Hallo, is the sum of two stochastically continuous processes again a stochastically continuous process? why? Thank you very much, Paolo.
1 Answer
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Yes. A stochastically continuous process is a mapping $t \mapsto X_t \in L^0$ into the space of random variables that is continuous with $L^0$ given the topology of convergence in probability. Since $L^0$ is a topological vector space for this topology - in particular, addition is continuous - it is clear that $t \mapsto (X_t, Y_t) \mapsto X_t + Y_t$ is continuous as a composition of continuous mappings.
