Past exam of the mathematics course of the University of Cambridge / 2001 / iii / Paper 24 / 1 / Solution

Write the predictable sigma-algebra on positive times asIt is equivalently the smallest sigma-algebra making all left-continuous adapted processes measurable. Indeed, the indicator of each generating rectangle is left-continuous and adapted, and approximating any left-continuous adapted process by its values at the preceding points of deterministic partitions gives the reverse inclusion. Previsibility records information available immediately before observation. If time zero is included, add $B\times \{0\}$ with $B\in {\mathcal{F}}_0$. The displayed description in part (b) uses positive times, as indicated by its product space.