TheoremBase

Proof of The Record-Driven Causal Intensity of the Open-Loop Aggregate Solution: Joint Measurability of the Record-Frozen Control, the Regularised Recursion Path, Non-Anticipation, and Measurability of the Likelihood

lemmalem:record-driven-causal-intensity-2026a
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Reason: Proof of lem:record-driven-causal-intensity-2026a (P5.0).

Proof

Throughout, measurable for a real-valued map means measurable with respect to the Borel σ\sigma-algebra B(R)\mathcal{B}(\mathbb{R}) on the target; Bn\mathcal{B}_n and λn\lambda_n denote the nn-fold Borel σ\sigma-algebra and product Lebesgue measure on Rn\mathbb{R}^n, λ[0,T]\lambda_{[0,T]} the restricted Lebesgue measure on [0,T][0,T], Dk(T)D_k(T) the ordered time simplex (the set of time tuples of the cell Ck,vC_{k,v}), and Rj(T)R_j(T) the record space of Observation-Driven Control Policy. Records are written r=(k,t,v)r=(k,\mathbf{t},v) with t=(t1,,tk)\mathbf{t}=(t_1,\dots,t_k), as in the statement. The σ\sigma-algebra Bn\mathcal{B}_n equals the Borel σ\sigma-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\sigma-algebra G\mathcal{G} on a set XX and X0GX_0\in\mathcal{G}, GX0={AG:AX0}\mathcal{G}|_{X_0}=\{A\in\mathcal{G}:A\subseteq X_0\} is the restriction (claim 1 there). For t[0,T]t\in[0,T] and ωΩ\omega\in\Omega we write Σtr(ω)=(Σtr,1(ω),,Σtr,l(ω))\Sigma^{r}_t(\omega)=(\Sigma^{r,1}_t(\omega),\dots,\Sigma^{r,l}_t(\omega)), and similarly for Σˉ\bar\Sigma.

Preliminaries.

(P1) Generator criterion. Let ϕ:(X,G)Y\phi:(X,\mathcal{G})\to Y be a map into a set YY carrying the σ\sigma-algebra σ(E)\sigma(\mathcal{E}) generated by a family E\mathcal{E} of subsets of YY. If ϕ1(E)G\phi^{-1}(E)\in\mathcal{G} for every EEE\in\mathcal{E}, then ϕ\phi is measurable. Indeed, D={AY:ϕ1(A)G}\mathcal{D}=\{A\subseteq Y:\phi^{-1}(A)\in\mathcal{G}\} is a σ\sigma-algebra on YY (preimages commute with complements and countable unions, and ϕ1(Y)=X\phi^{-1}(Y)=X) containing E\mathcal{E}, hence Dσ(E)\mathcal{D}\supseteq\sigma(\mathcal{E}) by Intersections of Sigma-Algebras and Minimality of the Generated Sigma-Algebra. Applied to a product σ\sigma-algebra G1G2\mathcal{G}_1\otimes\mathcal{G}_2, generated by the measurable rectangles A1×A2A_1\times A_2: a map ϕ=(ϕ1,ϕ2)\phi=(\phi_1,\phi_2) into X1×X2X_1\times X_2 is measurable as soon as ϕ1(A1×A2)=ϕ11(A1)ϕ21(A2)G\phi^{-1}(A_1\times A_2)=\phi_1^{-1}(A_1)\cap\phi_2^{-1}(A_2)\in\mathcal{G} for all A1G1A_1\in\mathcal{G}_1, A2G2A_2\in\mathcal{G}_2; in particular the coordinate projections of a product are measurable, and the composition of measurable maps is measurable (preimages compose).

(P2) Sections. If EG1G2E\in\mathcal{G}_1\otimes\mathcal{G}_2 and x2X2x_2\in X_2, then the section {x1:(x1,x2)E}\{x_1:(x_1,x_2)\in E\} lies in G1\mathcal{G}_1. Indeed, the family of all EX1×X2E\subseteq X_1\times X_2 whose section at x2x_2 lies in G1\mathcal{G}_1 is a σ\sigma-algebra (taking the section commutes with complements and countable unions) containing every rectangle A1×A2A_1\times A_2 (its section is A1A_1 or \emptyset), hence contains G1G2\mathcal{G}_1\otimes\mathcal{G}_2 by Intersections of Sigma-Algebras and Minimality of the Generated Sigma-Algebra. Consequently, if g:X1×X2Rg:X_1\times X_2\to\mathbb{R} is G1G2\mathcal{G}_1\otimes\mathcal{G}_2-measurable, then every section x1g(x1,x2)x_1\mapsto g(x_1,x_2) is G1\mathcal{G}_1-measurable, its preimage of a Borel set DD being the section of g1(D)g^{-1}(D).

