The <predictable sigma-algebra> $\mathcal P$ on $\Omega\times[0,\infty)$ is generated by the sets $A\times\{0\}$ with $A\in\mathcal F_0$ and $A\times(s,t]$ with $0\leq s<t$ and $A\in\mathcal F_s$. A process is <predictable process>[previsible] precisely when it is $\mathcal P$-measurable.

Solution

Past exam of the mathematics course of the University of Cambridge / 2023 / iii / Paper 202 / 2 / a / Solution

 Solution

ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2023/iii/paper-202/2/a/solution