Solution

ID: past-exam-of-the-martingales-and-financial-mathematics-course-of-the-university-of-oxford/2008/a/4/a/i/solution

A Borel measurable function has for every Borel set . Thus the upper-ray condition is necessary.
For sufficiency, note that the rays generate the stipulated sigma-algebra: , and , with integer . The family
is a sigma-algebra because inverse images preserve complements and countable unions. If it contains all upper rays, it contains their generated Borel sigma-algebra. Therefore upper-ray preimages suffice to prove Borel measurability.

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