Why $mathbb P(X_t=Y_ttext{ for all }t)=1$ if $mathbb P(X_t=Y_t)=1$ for all $t$?












3












$begingroup$


Let $X_t$ and $Y_t$ two continuous stochastic process on $(Omega ,mathcal F,mathbb P)$ s.t. $X_t=Y_t$ a.s. for all $t$. Why $mathbb P{X_t=Y_ttext{ for all }t}=1$ ?



The solution goes as : We have that $X_r=Y_r$ a.s. for all $rinmathbb Q$. Therefore, $mathbb P{sup_{sinmathbb R}|X_s-Y_s|>0}=0$. The claim follow.



I really don't understand the argument. And for me $mathbb P(X_t=Y_t)=1$ for all $t$ is really the same as $mathbb P(X_t=Y_ttext{ for all }t)=1$. I don't see the difference.










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$endgroup$












  • $begingroup$
    First one is for each $t$, ${ omega : X_t(omega) = Y_t(omega) }$, second one is $bigcap_{tin mathbb R} { omega : X_t(omega) = Y_t(omega) }$
    $endgroup$
    – Calvin Khor
    Dec 3 '18 at 13:23


















3












$begingroup$


Let $X_t$ and $Y_t$ two continuous stochastic process on $(Omega ,mathcal F,mathbb P)$ s.t. $X_t=Y_t$ a.s. for all $t$. Why $mathbb P{X_t=Y_ttext{ for all }t}=1$ ?



The solution goes as : We have that $X_r=Y_r$ a.s. for all $rinmathbb Q$. Therefore, $mathbb P{sup_{sinmathbb R}|X_s-Y_s|>0}=0$. The claim follow.



I really don't understand the argument. And for me $mathbb P(X_t=Y_t)=1$ for all $t$ is really the same as $mathbb P(X_t=Y_ttext{ for all }t)=1$. I don't see the difference.










share|cite|improve this question









$endgroup$












  • $begingroup$
    First one is for each $t$, ${ omega : X_t(omega) = Y_t(omega) }$, second one is $bigcap_{tin mathbb R} { omega : X_t(omega) = Y_t(omega) }$
    $endgroup$
    – Calvin Khor
    Dec 3 '18 at 13:23
















3












3








3





$begingroup$


Let $X_t$ and $Y_t$ two continuous stochastic process on $(Omega ,mathcal F,mathbb P)$ s.t. $X_t=Y_t$ a.s. for all $t$. Why $mathbb P{X_t=Y_ttext{ for all }t}=1$ ?



The solution goes as : We have that $X_r=Y_r$ a.s. for all $rinmathbb Q$. Therefore, $mathbb P{sup_{sinmathbb R}|X_s-Y_s|>0}=0$. The claim follow.



I really don't understand the argument. And for me $mathbb P(X_t=Y_t)=1$ for all $t$ is really the same as $mathbb P(X_t=Y_ttext{ for all }t)=1$. I don't see the difference.










share|cite|improve this question









$endgroup$




Let $X_t$ and $Y_t$ two continuous stochastic process on $(Omega ,mathcal F,mathbb P)$ s.t. $X_t=Y_t$ a.s. for all $t$. Why $mathbb P{X_t=Y_ttext{ for all }t}=1$ ?



The solution goes as : We have that $X_r=Y_r$ a.s. for all $rinmathbb Q$. Therefore, $mathbb P{sup_{sinmathbb R}|X_s-Y_s|>0}=0$. The claim follow.



