diff --git a/Mathlib.lean b/Mathlib.lean
index 7cdeae2d8c7cb..97ad2eeab2644 100644
--- a/Mathlib.lean
+++ b/Mathlib.lean
@@ -2443,6 +2443,7 @@ import Mathlib.Probability.ProbabilityMassFunction.Basic
 import Mathlib.Probability.ProbabilityMassFunction.Constructions
 import Mathlib.Probability.ProbabilityMassFunction.Monad
 import Mathlib.Probability.ProbabilityMassFunction.Uniform
+import Mathlib.Probability.Process.Filtration
 import Mathlib.RepresentationTheory.Action
 import Mathlib.RepresentationTheory.Basic
 import Mathlib.RepresentationTheory.Maschke
diff --git a/Mathlib/Probability/Process/Filtration.lean b/Mathlib/Probability/Process/Filtration.lean
new file mode 100644
index 0000000000000..28a8982e6a6e7
--- /dev/null
+++ b/Mathlib/Probability/Process/Filtration.lean
@@ -0,0 +1,359 @@
+/-
+Copyright (c) 2021 Kexing Ying. All rights reserved.
+Released under Apache 2.0 license as described in the file LICENSE.
+Authors: Kexing Ying, Rémy Degenne
+
+! This file was ported from Lean 3 source module probability.process.filtration
+! leanprover-community/mathlib commit f2ce6086713c78a7f880485f7917ea547a215982
+! Please do not edit these lines, except to modify the commit id
+! if you have ported upstream changes.
+-/
+import Mathlib.MeasureTheory.Function.ConditionalExpectation.Real
+
+/-!
+# Filtrations
+
+This file defines filtrations of a measurable space and σ-finite filtrations.
+
+## Main definitions
+
+* `MeasureTheory.Filtration`: a filtration on a measurable space. That is, a monotone sequence of
+  sub-σ-algebras.
+* `MeasureTheory.SigmaFiniteFiltration`: a filtration `f` is σ-finite with respect to a measure
+  `μ` if for all `i`, `μ.trim (f.le i)` is σ-finite.
+* `MeasureTheory.Filtration.natural`: the smallest filtration that makes a process adapted. That
+  notion `adapted` is not defined yet in this file. See `MeasureTheory.adapted`.
+
+## Main results
+
+* `MeasureTheory.Filtration.instCompleteLattice`: filtrations are a complete lattice.
+
+## Tags
+
+filtration, stochastic process
+
+-/
+
+
+open Filter Order TopologicalSpace
+
+open scoped Classical MeasureTheory NNReal ENNReal Topology BigOperators
+
+namespace MeasureTheory
+
+/-- A `Filtration` on a measurable space `Ω` with σ-algebra `m` is a monotone
+sequence of sub-σ-algebras of `m`. -/
+structure Filtration {Ω : Type _} (ι : Type _) [Preorder ι] (m : MeasurableSpace Ω) where
+  seq : ι → MeasurableSpace Ω
+  mono' : Monotone seq
+  le' : ∀ i : ι, seq i ≤ m
+#align measure_theory.filtration MeasureTheory.Filtration
+
+variable {Ω β ι : Type _} {m : MeasurableSpace Ω}
+
+instance [Preorder ι] : CoeFun (Filtration ι m) fun _ => ι → MeasurableSpace Ω :=
+  ⟨fun f => f.seq⟩
+
+namespace Filtration
+
+variable [Preorder ι]
+
+protected theorem mono {i j : ι} (f : Filtration ι m) (hij : i ≤ j) : f i ≤ f j :=
+  f.mono' hij
+#align measure_theory.filtration.mono MeasureTheory.Filtration.mono
+
+protected theorem le (f : Filtration ι m) (i : ι) : f i ≤ m :=
+  f.le' i
+#align measure_theory.filtration.le MeasureTheory.Filtration.le
+
+@[ext]
+protected theorem ext {f g : Filtration ι m} (h : (f : ι → MeasurableSpace Ω) = g) : f = g := by
+  cases f; cases g; simp only; congr
