Solution

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

For a lower semicontinuous function, each upper-ray inverse image is open, hence Borel, so part (a)(i) applies directly. For an upper semicontinuous , the function is lower semicontinuous because
is open. Negation is continuous and Borel measurable, so is Borel measurable too. Thus both semicontinuity classes are Borel measurable.

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