I really don't understand the argument. And for me $mathbb P(X_t=Y_t)=1$ for all $t$ is really the same as $mathbb P(X_t=Y_ttext{ for all }t)=1$. I don't see the difference.







probability measure-theory






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asked Dec 3 '18 at 13:12









NewMathNewMath

4059




4059












  • $begingroup$
    First one is for each $t$, ${ omega : X_t(omega) = Y_t(omega) }$, second one is $bigcap_{tin mathbb R} { omega : X_t(omega) = Y_t(omega) }$
    $endgroup$
    – Calvin Khor
    Dec 3 '18 at 13:23




















  • $begingroup$
    First one is for each $t$, ${ omega : X_t(omega) = Y_t(omega) }$, second one is $bigcap_{tin mathbb R} { omega : X_t(omega) = Y_t(omega) }$
    $endgroup$
    – Calvin Khor
    Dec 3 '18 at 13:23


















$begingroup$
First one is for each $t$, ${ omega : X_t(omega) = Y_t(omega) }$, second one is $bigcap_{tin mathbb R} { omega : X_t(omega) = Y_t(omega) }$
$endgroup$
– Calvin Khor
Dec 3 '18 at 13:23






$begingroup$
First one is for each $t$, ${ omega : X_t(omega) = Y_t(omega) }$, second one is $bigcap_{tin mathbb R} { omega : X_t(omega) = Y_t(omega) }$
$endgroup$
– Calvin Khor
Dec 3 '18 at 13:23












2 Answers
2






active

oldest

votes


















2












$begingroup$

The only thing you can say for $t$ fixed is $$mathbb P{X_t=Y_ttext{ for all }t}leq mathbb P{X_t=Y_t}.$$
You should pay more attention to the answers I gave you here. It's the same problem here.



What you must show is that there is $N$ with $mathbb P(N)=0$ s.t. for all $omega notin Omega $ and all $t$, $X_t(omega )=Y_t(omega ).$




  • If $X_t=Y_t$ a.s. for all $t$, then $X_q=Y_q$ a.s. for all $qinmathbb Q$. Therefore, for all $qinmathbb Q$, there is $N_q$ with $mathbb P(N_q)=0$ s.t. for all $omega notin N_q$ $X_q(omega )=Y_q(omega )$.


  • Set $N=bigcup_{qinmathbb Q}N_q$. It's s.t. $mathbb P(N)=0$ and for all $omega notin N$ and all $qinmathbb Q$, $X_q(omega )=Y_q(omega )$.


  • Let $tin mathbb R$ and let $(q_n)_n$ a sequence of $mathbb Q$ s.t. $q_nto t$. If $omega notin N$, then, by continuity
    $$X_t=lim_{nto infty }X_{q_n}=lim_{nto infty }Y_{q_n}=Y_t.$$



Therefore $mathbb P{X_t=Y_ttext{ for all $t$}}=1$.





For a counter example for the equality : Let $mathbb P$ the Lebesgue measure on $Omega =[0,1]$. Let $tin [0,1]$, $X_t=0$ for all $omega $ and $Y_t(omega )=boldsymbol 1_{{t}}(omega )$.



Then $mathbb P{X_t=Y_t}=1$ for all $t$, but $$mathbb P{X_t=Y_ttext{ for all }t}=0,$$
since there is no $omega $ s.t. $X_t(omega )=Y_t(omega )$ for all $t$ because for $omega in Omega $ fixed, when $t=omega $ then $X_t(omega )=0$ but $Y_t(omega )=1$.






share|cite|improve this answer











$endgroup$





















    1












    $begingroup$

    Since $X_t, Y_t$ are continuous, we have of course
    $$
    mathbb Pleft{sup_{sinmathbb R}|X_s-Y_s|=0right}
    =
    mathbb Pleft{sup_{sinmathbb Q}|X_s-Y_s|=0right}
    =
    mathbb Pleft(bigcap_{sinmathbb Q}{|X_s-Y_s|=0}right)
    $$

    a countable intersection of measurable sets of measure $1$.






    share|cite|improve this answer











    $endgroup$













    • $begingroup$
      Actually, more is true, namely that, almost surely, $$sup_{sinmathbb R}|X_s-Y_s|=sup_{sinmathbb Q}|X_s-Y_s|$$
      $endgroup$
      – Did
      Dec 3 '18 at 14:06











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    2 Answers
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    2 Answers
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    2












    $begingroup$

    The only thing you can say for $t$ fixed is $$mathbb P{X_t=Y_ttext{ for all }t}leq mathbb P{X_t=Y_t}.$$
    You should pay more attention to the answers I gave you here. It's the same problem here.



