Past exam of the mathematics course of the University of Cambridge 2001 iii Paper 24 1 b Solution Created 2026-10-03 Updated 2026-10-14
Put and let denote the proposed family of sets. This is a sigma-algebra: complements replace and by their complements, and countable unions replace them by their unions. For a generating predictable rectangle , part (a) says either or . In the first case its trace on is empty; in the second it is exactly . Its trace on is always product-Borel. Hence .
For the reverse inclusion, is left-continuous and adapted, so belongs to the predictable sigma-algebra. Every deterministic Borel set in time also belongs to that sigma-algebra, hence is predictable. For a product rectangle ,Each term is predictable because . Every pair with lies in such a term by choosing . The class of product-Borel sets for which is predictable is a sigma-algebra containing the product rectangles, so it contains . ThusThis survival-observation predictable sigma-algebra expresses a sharp distinction: before and at the lifetime the only observable coordinate is time, whereas strictly after it the lifetime is known.