(P3) Nested sections. Let EB[0,T](RF)E\in\mathcal{B}_{[0,T]}\otimes(\mathcal{R}\otimes\mathcal{F}) and ωΩ\omega\in\Omega. Then Eω={(t,r):(t,r,ω)E}B[0,T]RE^{\omega}=\{(t,r):(t,r,\omega)\in E\}\in\mathcal{B}_{[0,T]}\otimes\mathcal{R}. Indeed, the family D\mathcal{D} of all E[0,T]×R×ΩE\subseteq[0,T]\times\mathbf{R}\times\Omega with EωB[0,T]RE^{\omega}\in\mathcal{B}_{[0,T]}\otimes\mathcal{R} is a σ\sigma-algebra (taking the section at ω\omega commutes with complements and countable unions), and it contains every rectangle B×EB\times E' with BB[0,T]B\in\mathcal{B}_{[0,T]} and ERFE'\in\mathcal{R}\otimes\mathcal{F}, since (B×E)ω=B×{r:(r,ω)E}(B\times E')^{\omega}=B\times\{r:(r,\omega)\in E'\} and the section of EE' lies in R\mathcal{R} by (P2). Hence D\mathcal{D} contains the generated σ\sigma-algebra B[0,T](RF)\mathcal{B}_{[0,T]}\otimes(\mathcal{R}\otimes\mathcal{F}) by Intersections of Sigma-Algebras and Minimality of the Generated Sigma-Algebra. Consequently the section at ω\omega of a B[0,T](RF)\mathcal{B}_{[0,T]}\otimes(\mathcal{R}\otimes\mathcal{F})-measurable real map is B[0,T]R\mathcal{B}_{[0,T]}\otimes\mathcal{R}-measurable.

(P4) Piecewise criterion. Let (X,G)(X,\mathcal{G}) be a measurable space, let (Xn)n(X_n)_{n} be countably many pairwise disjoint members of G\mathcal{G} with union XX, and let g:XRg:X\to\mathbb{R} be such that each restriction gXng|_{X_n} is measurable with respect to GXn\mathcal{G}|_{X_n}. Then gg is measurable, because g1(D)=n(gXn)1(D)g^{-1}(D)=\bigcup_n(g|_{X_n})^{-1}(D) is a countable union of members of G\mathcal{G}.

(P5) Trace description. Let j0j\ge0 and let Sj=[0,T]×Rj(T)R1+jS_j=[0,T]\times R_j(T)\subseteq\mathbb{R}^{1+j} for j1j\ge1 and S0=[0,T]RS_0=[0,T]\subseteq\mathbb{R}, with Rj(T)R_j(T) the record space of Observation-Driven Control Policy. The σ\sigma-algebra Oj\mathcal{O}_j generated by the relatively open subsets of SjS_j (the sets USjU\cap S_j with UU open in R1+j\mathbb{R}^{1+j}) equals the trace {ASj:AB1+j}\{A\cap S_j:A\in\mathcal{B}_{1+j}\}. Indeed, the trace is a σ\sigma-algebra on SjS_j (traces commute with complements and countable unions) containing the relatively open sets, since open sets lie in B1+j\mathcal{B}_{1+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\mathcal{O}_j is contained in the trace. Conversely, the family of AB1+jA\in\mathcal{B}_{1+j} with ASjOjA\cap S_j\in\mathcal{O}_j is a σ\sigma-algebra containing the open sets, hence equals B1+j\mathcal{B}_{1+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=0j=0 the trace is the trace Borel σ\sigma-algebra B[0,T]\mathcal{B}_{[0,T]}.

