TheoremBase

Stopping Time of a Filtration on a Compact Time Interval

Statement

Let (Ω,F,P)(\Omega,\mathcal{F},P) be a probability space, let T>0T>0 be a real number, and let (Ft)t∈[0,T](\mathcal{F}_t)_{t\in[0,T]} be a filtration on (Ω,F,P)(\Omega,\mathcal{F},P) with time index restricted to [0,T][0,T].

A stopping time of (Ft)t∈[0,T](\mathcal{F}_t)_{t\in[0,T]} is a function τ:Ω→[0,T]\tau:\Omega\to[0,T] such that

{ω∈Ω: τ(ω)≤t}∈Ftfor every t∈[0,T].\{\omega\in\Omega:\ \tau(\omega)\le t\}\in\mathcal{F}_t\qquad\text{for every }t\in[0,T].

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