Let (tau) be a stopping time for the filtration (left(mathscr{F}_{t}ight)_{t geqslant 0}). Show that a) (F in
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Let \(\tau\) be a stopping time for the filtration \(\left(\mathscr{F}_{t}ight)_{t \geqslant 0}\). Show that
a) \(F \in \mathscr{F}_{\tau+} \Longleftrightarrow \forall t \geqslant 0: F \cap\{\tau b) \(\tau \wedge t\) is again a stopping time; c) \(\{\tau \leqslant t\} \in \mathscr{F}_{\tau \wedge t}\) for all \(t \geqslant 0\).
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Brownian Motion A Guide To Random Processes And Stochastic Calculus De Gruyter Textbook
ISBN: 9783110741254
3rd Edition
Authors: René L. Schilling, Björn Böttcher
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