+#align measure_theory.filtration.ext MeasureTheory.Filtration.ext
+
+variable (ι)
+
+/-- The constant filtration which is equal to `m` for all `i : ι`. -/
+def const (m' : MeasurableSpace Ω) (hm' : m' ≤ m) : Filtration ι m :=
+  ⟨fun _ => m', monotone_const, fun _ => hm'⟩
+#align measure_theory.filtration.const MeasureTheory.Filtration.const
+
+variable {ι}
+
+@[simp]
+theorem const_apply {m' : MeasurableSpace Ω} {hm' : m' ≤ m} (i : ι) : const ι m' hm' i = m' :=
+  rfl
+#align measure_theory.filtration.const_apply MeasureTheory.Filtration.const_apply
+
+instance : Inhabited (Filtration ι m) :=
+  ⟨const ι m le_rfl⟩
+
+instance : LE (Filtration ι m) :=
+  ⟨fun f g => ∀ i, f i ≤ g i⟩
+
+instance : Bot (Filtration ι m) :=
+  ⟨const ι ⊥ bot_le⟩
+
+instance : Top (Filtration ι m) :=
+  ⟨const ι m le_rfl⟩
+
+instance : Sup (Filtration ι m) :=
+  ⟨fun f g =>
+    { seq := fun i => f i ⊔ g i
+      mono' := fun _ _ hij =>
+        sup_le ((f.mono hij).trans le_sup_left) ((g.mono hij).trans le_sup_right)
+      le' := fun i => sup_le (f.le i) (g.le i) }⟩
+
+-- @[norm_cast] -- Porting note: no longer involves casting (new-style structures)
+theorem coeFn_sup {f g : Filtration ι m} : ⇑(f ⊔ g) = ⇑f ⊔ ⇑g :=
+  rfl
+#align measure_theory.filtration.coe_fn_sup MeasureTheory.Filtration.coeFn_sup
+
+instance : Inf (Filtration ι m) :=
+  ⟨fun f g =>
+    { seq := fun i => f i ⊓ g i
+      mono' := fun _ _ hij =>
+        le_inf (inf_le_left.trans (f.mono hij)) (inf_le_right.trans (g.mono hij))
+      le' := fun i => inf_le_left.trans (f.le i) }⟩
+
+-- @[norm_cast] -- Porting note: no longer involves casting (new-style structures)
+theorem coeFn_inf {f g : Filtration ι m} : ⇑(f ⊓ g) = ⇑f ⊓ ⇑g :=
+  rfl
+#align measure_theory.filtration.coe_fn_inf MeasureTheory.Filtration.coeFn_inf
+
+instance : SupSet (Filtration ι m) :=
+  ⟨fun s =>
+    { seq := fun i => sSup ((fun f : Filtration ι m => f i) '' s)
+      mono' := fun i j hij => by
+        refine' sSup_le fun m' hm' => _
+        rw [Set.mem_image] at hm'
+        obtain ⟨f, hf_mem, hfm'⟩ := hm'
+        rw [← hfm']
+        refine' (f.mono hij).trans _
+        have hfj_mem : f j ∈ (fun g : Filtration ι m => g j) '' s := ⟨f, hf_mem, rfl⟩
+        exact le_sSup hfj_mem
+      le' := fun i => by
+        refine' sSup_le fun m' hm' => _
+        rw [Set.mem_image] at hm'
+        obtain ⟨f, _, hfm'⟩ := hm'
+        rw [← hfm']
+        exact f.le i }⟩
+
+theorem sSup_def (s : Set (Filtration ι m)) (i : ι) :
+    sSup s i = sSup ((fun f : Filtration ι m => f i) '' s) :=
+  rfl
+#align measure_theory.filtration.Sup_def MeasureTheory.Filtration.sSup_def
+
+noncomputable instance : InfSet (Filtration ι m) :=
+  ⟨fun s =>
+    { seq := fun i => if Set.Nonempty s then sInf ((fun f : Filtration ι m => f i) '' s) else m
+      mono' := fun i j hij => by
+        by_cases h_nonempty : Set.Nonempty s
+        swap; · simp only [h_nonempty, Set.nonempty_image_iff, if_false, le_refl]
+        simp only [h_nonempty, if_true, le_sInf_iff, Set.mem_image, forall_exists_index, and_imp,
+          forall_apply_eq_imp_iff₂]
+        refine' fun f hf_mem => le_trans _ (f.mono hij)
+        have hfi_mem : f i ∈ (fun g : Filtration ι m => g i) '' s := ⟨f, hf_mem, rfl⟩
