Claim 1. By claim 4 of Causality of the Mean-Field Flow and Observation-Adaptedness of the Realized Mean-Field Flow, the family Y=(Yt)t∈[0,T] is adapted to (Gt)t∈[0,T] with every path continuous on [0,T]; by claim 5 of Progressive Measurability of the Realized Control with Respect to the Observation Filtration, so is E=(Et)t∈[0,T]. Hence τY and τE, which are the hitting times of claim 5 of Stopping Times on a Compact Time Interval: Elementary Operations, the Prior Sigma-Algebra, Dyadic Approximation, Sampling, and Hitting Times for Y with level c=εY and for E with level c=cE, are stopping times of (Gt)t∈[0,T], and so is their pointwise minimum τ by claim 1 of the same toolkit. Since Gt⊆Ftsys for every t (claim 1 of Progressive Measurability of the Realized Control with Respect to the Observation Filtration), the defining condition {θ≤t}∈Gt of a stopping time implies {θ≤t}∈Ftsys, so all three are stopping times of (Ftsys)t∈[0,T] as well. The membership {τ≤t}∈Gt is the definition, {t<τ}={τ>t}∈Gt is claim 1 of the toolkit, and {τ<T}∈GT is the same claim with t=T.
Claim 2. Let ω∈Ω and t<τ(ω). Then t<τY(ω) and t<τE(ω), so claim 5 of Stopping Times on a Compact Time Interval: Elementary Operations, the Prior Sigma-Algebra, Dyadic Approximation, Sampling, and Hitting Times gives Yt(ω)<εY and Et(ω)<cE.
For the bounds at the stopping time we first show: if E0(ω)<cE then EτE(ω)(ω)≤cE. If HE(ω)=∅ then τE(ω)=T and ET(ω)<cE. Otherwise θ=τE(ω) is the greatest lower bound of HE(ω), so no u<θ lies in HE(ω), that is, Eu(ω)<cE for every u∈[0,θ). Suppose Eθ(ω)>cE. Then θ>0, since E0(ω)<cE; by continuity of the path at θ relative to [0,T], applied with ε=Eθ(ω)−cE>0, there is δ>0 with Eu(ω)>cE for every u∈[0,T] with ∣u−θ∣<δ, and any u∈(max(0,θ−δ),θ) gives a contradiction. Hence Eθ(ω)≤cE. The same argument with Y, εY, HY(ω) and τY(ω) in place of E, cE, HE(ω) and τE(ω) shows: if Y0(ω)<εY then YτY(ω)(ω)≤εY.
Now E0(ω)=0<cE by the definition of E (the integral over [0,0] being 0). Let t∈[0,T] and s=min(t,τ(ω)). If s<τE(ω) then Es(ω)<cE by claim 5 of the toolkit; otherwise s=τ(ω)=τE(ω), since s≤τ(ω)≤τE(ω), and Es(ω)≤cE by the display just proved. If moreover ∣x0−S0∗∣<εY, then Y0(ω)=∣Φ0(ω)−S0∗∣=∣x0−S0∗∣<εY by claim 3 of Causality of the Mean-Field Flow and Observation-Adaptedness of the Realized Mean-Field Flow, and the same dichotomy with τY in place of τE gives Ys(ω)≤εY.
Claim 3. Since τ=min(τY,τE) pointwise, τ(ω)<T holds exactly when τY(ω)<T or τE(ω)<T, which is the stated identity. If τY(ω)<T then HY(ω)=∅, so some t∈[0,T] has Yt(ω)≥εY, and Y(ω)≥Yt(ω)≥εY, the supremum existing by claim 4 of Causality of the Mean-Field Flow and Observation-Adaptedness of the Realized Mean-Field Flow. If τE(ω)<T then HE(ω)=∅, so some t has Et(ω)≥cE, and ET(ω)≥Et(ω)≥cE because the paths of E are nondecreasing by claim 5 of Progressive Measurability of the Realized Control with Respect to the Observation Filtration. If τY(ω)=T, then either HY(ω)=∅, in which case Yt(ω)<εY for every t, or HY(ω)=∅ with greatest lower bound T, in which case HY(ω)={T} (every element of HY(ω)⊆[0,T] being at least its greatest lower bound T) and Yt(ω)<εY for t<T while YT(ω)≥εY; in the second case, continuity of the path at T relative to [0,T] forces YT(ω)≤εY, for if YT(ω)>εY there would be δ>0 with Yt(ω)>εY for all t∈(T−δ,T], contradicting Yt(ω)<εY for t<T. In both cases Yt(ω)≤εY for every t, so Y(ω)≤εY.
The three sets on the right lie in GT because Y is GT-measurable (claim 4 of Causality of the Mean-Field Flow and Observation-Adaptedness of the Realized Mean-Field Flow) and ET is GT-measurable (claim 5 of Progressive Measurability of the Realized Control with Respect to the Observation Filtration), indeed {Y≤εY} is the complement of {Y>εY}∈GT, and {Y≥εY}=⋂n≥1{Y>εY−1/n} with every member in GT, both by the criterion of claim 3 of Rational Intervals and Rays Generate the Borel Sigma-Algebra of the Real Line; likewise for {ET≥cE}. Finally {τ<T}⊆{Y≥εY}∪{ET≥cE} by the inclusions just proved, and the probability of a union of two events is at most the sum of their probabilities, by monotonicity (claim 2) and countable subadditivity (claim 4, the sequence padded with the empty set) of Basic Properties of a Measure; this is the final display. ■