Alphabeta Math
CounterexampleConstruction: AI-generatedVerification: AI-generatedPipeline-generatedaudited 2026-09-22
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A nonadapted step integrand breaks the Ito isometry

Statement refuted

The inference "every step integrand satisfies the Ito isometry E[(∫0TH dB)2]=E∫0TH2ds, where the naive integral of a step coefficient is the corresponding finite sum of Brownian increments" is false. For T>0 the step integrand Hs:=1{∣BT∣>T} on (0,T], with the naive terminal sum H BT=1{∣BT∣>T}BT, satisfies E[H2BT2]>T E[H2], whereas a step integrand satisfying the isometry would give equality E[H2BT2]=T E[H2] because ∫0TH2ds=H2T. The coefficient H is a step coefficient on (0,T] but is not F0-measurable, so it is not an admissible elementary predictable integrand.

Facts & Assumptions

Given: AC, the standing hypothesis (H), with (Ft) chosen to be the usual augmented natural filtration of B, a horizon T>0, the event A:={∣BT∣>T}, and the step integrand H=1A on (0,T].

[F1]

BT has law N(0,T); in particular P(A)=P(∣Z∣>1) for a standard normal Z, which lies strictly between 0 and 1 because the standard normal density is strictly positive on (1,∞) and has total mass one. Standard normal and normal laws Brownian covariance is equivalent to independent stationary normal increments Brownian motion

[F2]

An elementary predictable integrand on [0,T] has bounded coefficients measurable at the left endpoints of its blocks; a coefficient on a block starting at 0 must therefore be F0-measurable. The usual augmented Brownian filtration has a trivial time-zero sigma-algebra: F0 is the sigma-algebra generated by the germ F0+0 together with the terminal null sets of the usual augmented filtration, and every germ event has probability 0 or 1 by Blumenthal's law, so every set in F0 has probability 0 or 1. Natural and usual augmented Brownian filtrations Blumenthal's zero-one law

[F3]

AC is declared for the ambient interfaces. The Axiom of Choice

Counterexample

1.1F1given

On the event A one has BT2>T by definition of A, while off A the integrand H=1A vanishes; hence H2BT2=1ABT2≥1AT, and the inequality is strict on the nonempty event A (where BT2>T strictly), so E[H2BT2]>T P(A).

1.2F1F2

The integrand H=1A is not admissible: A∈σ(BT)⊆FT and P(A)∈(0,1) by [F1]; an event in F0 differs from a germ event in F0+0 only by a null set, so by [F2] every set in F0 has probability 0 or 1; hence A∉F0, so a block coefficient equal to 1A on (0,T] violates the left-endpoint measurability requirement at time 0.

2.1F1step 1.1

Since H2=1A, one has E[H2]=P(A) and ∫0TH2ds=H2T=1AT, so T E[H2]=T P(A)<E[H2BT2] by step 1.1; this is the asserted violation of the isometry-type equality, and P(A)∈(0,1) by [F1], so the strict inequality is between finite positive numbers.

3.1F2F3step 1.2step 2.1given∎

The witness therefore separates the two hypotheses: with the left-endpoint measurability clause enforced, the elementary isometry of item 7 computes E[H2BT2]=T E[H2] for the admissible case; dropping that clause and using the future information contained in BT admits the strict violation above. Note that the symmetry of BT does not rescue the mean: it is the second moment, not the first, that the isometry governs, and the failure exhibited is a second-moment failure. AC enters only through [F3].

Source notes

Lawler, Section 3.2.2, requires the simple-process coefficients to be measurable with respect to the past of their intervals; the example exhibits exactly why that hypothesis cannot be dropped from the isometry.

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