Why $mathbb P(X_t=Y_ttext{ for all }t)=1$ if $mathbb P(X_t=Y_t)=1$ for all $t$?
$begingroup$
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.
probability measure-theory
$endgroup$
add a comment |
$begingroup$
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.
probability measure-theory
$endgroup$
$begingroup$
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
add a comment |
$begingroup$
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.
probability measure-theory
$endgroup$
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
probability measure-theory
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
add a comment |
$begingroup$
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
add a comment |
2 Answers
2
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$begingroup$
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 $Y_t(omega )=1$.
$endgroup$
add a comment |
$begingroup$
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 $1$.
$endgroup$
$begingroup$
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
add a comment |
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2 Answers
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2 Answers
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$begingroup$
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 $Y_t(omega )=1$.
$endgroup$
add a comment |
$begingroup$
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 $Y_t(omega )=1$.
$endgroup$
add a comment |
$begingroup$
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 $Y_t(omega )=1$.
$endgroup$
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 $Y_t(omega )=1$.
edited Dec 3 '18 at 13:31
answered Dec 3 '18 at 13:24
SurbSurb
37.5k94375
37.5k94375
add a comment |
add a comment |
$begingroup$
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 $1$.
$endgroup$
$begingroup$
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
add a comment |
$begingroup$
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 $1$.
$endgroup$
$begingroup$
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
add a comment |
$begingroup$
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 $1$.
$endgroup$
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 $1$.
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
add a comment |
$begingroup$
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
add a comment |
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$begingroup$
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