The measurability of hitting times

Richard F Bass (University of Connecticut)

Abstract


Under very general conditions the hitting time of a set by a stochastic process is a stopping time. We give a new simple proof of this fact. The section theorems for optional and predictable sets are easy corollaries of the proof.

A correction to this paper has been published : Electronic Communications in Probability, Vol. 16 (2011), paper 18


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Pages: 99-105

Publication Date: March 9, 2010

DOI: 10.1214/ECP.v15-1535

References

  1. Dellacherie, Claude; Meyer, Paul-André. Probabilities and potential.North-Holland Mathematics Studies, 29. North-Holland Publishing Co., Amsterdam-New York; North-Holland Publishing Co., Amsterdam-New York, 1978. viii+189 pp. ISBN: 0-7204-0701-X MR0521810 (80b:60004)
  2. Elliott, Robert J. Stochastic calculus and applications.Applications of Mathematics (New York), 18. Springer-Verlag, New York, 1982. ix+302 pp. ISBN: 0-387-90763-7 MR0678919 (85b:60059)
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