Throughout, measurable for a real-valued map means measurable with respect to the Borel σ-algebra B(R) on the target; Bn and λn denote the n-fold Borel σ-algebra and product Lebesgue measure on Rn, λ[0,T] the restricted Lebesgue measure on [0,T], Dk(T) the ordered time simplex (the set of time tuples of the cell Ck,v), and Rj(T) the record space of Observation-Driven Control Policy. Records are written r=(k,t,v) with t=(t1,…,tk), as in the statement. The σ-algebra Bn equals the Borel σ-algebra generated by the open sets by claim 5 of The Borel Sigma-Algebra of a Euclidean Space as a Product, and Measurability of Projections, Sequentially Continuous Maps, and Open and Closed Sets. For a σ-algebra G on a set X and X0∈G, G∣X0={A∈G:A⊆X0} is the restriction (claim 1 there). For t∈[0,T] and ω∈Ω we write Σtr(ω)=(Σtr,1(ω),…,Σtr,l(ω)), and similarly for Σˉ.
Preliminaries.
(P1) Generator criterion. Let ϕ:(X,G)→Y be a map into a set Y carrying the σ-algebra σ(E) generated by a family E of subsets of Y. If ϕ−1(E)∈G for every E∈E, then ϕ is measurable. Indeed, D={A⊆Y:ϕ−1(A)∈G} is a σ-algebra on Y (preimages commute with complements and countable unions, and ϕ−1(Y)=X) containing E, hence D⊇σ(E) by Intersections of Sigma-Algebras and Minimality of the Generated Sigma-Algebra. Applied to a product σ-algebra G1⊗G2, generated by the measurable rectangles A1×A2: a map ϕ=(ϕ1,ϕ2) into X1×X2 is measurable as soon as ϕ−1(A1×A2)=ϕ1−1(A1)∩ϕ2−1(A2)∈G for all A1∈G1, A2∈G2; in particular the coordinate projections of a product are measurable, and the composition of measurable maps is measurable (preimages compose).
(P2) Sections. If E∈G1⊗G2 and x2∈X2, then the section {x1:(x1,x2)∈E} lies in G1. Indeed, the family of all E⊆X1×X2 whose section at x2 lies in G1 is a σ-algebra (taking the section commutes with complements and countable unions) containing every rectangle A1×A2 (its section is A1 or ∅), hence contains G1⊗G2 by Intersections of Sigma-Algebras and Minimality of the Generated Sigma-Algebra. Consequently, if g:X1×X2→R is G1⊗G2-measurable, then every section x1↦g(x1,x2) is G1-measurable, its preimage of a Borel set D being the section of g−1(D).
(P3) Nested sections. Let E∈B[0,T]⊗(R⊗F) and ω∈Ω. Then Eω={(t,r):(t,r,ω)∈E}∈B[0,T]⊗R. Indeed, the family D of all E⊆[0,T]×R×Ω with Eω∈B[0,T]⊗R is a σ-algebra (taking the section at ω commutes with complements and countable unions), and it contains every rectangle B×E′ with B∈B[0,T] and E′∈R⊗F, since (B×E′)ω=B×{r:(r,ω)∈E′} and the section of E′ lies in R by (P2). Hence D contains the generated σ-algebra B[0,T]⊗(R⊗F) by Intersections of Sigma-Algebras and Minimality of the Generated Sigma-Algebra. Consequently the section at ω of a B[0,T]⊗(R⊗F)-measurable real map is B[0,T]⊗R-measurable.
(P4) Piecewise criterion. Let (X,G) be a measurable space, let (Xn)n be countably many pairwise disjoint members of G with union X, and let g:X→R be such that each restriction g∣Xn is measurable with respect to G∣Xn. Then g is measurable, because g−1(D)=⋃n(g∣Xn)−1(D) is a countable union of members of G.
