Survival-observation predictable sigma-algebra

ID: survival-observation-predictable-sigma-algebra

On , observe only . Before and at the observed lifetime, the natural filtration cannot distinguish any two surviving outcomes. The predictable sigma-algebra on positive times therefore consists exactly of sets whose trace on is for a Borel set , and whose trace on is arbitrary product-Borel. To prove sufficiency, is predictable because is left-continuous and adapted; on , insert a rational with and use the predictable rectangles .

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