+        exact sInf_le hfi_mem
+      le' := fun i => by
+        by_cases h_nonempty : Set.Nonempty s
+        swap; · simp only [h_nonempty, if_false, le_refl]
+        simp only [h_nonempty, if_true]
+        obtain ⟨f, hf_mem⟩ := h_nonempty
+        exact le_trans (sInf_le ⟨f, hf_mem, rfl⟩) (f.le i) }⟩
+
+theorem sInf_def (s : Set (Filtration ι m)) (i : ι) :
+    sInf s i = if Set.Nonempty s then sInf ((fun f : Filtration ι m => f i) '' s) else m :=
+  rfl
+#align measure_theory.filtration.Inf_def MeasureTheory.Filtration.sInf_def
+
+noncomputable instance instCompleteLattice : CompleteLattice (Filtration ι m) where
+  le := (· ≤ ·)
+  le_refl f i := le_rfl
+  le_trans f g h h_fg h_gh i := (h_fg i).trans (h_gh i)
+  le_antisymm f g h_fg h_gf := Filtration.ext <| funext fun i => (h_fg i).antisymm (h_gf i)
+  sup := (· ⊔ ·)
+  le_sup_left f g i := le_sup_left
+  le_sup_right f g i := le_sup_right
+  sup_le f g h h_fh h_gh i := sup_le (h_fh i) (h_gh _)
+  inf := (· ⊓ ·)
+  inf_le_left f g i := inf_le_left
+  inf_le_right f g i := inf_le_right
+  le_inf f g h h_fg h_fh i := le_inf (h_fg i) (h_fh i)
+  sSup := sSup
+  le_sSup s f hf_mem i := le_sSup ⟨f, hf_mem, rfl⟩
+  sSup_le s f h_forall i :=
+    sSup_le fun m' hm' => by
+      obtain ⟨g, hg_mem, hfm'⟩ := hm'
+      rw [← hfm']
+      exact h_forall g hg_mem i
+  sInf := sInf
+  sInf_le s f hf_mem i := by
+    have hs : s.Nonempty := ⟨f, hf_mem⟩
+    simp only [sInf_def, hs, if_true]
+    exact sInf_le ⟨f, hf_mem, rfl⟩
+  le_sInf s f h_forall i := by
+    by_cases hs : s.Nonempty
+    swap; · simp only [sInf_def, hs, if_false]; exact f.le i
+    simp only [sInf_def, hs, if_true, le_sInf_iff, Set.mem_image, forall_exists_index, and_imp,
+      forall_apply_eq_imp_iff₂]
+    exact fun g hg_mem => h_forall g hg_mem i
+  top := ⊤
+  bot := ⊥
+  le_top f i := f.le' i
+  bot_le f i := bot_le
+
+end Filtration
+
+theorem measurableSet_of_filtration [Preorder ι] {f : Filtration ι m} {s : Set Ω} {i : ι}
+    (hs : MeasurableSet[f i] s) : MeasurableSet[m] s :=
+  f.le i s hs
+#align measure_theory.measurable_set_of_filtration MeasureTheory.measurableSet_of_filtration
+
+/-- A measure is σ-finite with respect to filtration if it is σ-finite with respect
+to all the sub-σ-algebra of the filtration. -/
+class SigmaFiniteFiltration [Preorder ι] (μ : Measure Ω) (f : Filtration ι m) : Prop where
+  SigmaFinite : ∀ i : ι, SigmaFinite (μ.trim (f.le i))
+#align measure_theory.sigma_finite_filtration MeasureTheory.SigmaFiniteFiltration
+
+instance sigmaFinite_of_sigmaFiniteFiltration [Preorder ι] (μ : Measure Ω) (f : Filtration ι m)
+    [hf : SigmaFiniteFiltration μ f] (i : ι) : SigmaFinite (μ.trim (f.le i)) := by
+  apply hf.SigmaFinite
+#align measure_theory.sigma_finite_of_sigma_finite_filtration MeasureTheory.sigmaFinite_of_sigmaFiniteFiltration
+
+-- can't exact here
+instance (priority := 100) IsFiniteMeasure.sigmaFiniteFiltration [Preorder ι] (μ : Measure Ω)
+    (f : Filtration ι m) [IsFiniteMeasure μ] : SigmaFiniteFiltration μ f :=
+  ⟨fun n => by infer_instance⟩
+#align measure_theory.is_finite_measure.sigma_finite_filtration MeasureTheory.IsFiniteMeasure.sigmaFiniteFiltration
+
+/-- Given a integrable function `g`, the conditional expectations of `g` with respect to a