(P5) Trace description. Let j≥0 and let Sj=[0,T]×Rj(T)⊆R1+j for j≥1 and S0=[0,T]⊆R, with Rj(T) the record space of Observation-Driven Control Policy. The σ-algebra Oj generated by the relatively open subsets of Sj (the sets U∩Sj with U open in R1+j) equals the trace {A∩Sj:A∈B1+j}. Indeed, the trace is a σ-algebra on Sj (traces commute with complements and countable unions) containing the relatively open sets, since open sets lie in B1+j by claim 4 of The Borel Sigma-Algebra of a Euclidean Space as a Product, and Measurability of Projections, Sequentially Continuous Maps, and Open and Closed Sets; so Oj is contained in the trace. Conversely, the family of A∈B1+j with A∩Sj∈Oj is a σ-algebra containing the open sets, hence equals B1+j by claim 5 of The Borel Sigma-Algebra of a Euclidean Space as a Product, and Measurability of Projections, Sequentially Continuous Maps, and Open and Closed Sets and Intersections of Sigma-Algebras and Minimality of the Generated Sigma-Algebra. For j=0 the trace is the trace Borel σ-algebra B[0,T].
Step 1 (claim 1: joint measurability of the record-frozen control). Event times. For j≥1 define tj:R→[0,∞) by tj(r)=tj if r=(k,t,v) has k≥j events and tj(r)=0 otherwise (this is not the jump-time notation τj(q) of Existence, Uniqueness, Causality, and Measurability of the Open-Loop Aggregate Solution). On a cell Ck,v with k≥j, tj is the composition of the inverse of the transport bijection t↦(k,t,v) (measurable by claim 2 of Assembly of Measure Spaces: Restriction, Transport, One-Point Spaces, and Countable Disjoint Unions) with the coordinate projection t↦tj restricted to Dk(T), which is measurable with respect to the restriction of Bk to Dk(T) by claim 1 of The Borel Sigma-Algebra of a Euclidean Space as a Product, and Measurability of Projections, Sequentially Continuous Maps, and Open and Closed Sets (a preimage under the restricted map is the intersection of Dk(T) with a preimage under the projection); on the other cells tj is constant. By claim 4(c) of Assembly of Measure Spaces: Restriction, Transport, One-Point Spaces, and Countable Disjoint Unions (the σ-algebra R being that of the countable disjoint union of the cells), tj is R-measurable as a [0,∞]-valued map, hence as a real-valued map: the preimage of a Borel set D⊆R is the preimage of D∩[0,∞), a measurable subset of [0,∞]. Put t0=0.
The partition. For a cell Ck,v (k≥0, with C0,()=C∅) and j∈{0,…,k} let
Ek,v,j={(s,r)∈[0,T]×Ck,v: kr(s)=j}.
Since t1<⋯<tk for r∈Ck,v, one has kr(s)=j if and only if tj(r)≤s and, when j<k, s<tj+1(r). The maps (s,r)↦s and (s,r)↦tj(r) are B[0,T]⊗R-measurable (compositions of the coordinate projections of (P1) with measurable maps), so their difference is measurable by claim 2 of Arithmetic, Absolute Values, and Pointwise Limits of Measurable Real-Valued Functions, and Ek,v,j is the intersection of [0,T]×Ck,v (a measurable rectangle) with preimages of Borel sets under such differences. Hence Ek,v,j∈B[0,T]⊗R. The sets Ek,v,j (k≥0, v∈Vk, 0≤j≤k) are pairwise disjoint (the cells are, and kr(s) takes one value), countably many (finitely many for each k), and their union is [0,T]×R because kr(s)∈{0,…,k}.
Measurability on a piece. Fix k,v,j and a component index i∈{1,…,m}. For (s,r)∈Ek,v,j the definition of the record-frozen control path gives ai(s,r)=hji(s,(t1(r),…,tj(r)),(v1,…,vj)) for j≥1, and ai(s,r)=h0i(s) for j=0. Consider the map Ψ:Ek,v,j→Sj, Ψ(s,r)=(s,t1(r),…,tj(r)) (Ψ(s,r)=s for j=0); its values lie in Sj because 0<t1(r)<⋯<tj(r)≤T for r∈Ck,v (the time tuple lying in Dk(T)), so that (t1(r),…,tj(r)) satisfies the membership condition 0≤τ1≤⋯≤τj≤T of Rj(T). Each component of Ψ is measurable with respect to (B[0,T]⊗R)∣Ek,v,j, so Ψ is measurable into (R1+j,B1+j) by claim 2 of The Borel Sigma-Algebra of a Euclidean Space as a Product, and Measurability of Projections, Sequentially Continuous Maps, and Open and Closed Sets (for j=0, into (R,B(R))). Let H=hji(⋅,⋅,(v1,…,vj)) (H=h0i for j=0), a real map on Sj which is measurable with respect to Oj by Observation-Driven Control Policy. For a Borel set D⊆R, (P5) gives H−1(D)=A∩Sj with A∈B1+j, so (ai∣Ek,v,j)−1(D)=(H∘Ψ)−1(D)=Ψ−1(A) belongs to (B[0,T]⊗R)∣Ek,v,j. By (P4), ai is B[0,T]⊗R-measurable. Since h takes values in A, so does a, and claim 4 of Existence, Uniqueness, Causality, and Measurability of the Open-Loop Aggregate Solution applies with (R,R)=(R,R) (nonempty, as it contains r∅); this yields the recursion paths Σtr(ω), the set G∈R⊗HT, and the measurability statements quoted below.
