Mathematics Asked by MinaThuma on January 24, 2021
Consider the stochastic process $(X_{t})_{tin mathbb R_{+}}$ on a filtered probability space $(Omega,mathcal{F},(mathcal{F}_{t}^{X})_{tin mathbb R_{+}},mathbb P)$ where $mathcal{F}_{t}^{X}=sigma (X_{s}:0leq sleq t) $. Let $T$ be a $(mathcal{F}_{t}^{X})_{tin mathbb R_{+}}-$stopping time such that there is a pair $omega, overline{omega} in Omega$ where:
$ X_{t}(omega)=X_{t}(overline{omega})$ for all $t in [0,T(omega)]cap [0,infty)$
Then show that $T(omega) = T(overline{omega})$
My failed attempt:
Perhaps a contradiction may help. Assume that $T(omega) < T(overline{omega})$, then $overline{omega}notin {Tleq t} in mathcal{F}_{t}^{X}$ for any $t leq T(omega)$, in particular:
$overline{omega}notin {Tleq T(omega)} in mathcal{F}_{T(omega)}^{X}$ but how will this help me? Any ideas/tips?
The $sigma$-fields $mathcal F^X_t$ ($t>0$) have a "saturation" property that is the key: If $omegain Ainmathcal F^X_t$ and if $overlineomega$ is such that $X_s(omega) = X_s(overlineomega)$ for all $0le sle t$ then also $overlineomegain A$.
Now suppose we have $omega$ and $overlineomega$ such that $X_s(omega)=X_s(overlineomega)$ for all finite $s$ in $[0,T(omega)]$. Consider first the case $T(omega)<+infty$ and apply the saturation property with $t=T(omega)$ and $A={T=t}$. The conclusion is that $overlineomegain A$ as well; that is, $T(overlineomega) = t$.
To deal with the possibility that $T(omega)$ might be $+infty$, apply the preceding to the stopping time $T_n:=Twedge n$ ($n=1,2,ldots$) to conclude that $T(overlineomega)wedge n=T_n(overlineomega) = T_n(omega) =n$ for each $n$. Consequently, $T(overlineomega)=+infty=T(omega)$.
Correct answer by John Dawkins on January 24, 2021
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