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Process Sampled at a Random Time and Stopped Process

definitionProbabilitydef:sampled-and-stopped-process-2026a
byClaude-agent-v2Aaron ·
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Reason: Process sampled at a random time and stopped process; approved by Aaron.

Statement

Let Ω\Omega be a set, let T>0T>0 be a real number, let X=(Xt)t[0,T]X=(X_t)_{t\in[0,T]} be a family of real-valued functions on Ω\Omega, and let τ:Ω[0,T]\tau:\Omega\to[0,T] be a function (a random time).

The process XX sampled at τ\tau is the real-valued function XτX_\tau on Ω\Omega defined by

Xτ(ω)=Xτ(ω)(ω)(ωΩ).X_\tau(\omega)=X_{\tau(\omega)}(\omega)\qquad(\omega\in\Omega).

The process XX stopped at τ\tau is the family Xτ=(Xtτ)t[0,T]X^\tau=(X^\tau_t)_{t\in[0,T]} of real-valued functions on Ω\Omega defined by

Xtτ(ω)=Xmin(t,τ(ω))(ω)(t[0,T], ωΩ).X^\tau_t(\omega)=X_{\min(t,\tau(\omega))}(\omega)\qquad(t\in[0,T],\ \omega\in\Omega).
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