Let
- (Ω,A) and (E,E) be measurable spaces
- I⊆[0,∞) be at most countable and closed under addition with 0∈I
- X=(Xt)t∈I be a stochastic process on (Ω,A) with values in (E,E)
- F=(Ft)t∈I be the filtration generated by X
- τ be a F-stopping time
- f:EI→R be bounded and E⊗I-measurable
Clearly, Ys:=1{τ=s}E[f∘(Xs+t)t∈I∣Fτ]
is Fs-measurable. Thus,
E[f∘(Xτ+t)t∈I∣Fτ]=∑s∈IYs=∑s∈IE[Ys∣Fs]=∑s∈IE[1{τ=s}E[f∘(Xτ+t)t∈I∣Fs]∣Fτ],
but I don't understand why the red part is true. It looks like the tower property, but we shouldn't be able to use it unless Fτ⊆Fs, which is obviously wrong. So, how do we need to argue?
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