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Communication Dans Un Congrès Année : 2023

A Formalization of Doob's Martingale Convergence Theorems in mathlib

Rémy Degenne
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Résumé

We present the formalization of Doob's martingale convergence theorems in the mathlib library for the Lean theorem prover. These theorems give conditions under which (sub)martingales converge, almost everywhere or in $L^1$. In order to formalize those results, we build a definition of the conditional expectation in Banach spaces and develop the theory of stochastic processes, stopping times and martingales. As an application of the convergence theorems, we also present the formalization of L\'evy's generalized Borel-Cantelli lemma. This work on martingale theory is one of the first developments of probability theory in mathlib, and it builds upon diverse parts of that library such as topology, analysis and most importantly measure theory.
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hal-04337785 , version 1 (12-12-2023)

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Kexing Ying, Rémy Degenne. A Formalization of Doob's Martingale Convergence Theorems in mathlib. 12th ACM SIGPLAN International Conference on Certified Programs and Proofs, Jan 2023, Boston (Massachusetts), United States. ⟨10.1145/3573105.3575675⟩. ⟨hal-04337785⟩
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