Step 1 (claim 1: joint measurability of the record-frozen control). Event times. For j1j\ge1 define tj:R[0,)\mathsf{t}_j:\mathbf{R}\to[0,\infty) by tj(r)=tj\mathsf{t}_j(r)=t_j if r=(k,t,v)r=(k,\mathbf{t},v) has kjk\ge j events and tj(r)=0\mathsf{t}_j(r)=0 otherwise (this is not the jump-time notation τj(q)\tau_j(q) of Existence, Uniqueness, Causality, and Measurability of the Open-Loop Aggregate Solution). On a cell Ck,vC_{k,v} with kjk\ge j, tj\mathsf{t}_j is the composition of the inverse of the transport bijection t(k,t,v)t\mapsto(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 ttjt\mapsto t_j restricted to Dk(T)D_k(T), which is measurable with respect to the restriction of Bk\mathcal{B}_k to Dk(T)D_k(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)D_k(T) with a preimage under the projection); on the other cells tj\mathsf{t}_j is constant. By claim 4(c) of Assembly of Measure Spaces: Restriction, Transport, One-Point Spaces, and Countable Disjoint Unions (the σ\sigma-algebra R\mathcal{R} being that of the countable disjoint union of the cells), tj\mathsf{t}_j is R\mathcal{R}-measurable as a [0,][0,\infty]-valued map, hence as a real-valued map: the preimage of a Borel set DRD\subseteq\mathbb{R} is the preimage of D[0,)D\cap[0,\infty), a measurable subset of [0,][0,\infty]. Put t0=0\mathsf{t}_0=0.

The partition. For a cell Ck,vC_{k,v} (k0k\ge0, with C0,()=CC_{0,()}=C_\emptyset) and j{0,,k}j\in\{0,\dots,k\} let Ek,v,j={(s,r)[0,T]×Ck,v: kr(s)=j}.E_{k,v,j}=\{(s,r)\in[0,T]\times C_{k,v}:\ k_r(s)=j\}. Since t1<<tkt_1<\dots<t_k for rCk,vr\in C_{k,v}, one has kr(s)=jk_r(s)=j if and only if tj(r)s\mathsf{t}_j(r)\le s and, when j<kj<k, s<tj+1(r)s<\mathsf{t}_{j+1}(r). The maps (s,r)s(s,r)\mapsto s and (s,r)tj(r)(s,r)\mapsto\mathsf{t}_j(r) are B[0,T]R\mathcal{B}_{[0,T]}\otimes\mathcal{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,jE_{k,v,j} is the intersection of [0,T]×Ck,v[0,T]\times C_{k,v} (a measurable rectangle) with preimages of Borel sets under such differences. Hence Ek,v,jB[0,T]RE_{k,v,j}\in\mathcal{B}_{[0,T]}\otimes\mathcal{R}. The sets Ek,v,jE_{k,v,j} (k0k\ge0, vVkv\in V^k, 0jk0\le j\le k) are pairwise disjoint (the cells are, and kr(s)k_r(s) takes one value), countably many (finitely many for each kk), and their union is [0,T]×R[0,T]\times\mathbf{R} because kr(s){0,,k}k_r(s)\in\{0,\dots,k\}.

