measurability of stopped processes
Let be a real-valued stochastic process and be a stopping time. If satisfies any of the following properties then so does the stopped process .
- 1.
is jointly measurable.
- 2.
is progressively measurable.
- 3.
is optional.
- 4.
is predictable.
In particular, if is a right-continuous and adapted process then it is progressive (alternatively, it is optional). Then, the stopped process will also be progressive and is therefore right-continuous and adapted.
Also, for any progressive process and bounded stopping time , the above result shows that will be -measurable.