Solution

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

Boundedness of makes finite and nonnegative. Suppose . By its infimum definition, some satisfies . If , then
The supremum over the smaller interval cannot exceed that over the larger one. Hence
Thus is open for every , proving is upper semicontinuous. Measurability of the original was never needed: these are purely pointwise oscillation bounds.

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