    What you must show is that there is $N$ with $mathbb P(N)=0$ s.t. for all $omega notin Omega $ and all $t$, $X_t(omega )=Y_t(omega ).$




    • If $X_t=Y_t$ a.s. for all $t$, then $X_q=Y_q$ a.s. for all $qinmathbb Q$. Therefore, for all $qinmathbb Q$, there is $N_q$ with $mathbb P(N_q)=0$ s.t. for all $omega notin N_q$ $X_q(omega )=Y_q(omega )$.


    • Set $N=bigcup_{qinmathbb Q}N_q$. It's s.t. $mathbb P(N)=0$ and for all $omega notin N$ and all $qinmathbb Q$, $X_q(omega )=Y_q(omega )$.


    • Let $tin mathbb R$ and let $(q_n)_n$ a sequence of $mathbb Q$ s.t. $q_nto t$. If $omega notin N$, then, by continuity
      $$X_t=lim_{nto infty }X_{q_n}=lim_{nto infty }Y_{q_n}=Y_t.$$



    Therefore $mathbb P{X_t=Y_ttext{ for all $t$}}=1$.





    For a counter example for the equality : Let $mathbb P$ the Lebesgue measure on $Omega =[0,1]$. Let $tin [0,1]$, $X_t=0$ for all $omega $ and $Y_t(omega )=boldsymbol 1_{{t}}(omega )$.



    Then $mathbb P{X_t=Y_t}=1$ for all $t$, but $$mathbb P{X_t=Y_ttext{ for all }t}=0,$$
    since there is no $omega $ s.t. $X_t(omega )=Y_t(omega )$ for all $t$ because for $omega in Omega $ fixed, when $t=omega $ then $X_t(omega )=0$ but $Y_t(omega )=1$.






    share|cite|improve this answer











    $endgroup$


















      2












      $begingroup$

      The only thing you can say for $t$ fixed is $$mathbb P{X_t=Y_ttext{ for all }t}leq mathbb P{X_t=Y_t}.$$
      You should pay more attention to the answers I gave you here. It's the same problem here.



      What you must show is that there is $N$ with $mathbb P(N)=0$ s.t. for all $omega notin Omega $ and all $t$, $X_t(omega )=Y_t(omega ).$




      • If $X_t=Y_t$ a.s. for all $t$, then $X_q=Y_q$ a.s. for all $qinmathbb Q$. Therefore, for all $qinmathbb Q$, there is $N_q$ with $mathbb P(N_q)=0$ s.t. for all $omega notin N_q$ $X_q(omega )=Y_q(omega )$.


      • Set $N=bigcup_{qinmathbb Q}N_q$. It's s.t. $mathbb P(N)=0$ and for all $omega notin N$ and all $qinmathbb Q$, $X_q(omega )=Y_q(omega )$.


      • Let $tin mathbb R$ and let $(q_n)_n$ a sequence of $mathbb Q$ s.t. $q_nto t$. If $omega notin N$, then, by continuity
        $$X_t=lim_{nto infty }X_{q_n}=lim_{nto infty }Y_{q_n}=Y_t.$$



      Therefore $mathbb P{X_t=Y_ttext{ for all $t$}}=1$.





      For a counter example for the equality : Let $mathbb P$ the Lebesgue measure on $Omega =[0,1]$. Let $tin [0,1]$, $X_t=0$ for all $omega $ and $Y_t(omega )=boldsymbol 1_{{t}}(omega )$.



      Then $mathbb P{X_t=Y_t}=1$ for all $t$, but $$mathbb P{X_t=Y_ttext{ for all }t}=0,$$
      since there is no $omega $ s.t. $X_t(omega )=Y_t(omega )$ for all $t$ because for $omega in Omega $ fixed, when $t=omega $ then $X_t(omega )=0$ but $Y_t(omega )=1$.






      share|cite|improve this answer











      $endgroup$
















        2












        2








        2





        $begingroup$

        The only thing you can say for $t$ fixed is $$mathbb P{X_t=Y_ttext{ for all }t}leq mathbb P{X_t=Y_t}.$$
        You should pay more attention to the answers I gave you here. It's the same problem here.



