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Continuous-time stopping times and stopped sigma-algebras
Definition
Let be a probability space and let be a continuous-time filtration Continuous-time filtrations and all-pairs martingales.
- A map (infinite values allowed) is a stopping time for when
- For a stopping time its stopped sigma-algebra is
The following facts are used below, and each is a direct set computation.
(a) is a sigma-algebra: ; for one has ; and for a sequence the union satisfies . All operations are literal, not modulo null sets, and no completeness of the filtration is assumed. (b) If is deterministic, then is for and for , so , where the last equality follows because the intersection includes its least member . If , then every test event is empty and . (c) Suppose the filtration is right-continuous. Then is a stopping time if and only if for every . Indeed (with the terms for read as the empty set, since ), which gives the forward implication; conversely and by right-continuity together with monotonicity of the filtration. (d) Under the same right-continuity assumption, for one has if and only if for every : the forward implication follows from and the converse from together with .
Because the two versions of each test are interchangeable exactly when the filtration is right-continuous, the convention is recorded here once: the Brownian strong Markov theorem is stated for the usual augmentation, which is right-continuous, and the raw-filtration statements use the non-strict test directly. No choice principle is used by this definition.
Source notes
Durrett, Section 7.3, and Sousi, Section 6.4, define stopping times by and record the strict-test form for right-continuous filtrations. The stopped sigma-algebra convention is fixed here because the strong Markov theorem and the dyadic ceiling argument both consume the containment for .
Depends on
Used by
- Cadlag Brownian-filtration local martingales have continuous versions Corollary
- An unbounded stopped exponential martingale needs uniform integrability Counterexample
- Continuous-time adapted processes and martingales Definition
- Locally square-integrable predictable Brownian integrands Definition
- Progressively measurable and predictable processes Definition
- Expected exit time from an interval Example
- Harmonic functions of planar Brownian motion Example
- Hitting probabilities from an exponential martingale Example
- Indicator of a stopping interval Example
- Successive Brownian exit segments are independent copies Example
- Brownian closed-set hitting times are stopping times Lemma
- Characteristic exponential for a continuous local martingale with deterministic clock Lemma
- Planar Brownian annular exit probability Lemma
- Brownian reflection principle Theorem
- Brownian-filtration martingale representation Theorem
- Dynkin formula for bounded Brownian stopping Theorem
- Localized Ito integral Theorem
- Multidimensional Ito formula for Brownian-driven processes Theorem
- One-dimensional Ito formula Theorem
- Quadratic covariation of Brownian Ito processes Theorem
- Space-time harmonic functions yield Brownian local martingales up to exit lifetime Theorem
- Stopping an Ito integral Theorem
- Strong Markov property of Brownian motion Theorem
- The Brownian zero set has no isolated points Theorem
- Two-sided Brownian exit probability Theorem
Dependency tree · two levels
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Sources
- Rick Durrett, Probability: Theory and Examples, fifth edition, Section 7.3 (standard reference, not scraped)
- Perla Sousi, Advanced Probability, Section 6.4 (standard reference, not scraped)