Quasi-left-continuity and sequences of stopping times

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Let XX be a bounded adapted right-continuous process, let ε>0\varepsilon >0, let U0=0U_{0}=0, a.s., and define UiU_{i} by (16.3) for i≥1i \geq 1. Show each UiU_{i} is a stopping time.

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Let (Xt,Ft)t⩾0\left(X_{t}, \mathscr {F}_{t}\right)_{t \geqslant 0} be a real - valued process whose paths t↦Xt(ω)t \mapsto X_{t}(\omega ) are (a.s.) right continuous and have finite left - hand limits (this property is often called "càdlàg"). Assume, in addition, that XX is quasi left continuous, i.e. for every sequence of stopping times (τn)n⩾1\left(\tau_{n}\right)_{n \geqslant 1} which increase to a stopping time τ\tau we have lim⁡n→∞Xτn=Xτ\lim_{n \rightarrow \infty } X_{\tau_{n}} = X_{\tau } a.s. on the set {τ<∞}\left\{ \tau < \infty \right\}. Show that the assertion of Lemma 5.8 remains valid for such processes if the filtration contains all subsets of measurable null sets.

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References

[Bas11] Bass R.F. Stochastic Processes. Cambridge University Press, 2011.
[Sch21] Schilling R.L. Brownian Motion: A Guide to Random Processes and Stochastic Calculus. 3rd ed., De Gruyter, 2021.