Let (left(X_{t}, mathscr{F}_{t}ight)_{t geqslant 0}) be a submartingale with continuous paths and (mathscr{F}_{t+}=bigcap_{u>t} mathscr{F}_{u}). Show that (left(X_{t},

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Let $\left(X_{t}, \mathscr{F}_{t}ight)_{t \geqslant 0}$ be a submartingale with continuous paths and $\mathscr{F}_{t+}=\bigcap_{u>t} \mathscr{F}_{u}$. Show that $\left(X_{t}, \mathscr{F}_{t+}ight)_{t \geqslant 0}$ is again a submartingale.

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Brownian Motion A Guide To Random Processes And Stochastic Calculus De Gruyter Textbook

ISBN: 9783110741254

3rd Edition

Authors: René L. Schilling, Björn Böttcher

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Question Posted: Mar 17, 2024 01:00 AM

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Let (left(X_{t}, mathscr{F}_{t}ight)_{t geqslant 0}) be a submartingale with continuous paths and (mathscr{F}_{t+}=bigcap_{u>t} mathscr{F}_{u}). Show that (left(X_{t},

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We need to show that XtFtt0 is a submartingale whi...View the full answer

Brownian Motion A Guide To Random Processes And Stochastic Calculus De Gruyter Textbook

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