Measurability on a piece. Fix k,v,jk,v,j and a component index i{1,,m}i\in\{1,\dots,m\}. For (s,r)Ek,v,j(s,r)\in E_{k,v,j} the definition of the record-frozen control path gives ai(s,r)=hji(s,(t1(r),,tj(r)),(v1,,vj))\mathsf{a}^{i}(s,r)=h^{i}_j(s,(\mathsf{t}_1(r),\dots,\mathsf{t}_j(r)),(v_1,\dots,v_j)) for j1j\ge1, and ai(s,r)=h0i(s)\mathsf{a}^{i}(s,r)=h^{i}_0(s) for j=0j=0. Consider the map Ψ:Ek,v,jSj\Psi:E_{k,v,j}\to S_j, Ψ(s,r)=(s,t1(r),,tj(r))\Psi(s,r)=(s,\mathsf{t}_1(r),\dots,\mathsf{t}_j(r)) (Ψ(s,r)=s\Psi(s,r)=s for j=0j=0); its values lie in SjS_j because 0<t1(r)<<tj(r)T0<\mathsf{t}_1(r)<\dots<\mathsf{t}_j(r)\le T for rCk,vr\in C_{k,v} (the time tuple lying in Dk(T)D_k(T)), so that (t1(r),,tj(r))(\mathsf{t}_1(r),\dots,\mathsf{t}_j(r)) satisfies the membership condition 0τ1τjT0\le\tau_1\le\dots\le\tau_j\le T of Rj(T)R_j(T). Each component of Ψ\Psi is measurable with respect to (B[0,T]R)Ek,v,j(\mathcal{B}_{[0,T]}\otimes\mathcal{R})|_{E_{k,v,j}}, so Ψ\Psi is measurable into (R1+j,B1+j)(\mathbb{R}^{1+j},\mathcal{B}_{1+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=0j=0, into (R,B(R))(\mathbb{R},\mathcal{B}(\mathbb{R}))). Let H=hji(,,(v1,,vj))H=h^{i}_j(\cdot,\cdot,(v_1,\dots,v_j)) (H=h0iH=h^{i}_0 for j=0j=0), a real map on SjS_j which is measurable with respect to Oj\mathcal{O}_j by Observation-Driven Control Policy. For a Borel set DRD\subseteq\mathbb{R}, (P5) gives H1(D)=ASjH^{-1}(D)=A\cap S_j with AB1+jA\in\mathcal{B}_{1+j}, so (aiEk,v,j)1(D)=(HΨ)1(D)=Ψ1(A)(\mathsf{a}^{i}|_{E_{k,v,j}})^{-1}(D)=(H\circ\Psi)^{-1}(D)=\Psi^{-1}(A) belongs to (B[0,T]R)Ek,v,j(\mathcal{B}_{[0,T]}\otimes\mathcal{R})|_{E_{k,v,j}}. By (P4), ai\mathsf{a}^{i} is B[0,T]R\mathcal{B}_{[0,T]}\otimes\mathcal{R}-measurable. Since hh takes values in A\mathcal{A}, so does a\mathsf{a}, and claim 4 of Existence, Uniqueness, Causality, and Measurability of the Open-Loop Aggregate Solution applies with (R,R)=(R,R)(\mathsf{R},\mathcal{R})=(\mathbf{R},\mathcal{R}) (nonempty, as it contains rr_\emptyset); this yields the recursion paths Σtr(ω)\Sigma^{r}_t(\omega), the set GRHT\mathsf{G}\in\mathcal{R}\otimes\mathcal{H}_T, and the measurability statements quoted below.

Step 2 (claim 2: the regularised path). Fix (r,ω)(r,\omega) and run the recursion for (P(ω),ar,x0)(\mathsf{P}(\omega),a^r,x_0), with stopping index KK, times θ0=0<θ1<<θKT\theta_0=0<\theta_1<\dots<\theta_K\le T (strict by claim 1 of Existence, Uniqueness, Causality, and Measurability of the Open-Loop Aggregate Solution) and points x(0)=x0,,x(K)x^{(0)}=x_0,\dots,x^{(K)}. By the definition of the recursion path, Σtr(ω)=x(k)\Sigma^{r}_t(\omega)=x^{(k)} for t[θk,θk+1)t\in[\theta_k,\theta_{k+1}) and k<Kk<K, and Σtr(ω)=x(K)\Sigma^{r}_t(\omega)=x^{(K)} for t[θK,T]t\in[\theta_K,T]. Since the recursion stops at the first index KK with θK=T\theta_K=T or x(K)GNx^{(K)}\notin\mathbb{G}_N, one has x(k)GNx^{(k)}\in\mathbb{G}_N for every k<Kk<K.

(a) Hence Σˉtr(ω)=x(k)\bar\Sigma^{r}_t(\omega)=x^{(k)} on [θk,θk+1)[\theta_k,\theta_{k+1}) for k<Kk<K, and on [θK,T][\theta_K,T] the map Σˉr(ω)\bar\Sigma^{r}(\omega) is constant, equal to x(K)x^{(K)} if x(K)GNx^{(K)}\in\mathbb{G}_N and to x0x_0 otherwise. All values lie in GN\mathbb{G}_N, and Σˉr(ω)=Σr(ω)\bar\Sigma^{r}(\omega)=\Sigma^{r}(\omega) on [0,θK)[0,\theta_K).

