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单词 MeasurabilityOfStoppedProcesses
释义

measurability of stopped processes


Let X be a real-valued stochastic processMathworldPlanetmath and τ be a stopping time. If X satisfies any of the following properties then so does the stopped process Xτ.

  1. 1.

    X is jointly measurable.

  2. 2.

    X is progressively measurable.

  3. 3.

    X is optional.

  4. 4.

    X is predictable.

In particular, if X is a right-continuous and adapted process then it is progressive (alternatively, it is optional). Then, the stopped process Xτ will also be progressive and is therefore right-continuous and adapted.

Also, for any progressive process X and bounded stopping time τt, the above result shows that Xτ=Xtτ will be t-measurable.

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更新时间:2025/5/4 1:02:17