Although this post is under the heading of `the general theory of semimartingales’ it is not, strictly speaking, about semimartingales at all. Instead, I will be concerned with a characterization of predictable stopping times. The reason for including this now is twofold. First, the results are too advanced to have been proven in the earlier post on predictable stopping times, and reasonably efficient self-contained proofs can only be given now that we have already built up a certain amount of stochastic calculus theory. Secondly, the results stated here are indispensable to the further study of semimartingales. In particular, standard semimartingale decompositions require some knowledge of predictable processes and predictable stopping times.

Recall that a stopping time is said to be predictable if there exists a sequence of stopping times increasing to and such that whenever . Also, the predictable sigma-algebra is defined as the sigma-algebra generated by the left-continuous and adapted processes. Stated like this, these two concepts can appear quite different. However, as was previously shown, stochastic intervals of the form for predictable times are all in and, in fact, generate the predictable sigma-algebra.

The main result (Theorem 1) of this post is to show that a converse statement holds, so that is in *if and only if* the stopping time is predictable. This rather simple sounding result does have many far-reaching consequences. We can use it show that all cadlag predictable processes are locally bounded, local martingales are predictable if and only if they are continuous, and also give a characterization of cadlag predictable processes in terms of their jumps. Some very strong statements about stopping times also follow without much difficulty for certain special stochastic processes. For example, if the underlying filtration is generated by a Brownian motion then *every* stopping time is predictable. Actually, this is true whenever the filtration is generated by a continuous Feller process. It is also possible to give a surprisingly simple characterization of stopping times for filtrations generated by arbitrary non-continuous Feller processes. Precisely, a stopping time is predictable if the process is almost surely continuous at time and is totally inaccessible if the underlying Feller process is almost surely discontinuous at .

As usual, we work with respect to a complete filtered probability space . I now give a statement and proof of the main result of this post. Note that the equivalence of the four conditions below means that any of them can be used as alternative definitions of predictable stopping times. Often, the first condition below is used instead. Stopping times satisfying the definition used in these notes are sometimes called *announceable*, with the sequence said to announce (this terminology is used by, e.g., Rogers & Williams). Stopping times satisfying property 3 below, which is easily seen to be equivalent to 2, are sometimes called *fair*. Then, the following theorem says that the sets of predictable, fair and announceable stopping times all coincide.

Theorem 1Let be a stopping time. Then, the following are equivalent.

- .
- is a local martingale for all local martingales
M.- for all cadlag bounded martingales
M.- is predictable.