Solution

ID: past-exam-of-the-probability-statistics-and-options-i-course-of-the-university-of-oxford/2010/d/1/3/solution

If is measurable, then for , , and for , . Thus the given superlevel criterion proves measurable. Part 2 makes measurable, and the same argument applied to proves measurable.
Conversely . If both parts are measurable, part 2 and the permitted closure under addition prove measurable. Therefore is measurable exactly when its positive and negative parts are measurable.

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