+filtration is uniformly integrable. -/
+theorem Integrable.uniformIntegrable_condexp_filtration [Preorder ι] {μ : Measure Ω}
+    [IsFiniteMeasure μ] {f : Filtration ι m} {g : Ω → ℝ} (hg : Integrable g μ) :
+    UniformIntegrable (fun i => μ[g|f i]) 1 μ :=
+  hg.uniformIntegrable_condexp f.le
+#align measure_theory.integrable.uniform_integrable_condexp_filtration MeasureTheory.Integrable.uniformIntegrable_condexp_filtration
+
+section OfSet
+
+variable [Preorder ι]
+
+/-- Given a sequence of measurable sets `(sₙ)`, `filtrationOfSet` is the smallest filtration
+such that `sₙ` is measurable with respect to the `n`-th sub-σ-algebra in `filtrationOfSet`. -/
+def filtrationOfSet {s : ι → Set Ω} (hsm : ∀ i, MeasurableSet (s i)) : Filtration ι m where
+  seq i := MeasurableSpace.generateFrom {t | ∃ j ≤ i, s j = t}
+  mono' _ _ hnm := MeasurableSpace.generateFrom_mono fun _ ⟨k, hk₁, hk₂⟩ => ⟨k, hk₁.trans hnm, hk₂⟩
+  le' _ := MeasurableSpace.generateFrom_le fun _ ⟨k, _, hk₂⟩ => hk₂ ▸ hsm k
+#align measure_theory.filtration_of_set MeasureTheory.filtrationOfSet
+
+theorem measurableSet_filtrationOfSet {s : ι → Set Ω} (hsm : ∀ i, MeasurableSet[m] (s i)) (i : ι)
+    {j : ι} (hj : j ≤ i) : MeasurableSet[filtrationOfSet hsm i] (s j) :=
+  MeasurableSpace.measurableSet_generateFrom ⟨j, hj, rfl⟩
+#align measure_theory.measurable_set_filtration_of_set MeasureTheory.measurableSet_filtrationOfSet
+
+theorem measurableSet_filtration_of_set' {s : ι → Set Ω} (hsm : ∀ n, MeasurableSet[m] (s n))
+    (i : ι) : MeasurableSet[filtrationOfSet hsm i] (s i) :=
+  measurableSet_filtrationOfSet hsm i le_rfl
+#align measure_theory.measurable_set_filtration_of_set' MeasureTheory.measurableSet_filtration_of_set'
+
+end OfSet
+
+namespace Filtration
+
+variable [TopologicalSpace β] [MetrizableSpace β] [mβ : MeasurableSpace β] [BorelSpace β]
+  [Preorder ι]
+
+/-- Given a sequence of functions, the natural filtration is the smallest sequence
+of σ-algebras such that that sequence of functions is measurable with respect to
+the filtration. -/
+def natural (u : ι → Ω → β) (hum : ∀ i, StronglyMeasurable (u i)) : Filtration ι m where
+  seq i := ⨆ j ≤ i, MeasurableSpace.comap (u j) mβ
+  mono' i j hij := biSup_mono fun k => ge_trans hij
+  le' i := by
+    refine' iSup₂_le _
+    rintro j _ s ⟨t, ht, rfl⟩
+    exact (hum j).measurable ht
+#align measure_theory.filtration.natural MeasureTheory.Filtration.natural
+
+section
+
+open MeasurableSpace
+
+theorem filtrationOfSet_eq_natural [MulZeroOneClass β] [Nontrivial β] {s : ι → Set Ω}
+    (hsm : ∀ i, MeasurableSet[m] (s i)) :
+    filtrationOfSet hsm = natural (fun i => (s i).indicator (fun _ => 1 : Ω → β)) fun i =>
+      stronglyMeasurable_one.indicator (hsm i) := by
+  simp [natural, filtrationOfSet, measurableSpace_iSup_eq]
+  ext1 i
+  refine' le_antisymm (generateFrom_le _) (generateFrom_le _)
+  · rintro _ ⟨j, hij, rfl⟩
+    refine' measurableSet_generateFrom ⟨j, measurableSet_generateFrom ⟨hij, _⟩⟩
+    rw [comap_eq_generateFrom]
+    refine' measurableSet_generateFrom ⟨{1}, measurableSet_singleton 1, _⟩
+    ext x
+    simp [Set.indicator_const_preimage_eq_union]
+  · rintro t ⟨n, ht⟩
+    suffices MeasurableSpace.generateFrom {t | ∃ _ : n ≤ i,