(b) Let t(0,T]t\in(0,T]. If t(θk,θk+1]t\in(\theta_k,\theta_{k+1}] for some k<Kk<K, put Σˉtr(ω)=x(k)\bar\Sigma^{r}_{t-}(\omega)=x^{(k)} and δ=tθk>0\delta=t-\theta_k>0: then [tδ,t)=[θk,t)[θk,θk+1)[t-\delta,t)=[\theta_k,t)\subseteq[\theta_k,\theta_{k+1}), on which Σˉr(ω)=x(k)\bar\Sigma^{r}(\omega)=x^{(k)}. If t(θK,T]t\in(\theta_K,T], put Σˉtr(ω)=ΣˉTr(ω)\bar\Sigma^{r}_{t-}(\omega)=\bar\Sigma^{r}_T(\omega) and δ=tθK\delta=t-\theta_K. These cases are exhaustive and exclusive since 0=θ0<θ1<<θKT0=\theta_0<\theta_1<\dots<\theta_K\le T. The point is unique: if yy and yy' are constant values of Σˉr(ω)\bar\Sigma^{r}(\omega) on [tδ,t)[0,T][t-\delta,t)\cap[0,T] and on [tδ,t)[0,T][t-\delta',t)\cap[0,T] respectively, both intervals contain [tmin(δ,δ),t)[0,T][t-\min(\delta,\delta'),t)\cap[0,T], which is nonempty as t>0t>0, so y=yy=y'. In the first case Σˉtr(ω)=Σˉtr(ω)\bar\Sigma^{r}_{t-}(\omega)=\bar\Sigma^{r}_t(\omega) unless t=θk+1t=\theta_{k+1}; in the second case equality holds. With Σˉ0r(ω)=x0=Σˉ0r(ω)\bar\Sigma^{r}_{0-}(\omega)=x_0=\bar\Sigma^{r}_0(\omega), the set of tt where the left limit differs from the value is contained in {θ1,,θK}\{\theta_1,\dots,\theta_K\}. The left limit lies in GN\mathbb{G}_N by (a).

(c) If (r,ω)G(r,\omega)\in\mathsf{G}, then x(K)GNx^{(K)}\in\mathbb{G}_N, so Σˉr(ω)=Σr(ω)\bar\Sigma^{r}(\omega)=\Sigma^{r}(\omega) on all of [0,T][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)(t,r,\omega)\mapsto\Sigma^{r,\gamma}_t(\omega) is B[0,T](RF)\mathcal{B}_{[0,T]}\otimes(\mathcal{R}\otimes\mathcal{F})-measurable. The indicator χ(t,r,ω)\chi(t,r,\omega) of {Σtr(ω)GN}\{\Sigma^{r}_t(\omega)\in\mathbb{G}_N\} equals xGNγ=1l1{Σtr,γ(ω)=xγ}\sum_{x\in\mathbb{G}_N}\prod_{\gamma=1}^{l}\mathbf{1}\{\Sigma^{r,\gamma}_t(\omega)=x^{\gamma}\}, 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)+(1χ)x0γ\bar\Sigma^{r,\gamma}_t(\omega)=\chi\,\Sigma^{r,\gamma}_t(\omega)+(1-\chi)\,x_0^{\gamma} is measurable by the same claims.

The left limit. For n1n\ge1 let ϕn:[0,T][0,T]\phi_n:[0,T]\to[0,T], ϕn(t)=max(t1/n,0)\phi_n(t)=\max(t-1/n,0), which satisfies ϕn(t)ϕn(s)ts|\phi_n(t)-\phi_n(s)|\le|t-s|, hence is continuous on [0,T][0,T] and B[0,T]\mathcal{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)\Phi_n(t,r,\omega)=(\phi_n(t),r,\omega) is measurable from B[0,T](RF)\mathcal{B}_{[0,T]}\otimes(\mathcal{R}\otimes\mathcal{F}) to itself by (P1), the preimage of a rectangle B×EB\times E' being ϕn1(B)×E\phi_n^{-1}(B)\times E'. Hence gn(t,r,ω)=Σˉϕn(t)r,γ(ω)g_n(t,r,\omega)=\bar\Sigma^{r,\gamma}_{\phi_n(t)}(\omega) is measurable, with values in [0,1][0,1]. We claim gn(t,r,ω)Σˉtr,γ(ω)g_n(t,r,\omega)\to\bar\Sigma^{r,\gamma}_{t-}(\omega) for every (t,r,ω)(t,r,\omega). For t=0t=0, ϕn(0)=0\phi_n(0)=0 and gn=Σˉ0r,γ(ω)=x0γg_n=\bar\Sigma^{r,\gamma}_0(\omega)=x_0^{\gamma}. For t>0t>0 take δ\delta from (b): for n>1/δn>1/\delta, ϕn(t)[tδ,t)[0,T]\phi_n(t)\in[t-\delta,t)\cap[0,T], so gn(t,r,ω)=Σˉtr,γ(ω)g_n(t,r,\omega)=\bar\Sigma^{r,\gamma}_{t-}(\omega). 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)Σˉtr,γ(ω)(t,r,\omega)\mapsto\bar\Sigma^{r,\gamma}_{t-}(\omega).