Step 2 (claim 2: the regularised path). Fix (r,ω) and run the recursion for (P(ω),ar,x0), with stopping index K, times θ0=0<θ1<⋯<θK≤T (strict by claim 1 of Existence, Uniqueness, Causality, and Measurability of the Open-Loop Aggregate Solution) and points x(0)=x0,…,x(K). By the definition of the recursion path, Σtr(ω)=x(k) for t∈[θk,θk+1) and k<K, and Σtr(ω)=x(K) for t∈[θK,T]. Since the recursion stops at the first index K with θK=T or x(K)∈/GN, one has x(k)∈GN for every k<K.
(a) Hence Σˉtr(ω)=x(k) on [θk,θk+1) for k<K, and on [θK,T] the map Σˉr(ω) is constant, equal to x(K) if x(K)∈GN and to x0 otherwise. All values lie in GN, and Σˉr(ω)=Σr(ω) on [0,θK).
(b) Let t∈(0,T]. If t∈(θk,θk+1] for some k<K, put Σˉt−r(ω)=x(k) and δ=t−θk>0: then [t−δ,t)=[θk,t)⊆[θk,θk+1), on which Σˉr(ω)=x(k). If t∈(θK,T], put Σˉt−r(ω)=ΣˉTr(ω) and δ=t−θK. These cases are exhaustive and exclusive since 0=θ0<θ1<⋯<θK≤T. The point is unique: if y and y′ are constant values of Σˉr(ω) on [t−δ,t)∩[0,T] and on [t−δ′,t)∩[0,T] respectively, both intervals contain [t−min(δ,δ′),t)∩[0,T], which is nonempty as t>0, so y=y′. In the first case Σˉt−r(ω)=Σˉtr(ω) unless t=θk+1; in the second case equality holds. With Σˉ0−r(ω)=x0=Σˉ0r(ω), the set of t where the left limit differs from the value is contained in {θ1,…,θK}. The left limit lies in GN by (a).
(c) If (r,ω)∈G, then x(K)∈GN, so Σˉr(ω)=Σr(ω) on all of [0,T], and by claim 2 of Existence, Uniqueness, Causality, and Measurability of the Open-Loop Aggregate Solution the recursion path is the unique open-loop aggregate solution for the data.
(d) The path. By claim 4 of Existence, Uniqueness, Causality, and Measurability of the Open-Loop Aggregate Solution, each map (t,r,ω)↦Σtr,γ(ω) is B[0,T]⊗(R⊗F)-measurable. The indicator χ(t,r,ω) of {Σtr(ω)∈GN} equals ∑x∈GN∏γ=1l1{Σtr,γ(ω)=xγ}, a finite sum of finite products of indicators of preimages of one-point Borel sets, hence measurable by claims 1, 2 and 3 of Arithmetic, Absolute Values, and Pointwise Limits of Measurable Real-Valued Functions; and Σˉtr,γ(ω)=χΣtr,γ(ω)+(1−χ)x0γ is measurable by the same claims.
