Does anybody know why $ \operatorname{sign} {B_t} $ is a predictable process if $ B_t $ is a Brownian motion and sign denotes the signum function with the convention that $ \operatorname{sign} (0) := -1 $ ?
Thanks for your help! Regards, Si
Does anybody know why $ \operatorname{sign} {B_t} $ is a predictable process if $ B_t $ is a Brownian motion and sign denotes the signum function with the convention that $ \operatorname{sign} (0) := -1 $ ?
Thanks for your help! Regards, Si
Being predictable is just being measureable with respect to a certain sigma-field. If $\mathcal{P}$ denotes the predictable sigma-field on $\mathbb{R}_+\times \Omega$ then a process $(X_t)_{t\geq 0}$ is said to predictable if $ (t,\omega)\mapsto X_t(\omega) $ is $(\mathcal{P},\mathcal{B}(\mathbb{R}))$-measureable. Since $(B_t)_{t\geq 0}$ is continuous and adapted, it is indeed predictable. Now the process $(\text{sign}(B_t))_{t\geq 0}$ is just a composition and using the fact that $x\mapsto \text{sign}(x)$ is $(\mathcal{B}(\mathbb{R}),\mathcal{B}(\mathbb{R}))$ measureable we get that $ (t,\omega)\mapsto \text{sign}(X_t(\omega)) $ is is $(\mathcal{P},\mathcal{B}(\mathbb{R}))$-measureable and hence $(\text{sign}(B_t))_{t\geq 0}$ is predictable.