
borel_measurable_positive_integral_fst'[of "\<lambda>x. max 0 (f x)"]
positive_integral_fst'[of "\<lambda>x. max 0 (f x)"]
unfolding positive_integral_max_0 by auto
lemma (in sigma_finite_measure) borel_measurable_positive_integral[measurable (raw)]:
"split f \<in> borel_measurable (N \<Otimes>\<^sub>M M) \<Longrightarrow> (\<lambda>x. \<integral>\<^sup>+ y. f x y \<partial>M) \<in> borel_measurable N"
using borel_measurable_positive_integral_fst'[of "\<lambda>x. max 0 (split f x)" N]
by (simp add: positive_integral_max_0)
lemma (in pair_sigma_finite) positive_integral_snd:
assumes f: "f \<in> borel_measurable (M1 \<Otimes>\<^sub>M M2)"
shows "(\<integral>\<^sup>+ y. (\<integral>\<^sup>+ x. f (x, y) \<partial>M1) \<partial>M2) = integral\<^sup>P (M1 \<Otimes>\<^sub>M M2) f"
proof -
note measurable_pair_swap[OF f]
from M1.positive_integral_fst[OF this]
have "(\<integral>\<^sup>+ y. (\<integral>\<^sup>+ x. f (x, y) \<partial>M1) \<partial>M2) = (\<integral>\<^sup>+ (x, y). f (y, x) \<partial>(M2 \<Otimes>\<^sub>M M1))"
by simp
also have "(\<integral>\<^sup>+ (x, y). f (y, x) \<partial>(M2 \<Otimes>\<^sub>M M1)) = integral\<^sup>P (M1 \<Otimes>\<^sub>M M2) f"
by (subst distr_pair_swap)
(auto simp: positive_integral_distr[OF measurable_pair_swap' f] intro!: positive_integral_cong)
finally show ?thesis .
qed
lemma (in pair_sigma_finite) Fubini:
assumes f: "f \<in> borel_measurable (M1 \<Otimes>\<^sub>M M2)"
shows "(\<integral>\<^sup>+ y. (\<integral>\<^sup>+ x. f (x, y) \<partial>M1) \<partial>M2) = (\<integral>\<^sup>+ x. (\<integral>\<^sup>+ y. f (x, y) \<partial>M2) \<partial>M1)"
unfolding positive_integral_snd[OF assms] M2.positive_integral_fst[OF assms] ..
section {* Products on counting spaces, densities and distributions *}
lemma sigma_sets_pair_measure_generator_finite:
assumes "finite A" and "finite B"
shows "sigma_sets (A \<times> B) { a \<times> b | a b. a \<subseteq> A \<and> b \<subseteq> B} = Pow (A \<times> B)"
(is "sigma_sets ?prod ?sets = _")
proof safe
have fin: "finite (A \<times> B)" using assms by (rule finite_cartesian_product)
fix x assume subset: "x \<subseteq> A \<times> B"
hence "finite x" using fin by (rule finite_subset)
from this subset show "x \<in> sigma_sets ?prod ?sets"
proof (induct x)
case empty show ?case by (rule sigma_sets.Empty)
next
case (insert a x)
hence "{a} \<in> sigma_sets ?prod ?sets" by auto
moreover have "x \<in> sigma_sets ?prod ?sets" using insert by auto
ultimately show ?case unfolding insert_is_Un[of a x] by (rule sigma_sets_Un)
qed
next
fix x a b
assume "x \<in> sigma_sets ?prod ?sets" and "(a, b) \<in> x"
from sigma_sets_into_sp[OF _ this(1)] this(2)
show "a \<in> A" and "b \<in> B" by auto
qed
lemma pair_measure_count_space:
assumes A: "finite A" and B: "finite B"
shows "count_space A \<Otimes>\<^sub>M count_space B = count_space (A \<times> B)" (is "?P = ?C")
proof (rule measure_eqI)
interpret A: finite_measure "count_space A" by (rule finite_measure_count_space) fact
interpret B: finite_measure "count_space B" by (rule finite_measure_count_space) fact
interpret P: pair_sigma_finite "count_space A" "count_space B" by default
show eq: "sets ?P = sets ?C"
by (simp add: sets_pair_measure sigma_sets_pair_measure_generator_finite A B)
fix X assume X: "X \<in> sets ?P"
with eq have X_subset: "X \<subseteq> A \<times> B" by simp
with A B have fin_Pair: "\<And>x. finite (Pair x -` X)"
by (intro finite_subset[OF _ B]) auto
have fin_X: "finite X" using X_subset by (rule finite_subset) (auto simp: A B)
show "emeasure ?P X = emeasure ?C X"
apply (subst B.emeasure_pair_measure_alt[OF X])
apply (subst emeasure_count_space)
using X_subset apply auto []
apply (simp add: fin_Pair emeasure_count_space X_subset fin_X)
apply (subst positive_integral_count_space)
using A apply simp
apply (simp del: real_of_nat_setsum add: real_of_nat_setsum[symmetric])
apply (subst card_gt_0_iff)
apply (simp add: fin_Pair)
apply (subst card_SigmaI[symmetric])
using A apply simp
using fin_Pair apply simp
using X_subset apply (auto intro!: arg_cong[where f=card])
done
qed
lemma pair_measure_density:
