Question: 14.3 [Not a stopping time] We saw the first entry defined as an infimum is a stoping time. How about the supremum? Let Xt be

14.3 [Not a stopping time] We saw the first entry defined as an infimum is a stoping time. How about the supremum? Let Xt be a martingale and let S = sup{n | n ≤ 100, Xn ∈ B}

for some interval B in R with the convention sup(∅)=0. Give an argument to show that S is not a stopping time.

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