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Let

  • $(\Omega,\mathcal A,\operatorname P)$ be a probability space;
  • $(X_t)_{t\in[0,\:\infty]}$ be a real-valued process on $(\Omega,\mathcal A,\operatorname P)$;
  • $\tau$ be an $[0,\infty]$-valued random variable on $(\Omega,\mathcal A,\operatorname P)$.

Under which assumptions are we able to show that if $(X_t)_{t\in[0,\:\infty]}$ is right-continuous at $0$, then $$\varphi(t):=\operatorname E\left[X_\tau\mid\tau=t\right]\;\;\;\text{for }t\in[0,\infty]$$ is right-continuous at $0$ as well?

We clearly need to assume that $X:\Omega\times[0,\infty]\to\mathbb R$ is $(\mathcal A\otimes\mathcal B([0,\infty]),\mathcal B(\mathbb R))$-measurable in order to know that $X_\tau$ is $\mathcal A$-measurable. Moreover, we clearly need to assume that $X_t\in\mathcal L^1(\operatorname P)$ so that $\varphi$ is actually well-defined.

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    $\begingroup$ One problem with your assumptions is that $\varphi(t)$ isn't uniquely defined in general. I think your question is too general to make much sense. $\endgroup$ Commented Jun 28, 2022 at 18:23
  • $\begingroup$ @DieterKadelka Shouldn't it be uniquely defined on $\tau(\Omega)$? However, please suggest further assumptions, if you got something in mind. $\endgroup$
    – 0xbadf00d
    Commented Jun 28, 2022 at 19:12
  • $\begingroup$ To give some context: This is the question I'm actually trying to find a solution for. $\endgroup$
    – 0xbadf00d
    Commented Jun 28, 2022 at 19:39

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