Sections. The statements for fixed ω\omega follow from (P3).

Step 3 (claim 3: causality). Bounds. For xΔlx\in\Delta^l and every υ\upsilon, 0b~υ(x)=σxσβ~(σ,υ,x)B~σxσ=B~0\le\tilde{b}^\upsilon(x)=\sum_{\sigma}x^{\sigma}\tilde\beta(\sigma,\upsilon,x)\le\tilde{B}\sum_\sigma x^{\sigma}=\tilde{B} by condition 1 of Observation-Rate Family, since xσ0x^{\sigma}\ge0 and σxσ=1\sum_\sigma x^{\sigma}=1; if b~υb\tilde{b}^\upsilon\ge\underline{b} on Δl\Delta^l then λω,υNb\lambda^{\omega,\upsilon}\ge N\underline{b}. As Σˉtr(ω)GNΔl\bar\Sigma^{r}_{t-}(\omega)\in\mathbb{G}_N\subseteq\Delta^l, λω,υ\lambda^{\omega,\upsilon} takes values in [0,NB~][0,N\tilde{B}], and its total intensity is υNb~υ(Σˉtr(ω))=Nb~tot(Σˉtr(ω))\sum_\upsilon N\tilde{b}^\upsilon(\bar\Sigma^{r}_{t-}(\omega))=N\tilde{b}^{\mathrm{tot}}(\bar\Sigma^{r}_{t-}(\omega)).

Sequential continuity of b~υ\tilde{b}^\upsilon on Δl\Delta^l. Let xnxx_n\to x in Δl\Delta^l with respect to the Euclidean distance. Then xnσxσd(xn,x)0|x_n^{\sigma}-x^{\sigma}|\le d(x_n,x)\to0 for every σ\sigma, and β~(σ,υ,xn)β~(σ,υ,x)\tilde\beta(\sigma,\upsilon,x_n)\to\tilde\beta(\sigma,\upsilon,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)\tilde{b}^\upsilon(x_n)\to\tilde{b}^\upsilon(x).

Measurability (condition (i)). Fix ω\omega. Each component of (t,r)Σˉtr(ω)(t,r)\mapsto\bar\Sigma^{r}_{t-}(\omega) is B[0,T]R\mathcal{B}_{[0,T]}\otimes\mathcal{R}-measurable by claim 2(d), and the map takes values in Δl\Delta^l; by Sequentially Continuous Functions of Measurable Euclidean Maps are Measurable (with E=ΔlE=\Delta^l) the composition (t,r)b~υ(Σˉtr(ω))(t,r)\mapsto\tilde{b}^\upsilon(\bar\Sigma^{r}_{t-}(\omega)) is measurable, hence so is its constant multiple λω,υ\lambda^{\omega,\upsilon} (claim 2 of Arithmetic, Absolute Values, and Pointwise Limits of Measurable Real-Valued Functions). The same argument on [0,T]×R×Ω[0,T]\times\mathbf{R}\times\Omega shows that Λυ(t,r,ω)=λtω,υ(r)\Lambda^{\upsilon}(t,r,\omega)=\lambda^{\omega,\upsilon}_t(r) is B[0,T](RF)\mathcal{B}_{[0,T]}\otimes(\mathcal{R}\otimes\mathcal{F})-measurable; this is used in Step 4.

