1
$\begingroup$

Is the maximum of two stopping times a stopping time? I wrote

$$\{max(\tau, \sigma) \le t\} = \{\tau \le t\} \cap \{\sigma \le t\} \in \mathcal F_t$$

Because both $\tau$ and $\sigma$ are stopping times. In my book there is written that it isn't though. Can you tell me where the error is?

  • 2
    The maximum of two stopping times is again a stopping as you just showed. Which book are you reading?2017-01-31
  • 0
    @StefanHansen thank you, I had actually read the solution of the book wrong (it was a double negation! :D). So the book agrees it is a stopping time.2017-02-01

1 Answers 1

1

I have read the book solution incorrectly. Indeed the maximum of two stopping times is a stopping time, as I showed in the question.