Constructing and combining predictable stopping times

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Show that if S1,…,SnS_{1}, \ldots , S_{n} are predictable stopping times, then so are S1∧⋯∧SnS_{1} \wedge \cdots \wedge S_{n} and S1∨⋯∨SnS_{1} \vee \cdots \vee S_{n}.

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If AtA_{t} is a predictable process with paths that are right continuous with left limits and a>0a>0, show T=inf⁡{t>0:ΔAt>a}T=\inf \left\{ t>0: \Delta A_{t}>a\right\} is a predictable stopping time.

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Show that if TT is a predictable stopping time, B∈FT−B \in \mathcal{F}_{T_{-}}, and TB(ω)T_{B}(\omega ) is defined to be equal to T(ω)T(\omega ) if ω∈B\omega \in B and equal to ∞\infty otherwise, then TBT_{B} is a predictable stopping time.

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Let AA be a predictable increasing process and let SkS_{k} be the kk th time AA jumps more than ε\varepsilon. Thus S0=0S_{0}=0, a.s., and Sk+1=inf⁡{t>Sk:ΔAt>ε}S_{k+1}=\inf \left\{ t>S_{k}: \Delta A_{t}>\varepsilon \right\}. Show each SkS_{k} is a predictable stopping time.

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Show that the stopping times TnT_{n} defined in the proof of Proposition 16.23 are predictable.

From that proof: R1,R2,…R_{1}, R_{2}, \ldots is a countable collection of predictable stopping times (constructed from a decomposition of certain other predictable stopping times UmiU_{m}^{i}). Define T1=R1T_{1}=R_{1}; define T2T_{2} by setting T2(ω)=R2(ω)T_{2}(\omega )=R_{2}(\omega ) if R2(ω)≠R1(ω)R_{2}(\omega ) \neq R_{1}(\omega ) and T2(ω)=∞T_2(\omega ) = \infty otherwise; and in general set Tn(ω)=Rn(ω)T_{n}(\omega )=R_{n}(\omega ) if Rn(ω)≠R1(ω),…,Rn−1(ω)R_{n}(\omega ) \neq R_{1}(\omega ), \ldots , R_{n-1}(\omega ) and Tn(ω)=∞T_{n}(\omega )=\infty otherwise.

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References

[Bas11] Bass R.F. Stochastic Processes. Cambridge University Press, 2011.