        What you must show is that there is $N$ with $mathbb P(N)=0$ s.t. for all $omega notin Omega $ and all $t$, $X_t(omega )=Y_t(omega ).$




        • If $X_t=Y_t$ a.s. for all $t$, then $X_q=Y_q$ a.s. for all $qinmathbb Q$. Therefore, for all $qinmathbb Q$, there is $N_q$ with $mathbb P(N_q)=0$ s.t. for all $omega notin N_q$ $X_q(omega )=Y_q(omega )$.


        • Set $N=bigcup_{qinmathbb Q}N_q$. It's s.t. $mathbb P(N)=0$ and for all $omega notin N$ and all $qinmathbb Q$, $X_q(omega )=Y_q(omega )$.


        • Let $tin mathbb R$ and let $(q_n)_n$ a sequence of $mathbb Q$ s.t. $q_nto t$. If $omega notin N$, then, by continuity
          $$X_t=lim_{nto infty }X_{q_n}=lim_{nto infty }Y_{q_n}=Y_t.$$



        Therefore $mathbb P{X_t=Y_ttext{ for all $t$}}=1$.





        For a counter example for the equality : Let $mathbb P$ the Lebesgue measure on $Omega =[0,1]$. Let $tin [0,1]$, $X_t=0$ for all $omega $ and $Y_t(omega )=boldsymbol 1_{{t}}(omega )$.



        Then $mathbb P{X_t=Y_t}=1$ for all $t$, but $$mathbb P{X_t=Y_ttext{ for all }t}=0,$$
        since there is no $omega $ s.t. $X_t(omega )=Y_t(omega )$ for all $t$ because for $omega in Omega $ fixed, when $t=omega $ then $X_t(omega )=0$ but $Y_t(omega )=1$.






        share|cite|improve this answer











        $endgroup$



        The only thing you can say for $t$ fixed is $$mathbb P{X_t=Y_ttext{ for all }t}leq mathbb P{X_t=Y_t}.$$
        You should pay more attention to the answers I gave you here. It's the same problem here.



        What you must show is that there is $N$ with $mathbb P(N)=0$ s.t. for all $omega notin Omega $ and all $t$, $X_t(omega )=Y_t(omega ).$




        • If $X_t=Y_t$ a.s. for all $t$, then $X_q=Y_q$ a.s. for all $qinmathbb Q$. Therefore, for all $qinmathbb Q$, there is $N_q$ with $mathbb P(N_q)=0$ s.t. for all $omega notin N_q$ $X_q(omega )=Y_q(omega )$.


        • Set $N=bigcup_{qinmathbb Q}N_q$. It's s.t. $mathbb P(N)=0$ and for all $omega notin N$ and all $qinmathbb Q$, $X_q(omega )=Y_q(omega )$.


        • Let $tin mathbb R$ and let $(q_n)_n$ a sequence of $mathbb Q$ s.t. $q_nto t$. If $omega notin N$, then, by continuity
          $$X_t=lim_{nto infty }X_{q_n}=lim_{nto infty }Y_{q_n}=Y_t.$$



        Therefore $mathbb P{X_t=Y_ttext{ for all $t$}}=1$.





        For a counter example for the equality : Let $mathbb P$ the Lebesgue measure on $Omega =[0,1]$. Let $tin [0,1]$, $X_t=0$ for all $omega $ and $Y_t(omega )=boldsymbol 1_{{t}}(omega )$.