assumes f: "f \<in> borel_measurable M1" "AE x in M1. 0 \<le> f x"
assumes g: "g \<in> borel_measurable M2" "AE x in M2. 0 \<le> g x"
assumes "sigma_finite_measure M2" "sigma_finite_measure (density M2 g)"
shows "density M1 f \<Otimes>\<^sub>M density M2 g = density (M1 \<Otimes>\<^sub>M M2) (\<lambda>(x,y). f x * g y)" (is "?L = ?R")
proof (rule measure_eqI)
interpret M2: sigma_finite_measure M2 by fact
interpret D2: sigma_finite_measure "density M2 g" by fact
fix A assume A: "A \<in> sets ?L"
with f g have "(\<integral>\<^sup>+ x. f x * \<integral>\<^sup>+ y. g y * indicator A (x, y) \<partial>M2 \<partial>M1) =
(\<integral>\<^sup>+ x. \<integral>\<^sup>+ y. f x * g y * indicator A (x, y) \<partial>M2 \<partial>M1)"
by (intro positive_integral_cong_AE)
(auto simp add: positive_integral_cmult[symmetric] ac_simps)
with A f g show "emeasure ?L A = emeasure ?R A"
by (simp add: D2.emeasure_pair_measure emeasure_density positive_integral_density
M2.positive_integral_fst[symmetric]
cong: positive_integral_cong)
qed simp
lemma sigma_finite_measure_distr:
assumes "sigma_finite_measure (distr M N f)" and f: "f \<in> measurable M N"
shows "sigma_finite_measure M"
proof -
interpret sigma_finite_measure "distr M N f" by fact
from sigma_finite_disjoint guess A . note A = this
show ?thesis
proof (unfold_locales, intro conjI exI allI)
show "range (\<lambda>i. f -` A i \<inter> space M) \<subseteq> sets M"
using A f by auto
show "(\<Union>i. f -` A i \<inter> space M) = space M"
using A(1) A(2)[symmetric] f by (auto simp: measurable_def Pi_def)
fix i show "emeasure M (f -` A i \<inter> space M) \<noteq> \<infinity>"
using f A(1,2) A(3)[of i] by (simp add: emeasure_distr subset_eq)
qed
qed
lemma pair_measure_distr:
assumes f: "f \<in> measurable M S" and g: "g \<in> measurable N T"
assumes "sigma_finite_measure (distr N T g)"
shows "distr M S f \<Otimes>\<^sub>M distr N T g = distr (M \<Otimes>\<^sub>M N) (S \<Otimes>\<^sub>M T) (\<lambda>(x, y). (f x, g y))" (is "?P = ?D")
proof (rule measure_eqI)
interpret T: sigma_finite_measure "distr N T g" by fact
interpret N: sigma_finite_measure N by (rule sigma_finite_measure_distr) fact+
fix A assume A: "A \<in> sets ?P"
with f g show "emeasure ?P A = emeasure ?D A"
by (auto simp add: N.emeasure_pair_measure_alt space_pair_measure emeasure_distr
T.emeasure_pair_measure_alt positive_integral_distr
intro!: positive_integral_cong arg_cong[where f="emeasure N"])
qed simp
lemma pair_measure_eqI:
assumes "sigma_finite_measure M1" "sigma_finite_measure M2"
assumes sets: "sets (M1 \<Otimes>\<^sub>M M2) = sets M"
assumes emeasure: "\<And>A B. A \<in> sets M1 \<Longrightarrow> B \<in> sets M2 \<Longrightarrow> emeasure M1 A * emeasure M2 B = emeasure M (A \<times> B)"
shows "M1 \<Otimes>\<^sub>M M2 = M"
proof -
interpret M1: sigma_finite_measure M1 by fact
interpret M2: sigma_finite_measure M2 by fact
interpret pair_sigma_finite M1 M2 by default
from sigma_finite_up_in_pair_measure_generator guess F :: "nat \<Rightarrow> ('a \<times> 'b) set" .. note F = this
let ?E = "{a \<times> b |a b. a \<in> sets M1 \<and> b \<in> sets M2}"
let ?P = "M1 \<Otimes>\<^sub>M M2"
show ?thesis
proof (rule measure_eqI_generator_eq[OF Int_stable_pair_measure_generator[of M1 M2]])
show "?E \<subseteq> Pow (space ?P)"
using sets.space_closed[of M1] sets.space_closed[of M2] by (auto simp: space_pair_measure)
show "sets ?P = sigma_sets (space ?P) ?E"
by (simp add: sets_pair_measure space_pair_measure)
then show "sets M = sigma_sets (space ?P) ?E"
using sets[symmetric] by simp
next
show "range F \<subseteq> ?E" "(\<Union>i. F i) = space ?P" "\<And>i. emeasure ?P (F i) \<noteq> \<infinity>"
using F by (auto simp: space_pair_measure)
next
fix X assume "X \<in> ?E"
then obtain A B where X[simp]: "X = A \<times> B" and A: "A \<in> sets M1" and B: "B \<in> sets M2" by auto
then have "emeasure ?P X = emeasure M1 A * emeasure M2 B"
by (simp add: M2.emeasure_pair_measure_Times)
also have "\<dots> = emeasure M (A \<times> B)"
using A B emeasure by auto
finally show "emeasure ?P X = emeasure M X"
by simp
qed
qed
end