Quasi-left-continuity and sequences of stopping times
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Problem 16.4 from Bass R.F. "Stochastic Processes" [Bas11]More problems in Chapter 16 "The general theory of processes"
Let be a bounded adapted right-continuous process, let , let , a.s., and define by (16.3) for . Show each is a stopping time.
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Origin: Stated according to the original source
Problem 5.16 from Schilling R.L. "Brownian Motion: A Guide to Random Processes and Stochastic Calculus" [Sch21]More problems in Chapter 5 "Brownian motion as a martingale"
Let be a real - valued process whose paths are (a.s.) right continuous and have finite left - hand limits (this property is often called "càdlàg"). Assume, in addition, that is quasi left continuous, i.e. for every sequence of stopping times which increase to a stopping time we have a.s. on the set . 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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Origin: Stated according to the original source
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.