The identity. Fix t[0,T]t\in[0,T], r=(k,t,v)Rr=(k,\mathbf{t},v)\in\mathbf{R} and ω\omega, and put r=πt(r)r'=\pi_{t-}(r), which consists of the κ\kappa events of rr with tj<tt_j<t, these being exactly the events with indices 1,,κ1,\dots,\kappa by The Strict Prefix Map on the Observation Record Space. For u[0,t)u\in[0,t), an index jj with tjut_j\le u satisfies tj<tt_j<t, so jκj\le\kappa; hence kr(u)=kr(u)k_{r'}(u)=k_r(u), and the first kr(u)k_r(u) event times and marks of rr and rr' coincide, so ar(u)=ar(u)a^{r'}(u)=a^{r}(u) by the definition of the record-frozen control path. Let t[0,t)t'\in[0,t). The control paths ara^{r} and ara^{r'} agree on all of [0,t][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 \emptyset), and with p=p=P(ω)p'=p=\mathsf{P}(\omega) that claim gives Σur(ω)=Σur(ω)\Sigma^{r'}_u(\omega)=\Sigma^{r}_u(\omega) for all u[0,t]u\in[0,t']. Since t<tt'<t was arbitrary, Σur(ω)=Σur(ω)\Sigma^{r'}_u(\omega)=\Sigma^{r}_u(\omega) for all u[0,t)u\in[0,t), and therefore Σˉur(ω)=Σˉur(ω)\bar\Sigma^{r'}_u(\omega)=\bar\Sigma^{r}_u(\omega) for u[0,t)u\in[0,t), the regularisation being a function of the value at uu. For t=0t=0 both left limits are x0x_0. For t>0t>0, the left limit at tt is by claim 2(b) the common value of the path on an interval [tδ,t)[t-\delta,t), which is determined by the values on [0,t)[0,t); hence Σˉtr(ω)=Σˉtr(ω)\bar\Sigma^{r'}_{t-}(\omega)=\bar\Sigma^{r}_{t-}(\omega).

Non-anticipation (condition (ii)). By the identity, λtω,υ(πt(r))=Nb~υ(Σˉtπt(r)(ω))=Nb~υ(Σˉtr(ω))=λtω,υ(r)\lambda^{\omega,\upsilon}_t(\pi_{t-}(r))=N\tilde{b}^\upsilon(\bar\Sigma^{\pi_{t-}(r)}_{t-}(\omega))=N\tilde{b}^\upsilon(\bar\Sigma^{r}_{t-}(\omega))=\lambda^{\omega,\upsilon}_t(r). Thus λω\lambda^{\omega} is a causal intensity with bound NB~N\tilde{B}.

Step 4 (claim 4: the likelihood). Bounds and normalization. For every ω\omega, 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\lambda^{\omega} with bound λˉ=NB~\bar\lambda=N\tilde{B} give 0ω(NB~)k0\le\ell^{\omega}\le(N\tilde{B})^{k} on R(k)\mathbf{R}^{(k)} and Rωdρ=1\int_{\mathbf{R}}\ell^{\omega}\,d\rho=1.

The formula on G\mathsf{G}. Let (r,ω)G(r,\omega)\in\mathsf{G}, r=(k,t,v)r=(k,\mathbf{t},v). By Likelihood of a Causal Intensity on the Observation Record Space, ω(r)=(i=1kλtiω,vi(r))exp([0,T]λsω,tot(r)ds)\ell^{\omega}(r)=\bigl(\prod_{i=1}^{k}\lambda^{\omega,v_i}_{t_i}(r)\bigr)\exp(-\int_{[0,T]}\lambda^{\omega,\mathrm{tot}}_s(r)\,ds) with λtiω,vi(r)=Nb~vi(Σˉtir(ω))\lambda^{\omega,v_i}_{t_i}(r)=N\tilde{b}^{v_i}(\bar\Sigma^{r}_{t_i-}(\omega)) and λsω,tot(r)=Nb~tot(Σˉsr(ω))\lambda^{\omega,\mathrm{tot}}_s(r)=N\tilde{b}^{\mathrm{tot}}(\bar\Sigma^{r}_{s-}(\omega)). On G\mathsf{G}, Σˉr(ω)=Σr(ω)\bar\Sigma^{r}(\omega)=\Sigma^{r}(\omega) by claim 2(c), and the integrands sb~tot(Σsr(ω))s\mapsto\tilde{b}^{\mathrm{tot}}(\Sigma^{r}_{s-}(\omega)) and sb~tot(Σsr(ω))s\mapsto\tilde{b}^{\mathrm{tot}}(\Sigma^{r}_{s}(\omega)) are bounded, measurable on [0,T][0,T] (the first by condition (i) and (P2), the second likewise from claim 2(d)), and agree on D=[0,T]{θ1,,θK}D=[0,T]\setminus\{\theta_1,\dots,\theta_K\} by claim 2(b); the complement of DD in [0,T][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][0,T] of each integrand equals the integral of its product with the indicator of DD, and these products coincide; hence the two integrals agree. This gives the displayed formula.

