Stopped Supermartingale is Supermartingale

Theorem
Let $\struct {\Omega, \Sigma, \sequence {\FF_n}_{n \ge 0}, \Pr}$ be a filtered probability space.

Let $\sequence {X_n}_{n \ge 0}$ be an $\sequence {\FF_n}_{n \ge 0}$-supermartingale.

Let $T$ be a stopping time with respect to $\sequence {\FF_n}_{n \ge 0}$.

Let $\sequence {X_n^T}_{n \ge 0}$ be the stopped process.

Then $\sequence {X_n^T}_{n \ge 0}$ is a $\sequence {\FF_n}_{n \ge 0}$-supermartingale.

Proof
By Stopped Process is Adapted Stochastic Process, $\sequence {X_n^T}_{n \ge 0}$ is a $\sequence {\FF_n}_{n \ge 0}$-adapted stochastic process.

From Integrable Adapted Stochastic Process at Stopping Time is Integrable:


 * $X_n^T$ is integrable for each $n \in \Z_{\ge 0}$.

Note that by definition we have for $\omega \in \Omega$ and $n \in \Z_{\ge 0}$:


 * $\map {X_n^T} \omega = \map {X_n} \omega$ if $n \le \map T \omega$

and:


 * $\map {X_n^T} \omega = \map {X_t} \omega$ if $n > \map T \omega = t$

So we can write:


 * $\ds \map {X_{n + 1}^T} \omega = \sum_{k \mathop = 0}^n \map {X_k} \omega \map {\chi_{\set {\omega \in \Omega : \map T \omega = k} } } \omega + \map {X_{n + 1} } \omega \map {\chi_{\set {\omega \in \Omega : \map T \omega \ge n + 1} } } \omega$

for each $\omega \in \Omega$.

Since $T$ is a stopping time with respect to $\sequence {\FF_n}_{n \ge 0}$ we have:


 * $\set {\omega \in \Omega : \map T \omega = k} \in \FF_k$

for each $k \in \Z_{\ge 0}$ with $0 \le k \le n$.

So, since $\sequence {\FF_n}_{n \ge 0}$ is a filtration, we have:


 * $\set {\omega \in \Omega : \map T \omega = k} \in \FF_n$

Then, from Characteristic Function Measurable iff Set Measurable:


 * $\chi_{\set {\omega \in \Omega : \map T \omega = k} }$ is $\FF_n$-measurable.

Since $\sequence {X_n}_{n \ge 0}$ is $\sequence {\FF_n}_{n \ge 0}$-adapted we have that:


 * $X_k$ is $\FF_k$-measurable

so:


 * $X_k$ is $\FF_n$-measurable.

Then, from Pointwise Product of Measurable Functions is Measurable, we have:


 * $X_k \chi_{\set {\omega \in \Omega : \map T \omega = k} }$ is $\FF_n$-measurable.

So, from Pointwise Sum of Measurable Functions is Measurable: General Result:


 * $\ds \sum_{k \mathop = 0}^n X_k \chi_{\set {\omega \in \Omega : \map T \omega = k} }$ is $\FF_n$-measurable.

Finally, note that since $T$ is a stopping time with respect to $\sequence {\FF_n}$ and:


 * $\set {\omega \in \Omega : \map T \omega \ge n + 1}^c = \set {\omega \in \Omega : \map T \omega \le n}$

we have that:


 * $\set {\omega \in \Omega : \map T \omega \ge n + 1} \in \FF_n$

since $\sigma$-algebras are closed under relative complement.

From Characteristic Function Measurable iff Set Measurable, we have:


 * $\chi_{\set {\omega \in \Omega : \map T \omega \ge n + 1} }$ is $\FF_n$-measurable.

We can now calculate:

almost surely.

So $\sequence {X_n^T}_{n \ge 0}$ is a $\sequence {\FF_n}_{n \ge 0}$-supermartingale.