# measurability of stopped processes

Let $X$ be a real-valued stochastic process and $\tau$ be a stopping time. If $X$ satisfies any of the following properties then so does the stopped process $X^{\tau}$.

1. 1.

$X$ is jointly measurable.

2. 2.

$X$ is progressively measurable.

3. 3.

$X$ is optional.

4. 4.

$X$ is predictable.

In particular, if $X$ is a right-continuous and adapted process then it is progressive (alternatively, it is optional). Then, the stopped process $X^{\tau}$ will also be progressive and is therefore right-continuous and adapted.

Also, for any progressive process $X$ and bounded stopping time $\tau\leq t$, the above result shows that $X_{\tau}=X^{\tau}_{t}$ will be $\mathcal{F}_{t}$-measurable.

Title measurability of stopped processes MeasurabilityOfStoppedProcesses 2013-03-22 18:39:00 2013-03-22 18:39:00 gel (22282) gel (22282) 4 gel (22282) Theorem msc 60G05 MeasurabilityOfStochasticProcesses