Joint measurability. We use the map Λυ\Lambda^{\upsilon} of Step 3 and the measurability of Λtot=υΛυ\Lambda^{\mathrm{tot}}=\sum_\upsilon\Lambda^{\upsilon} (claim 2 of Arithmetic, Absolute Values, and Pointwise Limits of Measurable Real-Valued Functions).

(i) The survival factor. The measure ρ\rho is σ\sigma-finite: R\mathbf{R} is the countable union of its cells, and ρ(Ck,v)=λk(Dk(T))\rho(C_{k,v})=\lambda_k(D_k(T)) is finite by The Ordered Time Simplex: Borel Measurability and Volume, while ρ(C)=1\rho(C_\emptyset)=1. Hence the product measure ρP\rho\otimes P on RF\mathcal{R}\otimes\mathcal{F} exists and is σ\sigma-finite (the sets C×ΩC\times\Omega, CC a cell, cover R×Ω\mathbf{R}\times\Omega and have finite measure), and λ[0,T]\lambda_{[0,T]} is finite. Apply the Tonelli theorem to the nonnegative B[0,T](RF)\mathcal{B}_{[0,T]}\otimes(\mathcal{R}\otimes\mathcal{F})-measurable function Λtot\Lambda^{\mathrm{tot}} on [0,T]×(R×Ω)[0,T]\times(\mathbf{R}\times\Omega): the map (r,ω)[0,T]Λtot(s,r,ω)ds(r,\omega)\mapsto\int_{[0,T]}\Lambda^{\mathrm{tot}}(s,r,\omega)\,ds is RF\mathcal{R}\otimes\mathcal{F}-measurable. For fixed (r,ω)(r,\omega) the integrand is the section sλsω,tot(r)s\mapsto\lambda^{\omega,\mathrm{tot}}_s(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\tilde{l}N\tilde{B}T, since the integrand takes values in [0,l~NB~][0,\tilde{l}N\tilde{B}]. Composing with the map yexp(y)y\mapsto\exp(-y), which is continuous on R\mathbb{R} by Basic Properties of the Exponential Function (Sequentially Continuous Functions of Measurable Euclidean Maps are Measurable with E=RE=\mathbb{R}), shows that (r,ω)exp([0,T]λsω,tot(r)ds)(r,\omega)\mapsto\exp(-\int_{[0,T]}\lambda^{\omega,\mathrm{tot}}_s(r)\,ds) is RF\mathcal{R}\otimes\mathcal{F}-measurable.

(ii) The event factors. Fix a cell Ck,vC_{k,v} with k1k\ge1 and i{1,,k}i\in\{1,\dots,k\}. The map Θi:Ck,v×Ω[0,T]×R×Ω\Theta_i:C_{k,v}\times\Omega\to[0,T]\times\mathbf{R}\times\Omega, Θi(r,ω)=(ti(r),r,ω)\Theta_i(r,\omega)=(\mathsf{t}_i(r),r,\omega), is measurable from (RF)Ck,v×Ω(\mathcal{R}\otimes\mathcal{F})|_{C_{k,v}\times\Omega} to B[0,T](RF)\mathcal{B}_{[0,T]}\otimes(\mathcal{R}\otimes\mathcal{F}) by (P1): the preimage of a rectangle B×EB\times E' is (ti1(B)×Ω)E(Ck,v×Ω)(\mathsf{t}_i^{-1}(B)\times\Omega)\cap E'\cap(C_{k,v}\times\Omega). Hence (r,ω)λtiω,vi(r)=ΛviΘi(r,ω)(r,\omega)\mapsto\lambda^{\omega,v_i}_{t_i}(r)=\Lambda^{v_i}\circ\Theta_i(r,\omega) is measurable on Ck,v×ΩC_{k,v}\times\Omega, and so is the finite product over ii (claim 3 of Arithmetic, Absolute Values, and Pointwise Limits of Measurable Real-Valued Functions). On C×ΩC_\emptyset\times\Omega the product is the constant 11.

(iii) Assembly. On each piece Ck,v×ΩC_{k,v}\times\Omega of the countable measurable partition of R×Ω\mathbf{R}\times\Omega into the rectangles Ck,v×ΩC_{k,v}\times\Omega, the map (r,ω)ω(r)(r,\omega)\mapsto\ell^{\omega}(r) is the product of the measurable maps of (i) and (ii), hence measurable with respect to the restricted σ\sigma-algebra; by (P4) it is RF\mathcal{R}\otimes\mathcal{F}-measurable. \blacksquare

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