The left limit. For n≥1 let ϕn:[0,T]→[0,T], ϕn(t)=max(t−1/n,0), which satisfies ∣ϕn(t)−ϕn(s)∣≤∣t−s∣, hence is continuous on [0,T] and B[0,T]-measurable by claim 4 of Measurability of Countable Suprema, Bounded Pointwise Limits, Monotone Functions, and Continuous Functions. The map Φn(t,r,ω)=(ϕn(t),r,ω) is measurable from B[0,T]⊗(R⊗F) to itself by (P1), the preimage of a rectangle B×E′ being ϕn−1(B)×E′. Hence gn(t,r,ω)=Σˉϕn(t)r,γ(ω) is measurable, with values in [0,1]. We claim gn(t,r,ω)→Σˉt−r,γ(ω) for every (t,r,ω). For t=0, ϕn(0)=0 and gn=Σˉ0r,γ(ω)=x0γ. For t>0 take δ from (b): for n>1/δ, ϕn(t)∈[t−δ,t)∩[0,T], so gn(t,r,ω)=Σˉt−r,γ(ω). Thus the sequence is eventually constant, and claim 2 of Measurability of Countable Suprema, Bounded Pointwise Limits, Monotone Functions, and Continuous Functions gives the measurability of (t,r,ω)↦Σˉt−r,γ(ω).
Sections. The statements for fixed ω follow from (P3).
Step 3 (claim 3: causality). Bounds. For x∈Δl and every υ, 0≤b~υ(x)=∑σxσβ~(σ,υ,x)≤B~∑σxσ=B~ by condition 1 of Observation-Rate Family, since xσ≥0 and ∑σxσ=1; if b~υ≥b on Δl then λω,υ≥Nb. As Σˉt−r(ω)∈GN⊆Δl, λω,υ takes values in [0,NB~], and its total intensity is ∑υNb~υ(Σˉt−r(ω))=Nb~tot(Σˉt−r(ω)).
Sequential continuity of b~υ on Δl. Let xn→x in Δl with respect to the Euclidean distance. Then ∣xnσ−xσ∣≤d(xn,x)→0 for every σ, and β~(σ,υ,xn)→β~(σ,υ,x) by condition 2 of Observation-Rate Family; by Arithmetic of Limits of Real Sequences the products and the finite sum converge, so b~υ(xn)→b~υ(x).
Measurability (condition (i)). Fix ω. Each component of (t,r)↦Σˉt−r(ω) is B[0,T]⊗R-measurable by claim 2(d), and the map takes values in Δl; by Sequentially Continuous Functions of Measurable Euclidean Maps are Measurable (with E=Δl) the composition (t,r)↦b~υ(Σˉt−r(ω)) is measurable, hence so is its constant multiple λω,υ (claim 2 of Arithmetic, Absolute Values, and Pointwise Limits of Measurable Real-Valued Functions). The same argument on [0,T]×R×Ω shows that Λυ(t,r,ω)=λtω,υ(r) is B[0,T]⊗(R⊗F)-measurable; this is used in Step 4.
The identity. Fix t∈[0,T], r=(k,t,v)∈R and ω, and put r′=πt−(r), which consists of the κ events of r with tj<t, these being exactly the events with indices 1,…,κ by The Strict Prefix Map on the Observation Record Space. For u∈[0,t), an index j with tj≤u satisfies tj<t, so j≤κ; hence kr′(u)=kr(u), and the first kr(u) event times and marks of r and r′ coincide, so ar′(u)=ar(u) by the definition of the record-frozen control path. Let t′∈[0,t). The control paths ar and ar′ agree on all of [0,t′], so the exceptional set in claim 3 of Existence, Uniqueness, Causality, and Measurability of the Open-Loop Aggregate Solution is empty (contained in the null set ∅), and with p′=p=P(ω) that claim gives Σur′(ω)=Σur(ω) for all u∈[0,t′]. Since t′<t was arbitrary, Σur′(ω)=Σur(ω) for all u∈[0,t), and therefore Σˉur′(ω)=Σˉur(ω) for u∈[0,t), the regularisation being a function of the value at u. For t=0 both left limits are x0. For t>0, the left limit at t is by claim 2(b) the common value of the path on an interval [t−δ,t), which is determined by the values on [0,t); hence Σˉt−r′(ω)=Σˉt−r(ω).
Non-anticipation (condition (ii)). By the identity, λtω,υ(πt−(r))=Nb~υ(Σˉt−πt−(r)(ω))=Nb~υ(Σˉt−r(ω))=λtω,υ(r). Thus λω is a causal intensity with bound NB~.
