Hallo,
I have to show that the following sets of stochastic processes are not equal:
is progessive measurable and
is progessive measurable and a.s.
I know that these sets aren't equal.
But how can I show that a.s. doesn't imply
Does anyone know a proof?
I also know that the Itô-integral where is a standard Brownian motion and is not just a local martingale, it's also a martingale.
But is also a martingale if ?
Can anybody help me?
Thanks!