Stopping-time shift of a stochastic integral

ID: stopping-time-shift-of-a-stochastic-integral

For a finite stopping time , use the shifted filtration . An martingale with a bounded norm shifts to the martingale ; a continuous bounded adapted integrand shifts to a predictable integrand. Their quadratic variation and integration intervals shift by subtracting the value at . Both integrals have identical left-endpoint sums, and the Itô isometry passes the equality to the limit. The starting jump at is excluded.

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