Step 4 (claim 4: the likelihood). Bounds and normalization. For every ω, claims 2 and 4 of Survival Identity, Measurability, Event-Count Recursion, and Normalization of the Likelihood of a Causal Intensity applied to the causal intensity λω with bound λˉ=NB~ give 0≤ℓω≤(NB~)k on R(k) and ∫Rℓωdρ=1.
The formula on G. Let (r,ω)∈G, r=(k,t,v). By Likelihood of a Causal Intensity on the Observation Record Space, ℓω(r)=(∏i=1kλtiω,vi(r))exp(−∫[0,T]λsω,tot(r)ds) with λtiω,vi(r)=Nb~vi(Σˉti−r(ω)) and λsω,tot(r)=Nb~tot(Σˉs−r(ω)). On G, Σˉr(ω)=Σr(ω) by claim 2(c), and the integrands s↦b~tot(Σs−r(ω)) and s↦b~tot(Σsr(ω)) are bounded, measurable on [0,T] (the first by condition (i) and (P2), the second likewise from claim 2(d)), and agree on D=[0,T]∖{θ1,…,θK} by claim 2(b); the complement of D in [0,T] is a finite set, hence a null set for the restricted Lebesgue measure, one-point sets having Lebesgue measure zero by claim 4 of Existence of Lebesgue Measure on the Real Line. By claim 6 of Restricted Lebesgue Measure and Integral Toolkit on a Compact Interval the integral over [0,T] of each integrand equals the integral of its product with the indicator of D, and these products coincide; hence the two integrals agree. This gives the displayed formula.
Joint measurability. We use the map Λυ of Step 3 and the measurability of Λtot=∑υΛυ (claim 2 of Arithmetic, Absolute Values, and Pointwise Limits of Measurable Real-Valued Functions).
(i) The survival factor. The measure ρ is σ-finite: R is the countable union of its cells, and ρ(Ck,v)=λk(Dk(T)) is finite by The Ordered Time Simplex: Borel Measurability and Volume, while ρ(C∅)=1. Hence the product measure ρ⊗P on R⊗F exists and is σ-finite (the sets C×Ω, C a cell, cover R×Ω and have finite measure), and λ[0,T] is finite. Apply the Tonelli theorem to the nonnegative B[0,T]⊗(R⊗F)-measurable function Λtot on [0,T]×(R×Ω): the map (r,ω)↦∫[0,T]Λtot(s,r,ω)ds is R⊗F-measurable. For fixed (r,ω) the integrand is the section s↦λsω,tot(r), so this integral is the one appearing in Likelihood of a Causal Intensity on the Observation Record Space; it is real-valued, bounded by l~NB~T, since the integrand takes values in [0,l~NB~]. Composing with the map y↦exp(−y), which is continuous on R by Basic Properties of the Exponential Function (Sequentially Continuous Functions of Measurable Euclidean Maps are Measurable with E=R), shows that (r,ω)↦exp(−∫[0,T]λsω,tot(r)ds) is R⊗F-measurable.
(ii) The event factors. Fix a cell Ck,v with k≥1 and i∈{1,…,k}. The map Θi:Ck,v×Ω→[0,T]×R×Ω, Θi(r,ω)=(ti(r),r,ω), is measurable from (R⊗F)∣Ck,v×Ω to B[0,T]⊗(R⊗F) by (P1): the preimage of a rectangle B×E′ is (ti−1(B)×Ω)∩E′∩(Ck,v×Ω). Hence (r,ω)↦λtiω,vi(r)=Λvi∘Θi(r,ω) is measurable on Ck,v×Ω, and so is the finite product over i (claim 3 of Arithmetic, Absolute Values, and Pointwise Limits of Measurable Real-Valued Functions). On C∅×Ω the product is the constant 1.
(iii) Assembly. On each piece Ck,v×Ω of the countable measurable partition of R×Ω into the rectangles Ck,v×Ω, the map (r,ω)↦ℓω(r) is the product of the measurable maps of (i) and (ii), hence measurable with respect to the restricted σ-algebra; by (P4) it is R⊗F-measurable. ■