+      MeasurableSet[MeasurableSpace.comap ((s n).indicator (fun _ => 1 : Ω → β)) mβ] t} ≤
+        MeasurableSpace.generateFrom {t | ∃ (j : ι) (_ : j ≤ i), s j = t} by
+      -- Porting note: was `exact this _ ht`
+      convert this _ _ <;> simp_all only [exists_prop]
+    refine' generateFrom_le _
+    rintro t ⟨hn, u, _, hu'⟩
+    obtain heq | heq | heq | heq := Set.indicator_const_preimage (s n) u (1 : β)
+    pick_goal 4; rw [Set.mem_singleton_iff] at heq
+    all_goals rw [heq] at hu' ; rw [← hu']
+    exacts [measurableSet_empty _, MeasurableSet.univ, measurableSet_generateFrom ⟨n, hn, rfl⟩,
+      MeasurableSet.compl (measurableSet_generateFrom ⟨n, hn, rfl⟩)]
+#align measure_theory.filtration.filtration_of_set_eq_natural MeasureTheory.Filtration.filtrationOfSet_eq_natural
+
+end
+
+section Limit
+
+variable {E : Type _} [Zero E] [TopologicalSpace E] {ℱ : Filtration ι m} {f : ι → Ω → E}
+  {μ : Measure Ω}
+
+/-- Given a process `f` and a filtration `ℱ`, if `f` converges to some `g` almost everywhere and
+`g` is `⨆ n, ℱ n`-measurable, then `limitProcess f ℱ μ` chooses said `g`, else it returns 0.
+
+This definition is used to phrase the a.e. martingale convergence theorem
+`Submartingale.ae_tendsto_limitProcess` where an L¹-bounded submartingale `f` adapted to `ℱ`
+converges to `limitProcess f ℱ μ` `μ`-almost everywhere. -/
+noncomputable def limitProcess (f : ι → Ω → E) (ℱ : Filtration ι m)
+    (μ : Measure Ω) :=
+  if h : ∃ g : Ω → E,
+    StronglyMeasurable[⨆ n, ℱ n] g ∧ ∀ᵐ ω ∂μ, Tendsto (fun n => f n ω) atTop (𝓝 (g ω)) then
+  Classical.choose h else 0
+#align measure_theory.filtration.limit_process MeasureTheory.Filtration.limitProcess
+
+theorem stronglyMeasurable_limitProcess : StronglyMeasurable[⨆ n, ℱ n] (limitProcess f ℱ μ) := by
+  rw [limitProcess]
+  split_ifs with h
+  exacts [(Classical.choose_spec h).1, stronglyMeasurable_zero]
+#align measure_theory.filtration.strongly_measurable_limit_process MeasureTheory.Filtration.stronglyMeasurable_limitProcess
+
+theorem stronglyMeasurable_limit_process' : StronglyMeasurable[m] (limitProcess f ℱ μ) :=
+  stronglyMeasurable_limitProcess.mono (sSup_le fun _ ⟨_, hn⟩ => hn ▸ ℱ.le _)
+#align measure_theory.filtration.strongly_measurable_limit_process' MeasureTheory.Filtration.stronglyMeasurable_limit_process'
+
+theorem memℒp_limitProcess_of_snorm_bdd {R : ℝ≥0} {p : ℝ≥0∞} {F : Type _} [NormedAddCommGroup F]
+    {ℱ : Filtration ℕ m} {f : ℕ → Ω → F} (hfm : ∀ n, AEStronglyMeasurable (f n) μ)
+    (hbdd : ∀ n, snorm (f n) p μ ≤ R) : Memℒp (limitProcess f ℱ μ) p μ := by
+  rw [limitProcess]
+  split_ifs with h
+  · refine' ⟨StronglyMeasurable.aestronglyMeasurable
+      ((Classical.choose_spec h).1.mono (sSup_le fun m ⟨n, hn⟩ => hn ▸ ℱ.le _)),
+      lt_of_le_of_lt (Lp.snorm_lim_le_liminf_snorm hfm _ (Classical.choose_spec h).2)
+        (lt_of_le_of_lt _ (ENNReal.coe_lt_top : ↑R < ∞))⟩
+    simp_rw [liminf_eq, eventually_atTop]
+    exact sSup_le fun b ⟨a, ha⟩ => (ha a le_rfl).trans (hbdd _)
+  · exact zero_memℒp
+#align measure_theory.filtration.mem_ℒp_limit_process_of_snorm_bdd MeasureTheory.Filtration.memℒp_limitProcess_of_snorm_bdd
+
+end Limit
+
+end Filtration
+
+end MeasureTheory