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Let $\tau$ be a stopping time for the filtration $\{\mathcal{F}_n\}$ and suppose there is a constant N s.t. for every $n\ge 0$, $\mathcal{P}(\tau\le n+N|\mathcal{F}_n)\ge \epsilon \gt 0$ for some $\epsilon$.

Show that $\mathcal{P}(\tau< \infty)=1$ and $\mathbb{E}[\tau^p]< \infty$ for every $p\ge 1$

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    I changed your $\le\infty$ to $<\infty$, which I presume is what you intended.2011-11-14
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    Are you sure that you copied the problem correctly? As written, I don't think it is true.2011-11-14
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    pretty sure its $<\infty$. When I did this question I used the tower property on indicator functions.2012-10-15

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For every $n\geqslant0$, consider $A_n=[\tau\gt n]$, then the event $A_n$ is in $\mathcal F_n$ because $\tau$ is a stopping time, hence $\mathbb P(\tau\leqslant n+N,A_n)\geqslant\varepsilon\mathbb P(A_n)$, that is, $\mathbb P(n\lt\tau\leqslant n+N)\geqslant\varepsilon\mathbb P(n\lt\tau)$.

Since $\mathbb P(n\lt\tau\leqslant n+N)=\mathbb P(\tau\gt n)-\mathbb P(\tau\gt n+N)$, this yields $$ \mathbb P(\tau\gt n+N)\leqslant(1-\varepsilon)\mathbb P(\tau\gt n). $$ Iterating this on the multiples of $N$ yields, for every $k\geqslant0$, $$ \mathbb P(\tau\gt kN)\leqslant(1-\varepsilon)^k. $$ In particular, $\mathbb P(\tau=\infty)\leqslant\mathbb P(\tau\gt kN)$ for every $k\geqslant0$ hence $\mathbb P(\tau=\infty)=0$, which shows that $\tau$ is almost surely finite.

Likewise, for any $p\gt0$, $$ \tau^p\leqslant\sum\limits_{k\geqslant0}(k+1)^pN^p\mathbf 1_{kN\lt \tau\leqslant(k+1)N}\leqslant N^p\sum\limits_{k\geqslant0}(k+1)^p\mathbf 1_{\tau\gt kN}, $$ hence, integrating this almost sure inequality, $$ \mathbb E(\tau^p)\leqslant N^p\sum\limits_{k\geqslant0}(k+1)^p\mathbb P(\tau\gt kN)\leqslant N^p\sum\limits_{k\geqslant0}(k+1)^p(1-\varepsilon)^k. $$ The last series converges, hence $\tau^p$ is integrable.

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    when you take the expectation of the terms across the last but one inequality, wouldn't you have to make sure that the sum on the rightmost side of the inequality converges before moving the expectation inside the sum?2015-02-28
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    @Calculon No, because everything is nonnegative hence the sums, whether finite or infinite, always coincide.2015-02-28
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    Thanks, that clears it for me.2015-02-28
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    Could you please explain how do you get the inequality in the second line after the "hence"?2017-11-19
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    @perlman $P(\tau\leqslant n+N,A_n)=P(\tau\leqslant n+N\mid A_n)P(A_n)\geqslant\varepsilon P(A_n)$ because $P(\tau\leqslant n+N\mid \mathcal F_n)\geqslant\varepsilon$ and $A_n\in\mathcal F_n$.2017-11-19
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    @Did thanks for your response. Actually, my issue/question is the very last step. What is the connection of the c.p. wrt to a sigma-field and the c.p. wrt to an element of this sigma field? Although I searched for that, I wasn't able to find the answer. Thanks again2017-11-20
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    @perlman If $P(B\mid\mathcal G)\geqslant\epsilon$ almost surely and $A\in\mathcal G$, one has $$P(B\mid A)=E(\mathbf 1_B\mid A)=E(E(\mathbf 1_B\mid\mathcal G)\mid A)=E(P(B\mid\mathcal G)\mid A)\geqslant E(\epsilon\mid A)=\epsilon$$2017-11-20