        Then $mathbb P{X_t=Y_t}=1$ for all $t$, but $$mathbb P{X_t=Y_ttext{ for all }t}=0,$$
        since there is no $omega $ s.t. $X_t(omega )=Y_t(omega )$ for all $t$ because for $omega in Omega $ fixed, when $t=omega $ then $X_t(omega )=0$ but $Y_t(omega )=1$.







        share|cite|improve this answer














        share|cite|improve this answer



        share|cite|improve this answer








        edited Dec 3 '18 at 13:31

























        answered Dec 3 '18 at 13:24









        SurbSurb

        37.5k94375




        37.5k94375























            1












            $begingroup$

            Since $X_t, Y_t$ are continuous, we have of course
            $$
            mathbb Pleft{sup_{sinmathbb R}|X_s-Y_s|=0right}
            =
            mathbb Pleft{sup_{sinmathbb Q}|X_s-Y_s|=0right}
            =
            mathbb Pleft(bigcap_{sinmathbb Q}{|X_s-Y_s|=0}right)
            $$

            a countable intersection of measurable sets of measure $1$.






            share|cite|improve this answer











            $endgroup$













            • $begingroup$
              Actually, more is true, namely that, almost surely, $$sup_{sinmathbb R}|X_s-Y_s|=sup_{sinmathbb Q}|X_s-Y_s|$$
              $endgroup$
              – Did
              Dec 3 '18 at 14:06
















            1












            $begingroup$

            Since $X_t, Y_t$ are continuous, we have of course
            $$
            mathbb Pleft{sup_{sinmathbb R}|X_s-Y_s|=0right}
            =
            mathbb Pleft{sup_{sinmathbb Q}|X_s-Y_s|=0right}
            =
            mathbb Pleft(bigcap_{sinmathbb Q}{|X_s-Y_s|=0}right)
            $$

            a countable intersection of measurable sets of measure $1$.






            share|cite|improve this answer











            $endgroup$













            • $begingroup$
              Actually, more is true, namely that, almost surely, $$sup_{sinmathbb R}|X_s-Y_s|=sup_{sinmathbb Q}|X_s-Y_s|$$
              $endgroup$
              – Did
              Dec 3 '18 at 14:06














            1












            1








            1





            $begingroup$

            Since $X_t, Y_t$ are continuous, we have of course
            $$
            mathbb Pleft{sup_{sinmathbb R}|X_s-Y_s|=0right}
            =
            mathbb Pleft{sup_{sinmathbb Q}|X_s-Y_s|=0right}
            =
            mathbb Pleft(bigcap_{sinmathbb Q}{|X_s-Y_s|=0}right)
            $$

            a countable intersection of measurable sets of measure $1$.






            share|cite|improve this answer











            $endgroup$



            Since $X_t, Y_t$ are continuous, we have of course
            $$
            mathbb Pleft{sup_{sinmathbb R}|X_s-Y_s|=0right}
            =
            mathbb Pleft{sup_{sinmathbb Q}|X_s-Y_s|=0right}
            =
            mathbb Pleft(bigcap_{sinmathbb Q}{|X_s-Y_s|=0}right)
            $$

            a countable intersection of measurable sets of measure $1$.







            share|cite|improve this answer














            share|cite|improve this answer



            share|cite|improve this answer








            edited Dec 3 '18 at 14:03

























            answered Dec 3 '18 at 13:57









            GEdgarGEdgar

            62.2k267168




            62.2k267168












            • $begingroup$
              Actually, more is true, namely that, almost surely, $$sup_{sinmathbb R}|X_s-Y_s|=sup_{sinmathbb Q}|X_s-Y_s|$$
              $endgroup$
              – Did
              Dec 3 '18 at 14:06


















            • $begingroup$
              Actually, more is true, namely that, almost surely, $$sup_{sinmathbb R}|X_s-Y_s|=sup_{sinmathbb Q}|X_s-Y_s|$$
              $endgroup$
              – Did
              Dec 3 '18 at 14:06
















            $begingroup$
            Actually, more is true, namely that, almost surely, $$sup_{sinmathbb R}|X_s-Y_s|=sup_{sinmathbb Q}|X_s-Y_s|$$
            $endgroup$
            – Did
            Dec 3 '18 at 14:06




            $begingroup$
            Actually, more is true, namely that, almost surely, $$sup_{sinmathbb R}|X_s-Y_s|=sup_{sinmathbb Q}|X_s-Y_s|$$
            $endgroup$
            – Did
            Dec 3 '18 at 14:06


















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