Homework week 2

All Exercises in Chapter 4. In addition the following three problems. Problem 1 Let (Tn ) be an increasing sequence of stopping times, so that T1 < T2 < T3 < . Let T = limn Tn . Show that FTn = FT .
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Problem 2 Let N be a counting process, meaning that N is constant onl intervals and then increases by one at the time of jumps. Let (Tn ) be the jump times of N . Show that N is adapted if an only if the (Tn ) are stopping times. Problem 3 Consider a stochastic basis (, F, F , P ), and let G = {XT : X all RCLL adopted processes}. Show that FT = G. This gives a more natural interpretation of FT .